Share Prices and Macroeconomic Factors

The APT with macroeconomic factors put forward by Chen, Roll and Ross (1986) was tested using monthly Australian sectoral share-price indexes for 1980–1994. The inflation rate was found to be consistently priced. The significance of other factors was found to depend on the choice of sample period and estimation method. The model was compared to both an APT with artificial factors and the CAPM. Both versions of the APT were found to clearly out-perform the CAPM but neither version of the APT was clearly superior to the other in terms of both within- and out-of-sample explanatory power.     

A macroeconomic hedge portfolio and the cross section of stock returns

We use a stock's returns on days when important macroeconomic news is released to form a hedge portfolio, which is long (short) in stocks which have a sensitive (insensitive) reaction to the surprise component of the macroeconomic news. This macroeconomic hedge portfolio (MHP) earns a risk premium of about 5% p.a. over time and a similar premium when used as a risk factor in an asset pricing model. This premium can be interpreted as a cost of an insurance against unexpected changes in an investor's marginal utility. We show that risk premiums associated with the MHP are estimated with a higher precision than traditional macroeconomic tracking portfolios. Furthermore, when the MHP is present in a common factor model, risk factors like high minus low lose much of their ability to explain the cross section of stock returns.     

Seasonal variations in the U.S. Stock Market returns: 1927–1984

When the seasonal components of the monthly returns as opposed to the returns themselves, are examined over the 1927–1984 period, the Standard & Poor's 500 Composite Index (S&P 500) and the Center for Research in Security Prices (CRSP) value-weighted portfolio exhibit significant seasonality. Their seasonal behavior is quite similar to that of the smallest quintile of New York Stock Exchange (NYSE) stocks and the CRSP equally weighted portfolio during March through October. While January is strong for the two latter portfolios, December, November, and January appear to be consistently strong for the two former portfolios. The seasonal pattern has, however, changed substantially over time. While June and July returns experienced a significant drop in seasonal strength, March and April returns gained seasonal strength for all four portfolios from 1927–1958 to 1959–1984. These changes coincide in an inverse fashion with the shifts in interest rate seasonality.     

The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies

This paper provides evidence of a significant exchange rate effect on stock index returns using data from seven selected countries practicing free-floating exchange rate regimes. This research uses parity and asset pricing theories, thus placing it within the monetary-cum-economics framework for international asset pricing. In this study, we apply a system of seemingly unrelated regression to control for unobserved heterogeneity and cross-sectional dependence. The findings constitute evidence of a statistically significant exchange rate impact on stock index returns across selected countries. These findings can be considered as falling under the arbitrage pricing approach of the international capital asset pricing model of Solnik who also used the parity-theoretical framework on exchange rate determination.     

The impact of share price on seasonality and size anomalies in Australian equity returns

Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the separate effects of firm size and share price on returns to Australian equity portfolios. The analysis is also extended to estimate seasonal components of size and price effects. Our major findings are: (i) firm size and share price have significant and independent effects on portfolio returns averaged over all months, (ii) the familiar negative relation between size and returns is confirmed across all months, and (iii) the relation between share price and returns is negative in July and positive in all other months (with the exception of January where no price effect occurs). These findings, which are consistent across sub-periods and robust to method variations, highlight the need for future research to provide an economic foundation for the relation between average returns, size and price.     

A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns

In questioning Kamstra, Kramer, and Levi’s (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due to a “mechanically induced” effect that is non-existent, labeling the SAD effect a “turn-of-year” effect (when in fact their models and ours separately control for turn-of-year effects), and ignoring coefficient-estimate patterns that strongly support the SAD effect. Our analysis of their data shows, even using their low-power statistical tests, there is significant international evidence supporting the SAD effect. Employing modern, panel/time-series statistical methods strengthens the case dramatically. Additionally, Kelly and Meschke represent the finance, psychology, and medical literatures in misleading ways, describing some findings as opposite to those reported by the researchers themselves, and choosing selective quotes that could easily lead readers to a distorted understanding of these findings.     

