BOND MARKET REACTION TO STOCK REPURCHASES: IS THERE A WEALTH TRANSFER EFFECT?

We reexamine the bondholder wealth impact of stock repurchases with a focus on the wealth transfer effect. We do not detect any transfer of wealth from bondholders to shareholders surrounding open market stock repurchases. For the overall sample (1994–2002), using daily data we document a significant decrease in bond yields surrounding repurchase announcements. Subsamples classified by attributes that capture wealth transfer propensity also do not reveal evidence consistent with a wealth transfer effect. Correlation analysis between bond and stockholder wealth effects similarly is not supportive of a wealth transfer effect. Contrary to the wealth transfer hypothesis, we document a greater proportion of bond rating upgrades than downgrades in the three months following a repurchase announcement. Our results are robust to alternate bond price data and event return methodology.     

DO INSTITUTIONAL INVESTORS IN THE UK ADOPT A DUAL STRATEGY FOR MANAGING FOREIGN EXCHANGE RISK?

In recent years, the gradual increase in international portfolio diversification within the UK institutional investment community has led to a growing need to manage foreign exchange (FX) risk. This paper reports on the findings of a postal questionnaire survey relating to FX risk management practices in UK institutional investment organisations. The findings demonstrate an increasing awareness of the FX risk management problem and indicate that UK investment institutions actively manage FX risk within their investment portfolios. The paper also focuses on the interesting question of whether UK institutional investors manage their own portfolio's FX risk, simultaneously concerning themselves with their investee companies’ FX risk management practices. Overall, the findings indicate that institutional investors adopt adual strategyfor managing FX risk; not only managing their own FX risk, but also requiring that their investee companies manage FX risk. There is also evidence to suggest that the institutional investors require their investee companies to disclose information relating to their FX risk management policies.     

A股独秀?

编者按进入09年,在政策及市场乐观预期的推动下,A股仍一枝独秀。但从最近连续两周的调整来看,A股很显然越来越多地受到外围市场的影响。所以我们认为,在这种"两难"之下,投资者寻找A股中"进可攻,退可守"的安全品种,     

A股造顶?

编者按:连续的"黑色星期三"表明,A股并非高枕无忧。现在的问题是这种调整是否预示着A股已迎来阶段性顶部?从近期市场格局来看,不论A股造顶与否,其收益已明显趋淡。面对震荡,后市的主要机会还在于那些盈利确定,且上半年行情中相对"滞涨"的品种。     

A股市场风吹何处?

“十三五规划及改革红利为市场上行提供了重要支撑,2016年A股慢牛行情依然可期”—2015年底众多机构对A股向好的预期言犹在耳,A股新年首个交易周“开门黑”,却给市场兜头泼了一盆冰水。而随着新年后连续十多个交易日的下跌,随着沪指接连失去3500点、3000点、2850点的重要心理关口,市场上投资者的心态越来越悲观,熊市气氛似乎也愈发地浓厚。2016年,A股市场还能迎来转机吗？     

A consumer‐oriented culture?

Public sector managers are asked to ‘stay close to the customer’ and to develop a consumer‐oriented culture. While important lessons from the private sector ‐ if properly translated—can be applied to the public sector, this does not mean that existing skills need to be abandoned, rather supplemented.     

A股泡沫化了吗?

相关背景继罗杰斯接受央视访谈时暗示A股出现泡沫后,全国人大常委会副委员长成思危日前在接受英国《金融时报》记者采访时也表示,股市泡沫正在形成,七成上市公司没有达到国际标准。另一派显居主流地位的代表性观点则认为中国股市只是恢复性上涨,以价值重估为首要主题的牛市行情     

A股迎来长牛?

近期,投资者眼中的A股正如段子所说,不识A股真面目,只缘身在此山中。进入严冬,A股开启"疯牛模式",飙升的股指令各路投资者沉浸在红绿交错光影之中,即便是突如其来的巨大振幅也难挡递次上涨的天量成交。股民一方面经历着暴涨的狂喜,一方面也在潜在的风险中辗转难眠。多家机构及个人,普遍认为牛     

A股领导H股?

相关背景从历史来看,A H股中A股始终对H股存在溢价。去年上半年,A股市场出现多次明显的大幅震荡,在时间和相关板块上都与H股市场有密切联系,因此市场上关于A股市场成为H股“影子”市场的质疑喧嚣一时。不过,从2006年下半年开始,基于人民币升值预期以及中国银行、中国国航、大秦     

A股估值面临挑战?

本周招行H股一路高歌猛进,一举超越A股,出现A股价格倒挂的现象,A股是否存在低估?在A H的42家公司中,随着AH指数的推出,是否意味着两地价差将快速收窄?那些高溢价的A股,是否就一定意味着高风险?两地并轨,将会采取何种方式?本专题邀请业内专家为投资者作出详细剖析。     

DOES SPEED MATTER? THE ROLE OF HIGH-FREQUENCY TRADING FOR ORDER BOOK RESILIENCY

We analyze limit order book resiliency following liquidity shocks initiated by large market orders. Based on a unique data set, we investigate whether high-frequency traders are involved in replenishing the order book. Therefore, we relate the net liquidity provision of high-frequency traders, algorithmic traders, and human traders around these market impact events to order book resiliency. Although all groups of traders react, our results show that only high-frequency traders reduce the spread within the first seconds after the market impact event. Order book depth replenishment, however, takes significantly longer and is mainly accomplished by human traders’ liquidity provision.     

EARNINGS NEWS AND MARKET RISK: IS THE MAGNITUDE OF THE POSTEARNINGS ANNOUNCEMENT DRIFT UNDERESTIMATED?

Postearnings announcement drift is the tendency for cumulative abnormal returns to drift in the direction of earnings surprise after the earnings news is released. I show that a standard approach to measuring abnormal returns by using preannouncement estimates of market risk (betas) causes the magnitude of this phenomenon to be significantly underestimated. I find that stock beta tends to rise (fall) following the release of bad (good) earnings news. In addition, I find that by not taking into account postannouncement shifts in betas, prior studies are likely to have underestimated the magnitude of the drift. My results are robust to different model specifications, as well as to different earnings surprise measures.