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1.
The Dynamic Impact of Macro Shocks on Insurance Premiums 总被引:1,自引:0,他引:1
We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price,
interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model
to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory
component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate
supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind
the recent increasing volatility in insurance premiums in the U.S. market.
相似文献
Ying Sophie HuangEmail: |
2.
We conduct an experimental test of a screening model of an insurance market with asymmetric information. We first conduct
three sessions in which the proportion of high risk buyers is such that a separating equilibrium should exist. We then conduct
three more sessions in which the only change we make is decreasing the proportion of high risks such that the equilibrium
is now a pooling equilibrium. In both treatments, the observed behavior converges to the equilibrium prediction.
相似文献
Abdullah YavasEmail: |
3.
Terrence F. Martell Gwendolyn P. Webb 《Review of Quantitative Finance and Accounting》2008,30(3):253-279
An unusually high number of Nasdaq National Market stocks were reverse split following the decline in Nasdaq prices in the
year 2000. We test whether these splits were driven by the overall market decline. We find that the performance of stocks
with reverse splits in poor overall stock market conditions is better (less negative) than that in good market conditions,
and that the differences in performance appear three to five months after the split. This suggests that the longer-term outcomes
of reverse stock splits are associated with the market environment at the time of the split. In view of this, changes that
Nasdaq made to relax some of its listing standards are well justified.
相似文献
Gwendolyn P. WebbEmail: |
4.
By using an extension of the Fama and MacBeth cross-sectional regression model, this analysis examines the relationship between
stock returns and (i) a local beta, (ii) two global betas, and (iii) some firm-specific characteristics in the Chinese A-share
market. The results of the analysis suggest that neither the conditional local beta nor the global betas has a significant
relationship with stock returns in A-shares. Our findings indicate that firm factors, such as the book-to-market ratio and
firm size, are important in explaining stock returns. However, the size effect is sensitive to the specification of the model.
Finally, the results of sub-period tests indicate that the A-share market did not become increasingly integrated with either
the world stock markets or the Hong Kong stock market over the period 1995–2002.
相似文献
Yuenan WangEmail: |
5.
Annette Hofmann 《The GENEVA Risk and Insurance Review》2007,32(1):91-111
When risks are interdependent, an agent’s decision to self-protect affects the loss probabilities faced by others. Due to
these externalities, economic agents invest too little in prevention relative to the socially efficient level by ignoring
marginal external costs or benefits conferred on others. This paper analyzes an insurance market with externalities of loss
prevention. It is shown in a model with heterogenous agents and imperfect information that a monopolistic insurer can achieve
the social optimum by engaging in premium discrimination. An insurance monopoly reduces not only costs of risk selection,
but may also play an important social role in loss prevention.
相似文献
Annette HofmannEmail: |
6.
Value relevance of value-at-risk disclosure 总被引:2,自引:2,他引:0
Chee Yeow Lim Patricia Mui-Siang Tan 《Review of Quantitative Finance and Accounting》2007,29(4):353-370
The SEC issued FRR No. 48 in 1997 to enhance public disclosure of firms’ exposures to market risk. We examine whether the
quantitative value-at-risk (VAR) estimates disclosed by 81 non-financial firms during the period 1997–2002 are value-relevant
using the earnings-returns relation. The empirical results indicate that high VAR is associated with weaker earnings-returns
relation. Further analysis shows that VAR is positively and significantly associated with future stock return volatility.
Our evidence suggests that investors perceive the earnings of firms with substantial market risk exposure to be less persistent,
and adjust the future abnormal earnings for the higher risk exposure. Thus, this results in a lower expected rate of return.
相似文献
Chee Yeow LimEmail: |
7.
Joseph T. L. Ooi Jingliang Wang James R. Webb 《The Journal of Real Estate Finance and Economics》2009,38(4):420-442
The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known
as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining
the monthly cross-sectional returns of REIT stocks. Contrary to the CAPM theory, a significant positive relationship is found
between idiosyncratic volatility and the cross-sectional returns. This suggests that firm-specific risk matters in REIT pricing.
The regression results further show that once idiosyncratic risk is controlled for in the asset-pricing model, the size and
book-to-market equity ratio factors ceased to be significant. The explanatory power of the momentum effect remains robust
in the presence of idiosyncratic risk.
相似文献
James R. WebbEmail: |
8.
Kim Hiang Liow Kim Hin David Ho Muhammad Faishal Ibrahim Ziwei Chen 《The Journal of Real Estate Finance and Economics》2009,39(2):202-223
We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns
from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate
dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations
between all real estate securities market returns than those between the stock market returns themselves. Some significant
variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive
connection between real estate securities market correlations and their conditional volatilities. We also find the international
correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic
motivations regarding the potential integration of international real estate securities markets and the possibility of including
information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.
相似文献
Kim Hiang LiowEmail: |
9.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
10.
We examine the motives for takeovers in New Zealand surrounding the 1987 stock market crash and compare with the US findings
of Gondhalekar and Bhagwat (2003). There are a number of structural differences between the New Zealand and US markets that could impact on merger motives.
Compared with the US, New Zealand is a small capital market; with weak takeover regulation and a prolonged aftermath of the
1987 stock market crash. Consistent with US research, we find evidence of synergy and hubris motivations in New Zealand takeovers
although we find the synergy motivation is stronger. Contrary to expectations we find no evidence of agency motivated takeovers.
相似文献
Hamish D. AndersonEmail: |
11.