我国经济金融运行状况和相关政策解析

本文对我国经济金融运行现状进行了分析,阐述了货币政策适时适度调整,成功进行了宏观调控,促进了经济平稳较快发展。未来一段时期,我国金融业面临难得机遇和严峻挑战,需要注意把握政策的稳定性、针对性和灵活性,维护金融稳定,促进经济结构调整和发展方式转变。     

Dangers in data adjustment: the case of rights issues and returns

In this paper we alert researchers to the potential for unrecognised errors in using adjusted price and daily return data. This problem is illustrated by considering the case of ex‐rights price adjustments. We present five alternative adjustment procedures that would be expected to generate similar results. We show, however, that these procedures result in significantly different dilution factors and returns. Our investigations suggest that the problem is associated with the theoretical valuation of the rights. In a substantial proportion of cases, the standard textbook model is inappropriate because of the non‐standard nature of the rights issue. Correcting for these non‐standard cases is a non‐trivial task since they constitute more than half of the issues. The extent of this problem does not appear to be well recognised. Deletion of non‐standard rights issues eliminates extreme values in dilution factors, but statistically significant differences remain. Our moral is simple; uncritical acceptance of data 'as is' from computer data files may lead researchers to erroneous conclusions. It also seems noteworthy that the standard textbook model of rights pricing only applied to a minority of Australian rights issues over recent years. This result has implications for the calculation of EPS under AASB 1027. As a by‐product, our analysis suggests that the ex‐rights daily return is close to zero.     

当前我国经济发展方式转变进程中的财税政策选择

“十一五”以来,我国把转变经济发展方式,实现节能降耗和经济可持续发展做为经济工作的重点,并采取了一系列的政策和措施,但是受体制机制、国际环境、贸易条件、资源约束、技术瓶颈、财税政策等诸多因素的影响,我国经济发展方式转变进程缓慢,“高投入、高消耗、高污染、高浪费、低成本、低收益”的经济发展格局没有得到根本性的改变,对生态环境造成的破坏逐渐严重,资源供给愈显紧张,煤炭、钢材、水泥等资源消耗巨大,极端天气频繁发生,社会居民的生态安全面临严峻考验。我们必须以复苏经济为契机,采取积极完善体制机制、健全财税政策等措施,切实缓解人与自然和环境的矛盾．从根本上实现国民经发展方式的转变。     

New evidence on the impact of size and taxation on the seasonality of UK equity returns

The paper investigates the extent to which capital gains taxation and the portfolio rebalancing hypothesis may account for the seasonality of UK equity returns. The empirical results show that in small firm portfolios during the period of capital gains taxation, April but not January seasonality is consistent with the tax-loss selling hypothesis. The January seasonality, which is detected even before the introduction of capital gains taxation, is also consistent with the portfolio rebalancing hypothesis until the 1980s, when such seasonality becomes increasingly insignificant.     

Economic forces and the stock market revisited

The pricing of the Chen, Roll, and Ross (CRR) macrovariables is re-examined and found to be surprisingly sensitive to reasonable alternative procedures for generating size portfolio returns and estimating their betas. These methods include the full-period post-ranking return approach used in many recent studies. Strong evidence of pricing is obtained only for their industrial production growth factor and, in another contrast, for the VW market index. In particular, the corporate-government bond return spread, an important factor in CRR, is insignificantly negative for the 1958–1983 period, corroborating the cross-sectional regression results.     

2003年宏观形势分析与今年形势及政策走向预测

本文通过对2003～2004年国内宏观经济金融形势和运行特点进行的分析与预测,提出以下主要观点:2003年宏观经济在保持快速发展势头的同时也积累了许多问题:经济增长与社会发展不协调;投资需求增长与消费需求增长不协调;货币信贷增速过快;部分行业部分地区增长"过热",低水平重复建设抬头;就业压力进一步加大;城乡发展矛盾突出,贫富差距进一步加大等.在此基础上,本文认为,2004年宏观经济金融政策将注重保持连续性和稳定性,并在此基础上进行微调;宏观调控的重点是通过有效的微调遏制局部过热,实现经济社会统筹兼顾和协调发展.     

