Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos

The aim of this paper is to analyze the market risk of two types of investment funds, Basic SIEFORE 1 (SB1) and Basic SIEFORE 2 (SB2). To do this, we propose a performance index that will be used in ARIMA-GARCH models and some of its extensions, with the purpose of examining the dynamic behavior of the returns and their volatility on such investment funds. Moreover, the risk premium of both types of funds is analyzed. One of the relevant research results is that yields obtained by these funds in the period studied, are not sufficient to offset the additional risk assumed by the pension funds including equity components. Finally, some remarks are made, on investment policy, about the market risk and how it is being measured and managed in these funds.     

基于高科技行业的管理层股权激励与企业价值关系的实证研究

论文运用面板数据的多元统计分析方法对沪深两市高科技行业上市公司的管理层股权激励和企业价值的关系进行实证研究，结果发现：企业价值与管理层股权激励比例、经营活动现金流量／总资产、息税前利润／总资产正相关，与企业规模、资产负债率、国有股比例负相关。并根据研究结果提出了相关建议。     

Uncovered Equity Parity and rebalancing in international portfolios

Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to foreign currency depreciation. We examine the relationship between U.S. investors' portfolio reallocations and returns and find some evidence consistent with UEP: Portfolio shifts are related to past returns in the underlying equity markets. But we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U.S. investors rebalance away from equity markets that recently performed well and move into equity markets just prior to relatively strong performance, suggesting tactical reallocations to increase returns rather than reduce risk.     

The determinants of equity agency conflicts between managers and shareholders: Evidence from Australia

We analyse the determinants of equity agency costs for the top 500 Australian listed firms. Data are collected over four one-year periods (2004, 2005, 2010 and 2011) and analysed using both pooled OLS regression and two stage least squares regression within a random effects panel data model. Analysis covers the full four-year period, the pre global financial crisis (GFC) sub-period (2004 and 2005) and the post GFC sub-period (2010 and 2011). Shareholding, board characteristics and debt financing are found to have an impact on agency costs though there is evidence of some change in these relations with the onset of the GFC, particularly with respect to the impact of insider ownership and board size.     

Why disagreement may not matter (much) for asset prices

A simple consumption-based two-period model is used to study the (theoretical) effects of disagreement on asset prices. Analytical and numerical results show that individual uncertainty has a much larger effect on risk premia than disagreement if (i) the risk aversion is reasonably high and (ii) individual uncertainty is not much smaller than disagreement. Evidence from survey data on beliefs about output growth suggests that the latter is more than satisfied.     

Claiming Strategies and Premium Levels for Bonus Malus Systems

In this paper we study a bonus malus system (bms) with deductibles. A bms is characterized by its premium levels and the transition rules among them. An insured is being moved among premium levels according to his/her claim record. Thus, an insured has to find an optimal strategy of submitting claims. Here optimal is in the sense of minimizing the total expected present value (epv) costs. Such strategies are found both for finite and infinite horizons. Furthermore, premium levels balancing the cost to the insured and the payoff of the insurer are given. The methods used to analyze the problem are from dynamic programming and Markov chains.     

Global asset prices and FOMC announcements

This paper analyzes the impact of U.S. monetary policy announcement surprises on foreign equity indexes, short- and long-term interest rates, and exchange rates in 49 countries. We use two proxies for monetary policy surprises: the surprise change to the current target federal funds rate (target surprise) and the revision to the expected path of future monetary policy (path surprise). We find that different asset classes respond to different components of the monetary policy surprises. Global equity indexes respond mainly to the target surprise; exchange rates and long-term interest rates respond mainly to the path surprise; and short-term interest rates respond to both surprises. On average, a hypothetical surprise 25-basis-point cut in the federal funds target rate is associated with about a 1 percent increase in foreign equity indexes and a 5 basis point decline in foreign short-term interest rates. A surprise 25-basis-point downward revision in the expected path of future policy is associated with about a ½ percent decline in the exchange value of the dollar against foreign currencies and 5 and 8 basis point declines in short- and long-term interest rates, respectively. We also find that asset prices’ responses to FOMC announcements vary greatly across countries, and that these cross-country variations in the response are related to a country’s exchange rate regime. Equity indexes and interest rates in countries with a less flexible exchange rate regime respond more to U.S. monetary policy surprises. In addition, the cross-country variation in the equity market response is strongly related to the percentage of each country’s equity market capitalization owned by U.S. investors. This result suggests that investors’ asset holdings may play a role in transmitting monetary policy surprises across countries.     

美国私募股权基金融资渠道研究及对中国的启示

在美国私募股权基金最早是以风险投资的形式出现的,它的出现极大地推动了美国中小企业尤其是高科技产业的发展。美国的私募股权基金获得极大发展的重要原因是政府对其资金来源管制的逐渐放松。本文研究了现阶段美国私募股权基金主要的资金来源,从而对我国拓宽私募股权基金的融资渠道提供借鉴,有助于促进我国私募股权基金的发展,从而促进我国经济的发展。     

地方环境规制中的代际公平问题研究

代际公平问题涉及当代人与后代人之间的福利和资源分配问题,是衡量可持续发展的标准之一。在地方层面,由于代际市场的缺失以及代内决策者的有限理性,环境规制很难避免代际外部性和代际利益冲突的产生。结合我国转轨时期的现实背景,对地方环境规制中的代际公平问题进行分析,并提出改革思路和政策建议。     

The effects of portfolio size on international equity home bias puzzle

This paper investigates a new explanation for the international equity home bias puzzle based on an endogenous asymmetric information model. Using a cross-sectional mutual fund data set, it is found that the degrees of home bias across fund managers are negatively correlated to the asset sizes under their management. This result is consistent with the theoretical prediction in the endogenous asymmetric information model—the portfolio managers with the larger assets tend to acquire more information regarding foreign equity and, hence, hold more foreign equity holdings.