Rob Brown Howard W. H. Chan Yew Kee Ho 《Review of Quantitative Finance and Accounting》2009,33(2):91-111
The stock market may respond to the difference between an analyst’s recommendation and that analyst’s previous recommendation
and/or to the difference between the analyst’s recommendation and the consensus recommendation. We show that for the short-term
market response the former is the clearer signal when both are examined simultaneously. We also show that the market’s reaction
is strongly influenced by the analyst’s reputation, the divergence of opinion among analysts and the number of analysts following
the stock. Previous studies have been hampered by having a low proportion of negative recommendations. We overcome this deficiency
by studying the Australian market, in which institutional differences lead to analysts releasing many more negative recommendations.
相似文献
Yew Kee Ho (Corresponding author)Email: |
12.
Dong Wook Lee 《Journal of Financial Services Research》2009,35(3):273-296
This paper examines the participation decisions of employees in a stock option exchange program aimed at restoring value to
underwater options. The program invites employees to exchange their existing underwater options for new options, the value
of which is determined by the company stock price in 6 months and 1 day. The participation turns out to vary cross-sectionally
and, perhaps surprisingly, the employees do not surrender all their underwater options. We find that employees actively and
rationally consider a variety of factors to make their participation decisions, rather than blindly surrendering their underwater
options. The participation decisions of non-executive employees seem to be well anticipated by stock market investors, since
no abnormal stock returns are related to the participation decisions.
相似文献
Dong Wook LeeEmail: |
13.
Traditional executive stock options are often criticized for inherently weak links between pay and performance. Hurdle rate
executive stock options represent a viable improvement. However, valuing these options presents extraordinary analytic difficulties.
With a constant dividend yield the strike price becomes a path-dependent function of the stock price and exact analytic valuation
is intractable. To solve this problem, we apply the Monte Carlo valuation approach developed by Longstaff and Schwartz (Rev
Financ Stud 4:113–147, 2001) to estimate the value of path-dependent American options. We also extend the methodology to incorporate
the theoretical framework by Ingersoll (J Bus 79:453–487, 2006) to permit subjective valuation influenced by an executive’s
risk aversion.
相似文献
Charles Corrado (Corresponding author)Email: |
14.
Sema Bayraktar 《Review of Quantitative Finance and Accounting》2009,32(2):169-195
This article derives international equity pricing relations by taking into account inflationary exchange risk under various
forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed
under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors
are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant
of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors.
相似文献
Sema BayraktarEmail: |
15.
We find no evidence of accrual mispricing for firms that disclose accrual information at earnings announcements. For these
firms, the market differentiates the discretionary from the nondiscretionary components of the earnings surprise. In contrast,
the market fails to distinguish between the discretionary and the nondiscretionary components of the earnings surprise for
firms that do not disclose accrual information at earnings announcements. These firms experience some stock price correction
around the filing date. However, the correction is only partial, resulting in a post-filing drift.
相似文献
Henock LouisEmail: |
16.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
17.
James B. Kau Donald C. Keenan Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2009,39(2):107-117
This paper uses a structural credit risk model, providing an analytical formula to estimate default probabilities implicit
in commercial mortgage backed security prices. Empirical studies of CMBS default have focused on the probability of default
depending on loan characteristics at the origination and market indices. Recent studies show that unobservable current loan-to-value
(LTV) ratio is a key state variable driving default. We update this variable using Real Estate Investment Trust (REIT) property-type
indices over time. Later, we employ first passage time approach to study CMBS default using implied LTV.
相似文献
Yildiray Yildirim (Corresponding author)Email: |
18.
Seung Hun Han Yoon S. Shin Walter Reinhart William T. Moore 《Journal of Financial Services Research》2009,35(2):141-166
We examine stock market reactions to corporate credit rating changes in 26 emerging market countries included in the Morgan
Stanley Capital International (MSCI) Emerging Market Index. We hypothesize and test the notion that emerging market firms
in the American Depository Receipts (ADRs) markets are more likely to purchase ratings from the Big Two (Moody’s and S&P),
and that they react more strongly to the announcements of corporate rating changes by Moody’s or S&P than to those of raters
in local markets. We compare the effect of credit rating changes of the Big Two in two emerging stock markets: local markets
(local currencies) and ADR markets (U.S. dollars). We find significant price reactions in the ADR markets, and insignificant
reactions in local markets, and conclude that there is capital market segmentation in ADR markets for credit rating changes
of emerging market firms. We find evidence that investors react more strongly in the ADR markets than local markets because
they require higher costs of capital for firms cross-listed both in the ADR markets and local markets due to greater expected
bankruptcy costs and foreign exchange risks of those firms. We also report that stock markets react significantly, not only
to rating downgrades, but also to upgrades in the ADR markets.
相似文献
William T. MooreEmail: |
19.
Antonio Díaz 《Journal of Financial Services Research》2009,36(1):45-63
I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
相似文献
Antonio DíazEmail: |
20.
Marc-Gregor Czaja Hendrik Scholz Marco Wilkens 《Review of Quantitative Finance and Accounting》2009,33(1):1-26
We investigate here the sensitivity of the equity values of a large sample of German financial institutions to movements in
the term structure of interest rates. While similar approaches rely on a single interest rate factor only, we quantify the
exposure to changes in level, slope, and curvature, which are the driving factors of term structure changes. Our main findings
are: (i) banks and insurances are exposed to level and curvature changes but only marginally to slope movements; (ii) the
interest rate risk exposure depends on the banking sector investigated; (iii) level and curvature changes are priced in the
cross-section of stock returns.
相似文献
Marco WilkensEmail: |