Commonality in hedge fund returns: Driving factors and implications

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure to emerging market equities, which we identify as a common factor in hedge fund returns over this period. Our results show that funds with a high commonality were affected disproportionately by illiquidity and exhibited negative returns during the subsequent financial crisis, thereby providing little diversification benefits to the financial system and to investors.     

Dynamic Effects of Financial Openness on Economic Growth and Macroeconomic Uncertainty

This paper examines the dynamic effects of financial integration and foreign direct investment (FDI) on economic growth and macroeconomic uncertainty. Using the pooled mean group autoregressive distributed lag approach to annual data over 1975-2007 for ninety developing countries, we find that financial integration contributes to faster economic growth and lower growth uncertainty in the long run. The evidence also shows considerable heterogeneity in the short run. In addition, we find that FDI impedes output growth but mitigates uncertainty in output and consumption growth in the long run. In the short run, FDI has an average negative effect on growth and negligible effect on growth uncertainty, but there are large cross-country differences in response to FDI integration.     

ESG,time horizons,risks and stock returns

Investment time horizon is an important part of significance of ESG factors. This research examines the role of ESG factors in returns and risks in short- and medium-term investment periods. It compares (a) the returns and risks of ESG portfolios between before scoring and after scoring, and (b) the returns and risks between ESG portfolios and their peers.The main results suggest that after scoring most short-term ESG portfolios have similar returns, but lower risks than before scoring. The returns of ESG portfolios are similar to those of nonESG portfolios for both short- and medium-term. There are more ESG portfolios, whose risks are different from nonESG portfolios, in the short-term investment than in the medium-term.ESG factors therefore play a greater role in risks than in returns, and in the short-term than in the medium-term. Additionally, the role of ESG factors in risks varies from industry to industry.     

Commonality in returns,order flows,and liquidity in the Greek stock market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.     

Investor attention,ETF returns,and country-specific factors

Using the data of 47 single-country exchange-traded funds (ETFs) traded in the U.S. from 36 countries during 2004–2017, this research examines the impact of investor attention proxied by Google Search Volume Index and home country-specific factors on different quantile of their returns. Evidence first shows that compared with U.S. investor attention, home country investor attention largely correlates with low to medium ETF returns, supporting the attention-induced price pressure hypothesis. Second, home country-specific factors significantly affect ETF returns at different conditional quantiles. We also find that investors prefer investing in a country with strong similarity to that of the U.S., supporting the cross-country information asymmetry hypothesis. Third, an intervening effect of home country-specific factors exists on the relationship between U.S. investor attention and ETF returns. These findings should help government authorities find appropriate strategies to attract foreign investment and upgrade the value of their capital market as well as provide a reference on efficiency for equity investors.     

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of more than five years of 5‐minute intraday stock index returns for major European stock indices and US macroeconomic surprises, conditional means and volatility behaviour in European markets were investigated. The findings suggest that the opening of the US stock market significantly raises the level of volatility in Europe, all markets responding in an identical fashion. Furthermore, US macroeconomic surprises exert an immediate and major impact on both the European stock markets’ intraday returns and volatilities. Thus, high frequency data appear to be critical for the identification of news impacting the markets.     

Economic and financial crises and the predictability of U.S. stock returns

We argue that the use of publicly available and easily accessible information on economic and financial crises to detect structural breaks in the link between stock returns and macroeconomic predictor variables improves the performance of simple trading rules in real time. In particular, our results suggest that accounting for structural breaks and regime shifts in forecasting regressions caused by economic and financial crises has the potential to increase the out-of-sample predictability of stock returns, the performance of simple trading rules, and the market-timing ability of an investor trading in the U.S. stock market.