Estimating the equity premium

Accurate estimation of the equity premium (the expected difference between the returns to a well-diversified stock market portfolio and a riskfree asset) is of central importance in many applications of finance theory including project appraisal and portfolio selection. The standard approach is to take the average observed excess returns to the market over some recent time period (sometimes referred to as the ex post equity premium) and apply this as an unbiased estimate of the ex ante equity premium. The paper reviews the problems associated with such an approach and contrasts it with alternative theoretical techniques.     

THE INFLUENCE OF FUNDAMENTALS ON EXCHANGE RATES: FINDINGS FROM ANALYSES OF NEWS EFFECTS

Abstract As we survey the literature of macroeconomic news in the foreign exchange market, we can by now look back on nearly 30 years of research. The first studies which analysed news effects on exchange rates were established in the early 1990s (see, for example, Dornbusch). Almost at the same time Meese and Rogoff published their influential paper, revealing the forecasting inferiority in exchange rates of structural models against the random walk. This finding has shocked the pillars of exchange rate economics and thus cast general suspicion on research focusing on fundamentals in this field. The eventual rising popularity of event studies can partly be attributed to the re‐establishment of the raison d’être of exchange rate economics. This work focuses on systematically surveying this literature with particular respect to its primary goal, i.e. shedding light on the analytical value of fundamental research. Thus, its major findings are, first, fundamental news does matter, whereas non‐fundamental news matters to a lesser degree. Second, news influences exchange rates via two separated channels, i.e. incorporating common information into prices directly or indirectly based upon order flow. Third, with a few exceptions the impact of fundamental news on exchange rates is fairly stable over time.     

中国富人慈善事业的现状与对策——基于社会交换理论的分析

由于受传统文化、激励机制不完善、相关法律法规滞后的影响,中国的富人慈善事业存在着捐赠量较小、捐赠领域不均衡、慈善载体公信力不足等问题,未充分发挥其在实现社会公平方面的作用。文章利用社会交换理论,分析了从事社会慈善事业给富人自身及其拥有的企业、基金会等带来的内在和外在的收益,并有针对性地对其进一步发展提出了建议。     

The economic benefits of market timing the style allocation of characteristic-based portfolios

Many exchange traded funds track simple characteristic-based equity portfolios such as the market capitalization, the fundamental value or the inverse volatility portfolio. This paper provides theoretical and empirical evidence for the economic benefits in exploiting the timing-gains that result from the time-varying relative performance of these characteristic-based portfolios. Under a factor model for expected returns, we show that this dynamic portfolio allocation can be efficient across the low-dimensional set of characteristic-based portfolios. We assess the out-of-sample performance on the S&P 100 universe over the period 1990–2013 and show gains in stability and significant positive risk-adjusted returns for the dynamic style portfolio. We conduct several robustness tests and extensions confirming the benefits of dynamic style allocation across characteristic-based portfolios.     

An empirical analysis of China's equilibrium exchange rate: A co-integration approach

This paper estimates time specific values for China's long-run equilibrium exchange rate and develops measures of the direction and extent of misalignment based on a reduced-form real effective exchange rate (REER) model. An appropriately specified long-run equilibrium model is estimated and tested following Johansen and Juselius (1990) procedures, which is then used to construct an estimated time path for long-run equilibrium exchange rate values.Unit root tests indicated that each series can be considered as I(1) and that there was one cointegrating relationship linking the RMB series with its “fundamentals” – openness, money supply, productivity and government spending – with long-run elasticities of (0.41), (0.97), (0.51) and (0.75), respectively. The estimated error-correction model of REER determination showed that during China's latest exchange rate regime (from 2005:Q3) the RMB was undervalued by an average of 6.7 percent, which is modest compared to related studies.Estimation of the associated short-run error correction model shows that the error correction term has a statistically significant value of 0.85, implying that the actual real effective exchange rates would converge relatively quickly (just over one quarter, on average) towards their long-run equilibrium level in the absence of central bank intervention.     

Mexican Peso Futures and Exchange Rate Volatility

Abstract

The reintroduction of Mexican peso futures contracts in April 1995 resulted from a refocus of governmental policy to the use of market-based mechanisms to stabilize the exchange rate. Interest in the Mexican peso future contracts has been high as investors look to manage their exposure from transactions and investments denominated in pesos. This study utilizes a VAR framework to analyze the relationship between the volatility in the Mexican peso spot market and futures contracts trading activity. Shocks to the exchange rate volatility lead to increased hedg-ing-type activity. Furthermore, an increase in futures contracts trading activity (reflecting additional speculation-type activity) results in a short-run increase in volatility. A Granger Causality test also indicates a statistically significant link between spot price volatility and futures trading activity in the Mexican peso exchange market.

RESUMEN

La reintroducción de los contratos futuros del peso mexicano en abril de 1995, resultó del nuevo enfoque de la política gubernamental de usar los mecanismos de mercado para estabilizar la tasa cambiaria. Ha habido mucho interés en los contratos futuros del peso mexicano, ya que los inversores buscan administrar su exposición a las transacciones e inversiones denominadas en pesos. Este estudio utiliza el marco del VAR para analizar la relación existente entre la volatilidad del peso mexicano en el mercado spot y la actividad de negociación de los contratos futuros. Los choques sufridos por la volatilidad de la tasa cambiaria resultan en un aumento de las actividades del tipo hedging. Además, un aumento en la actividad de negociación de los contratos futuros (que refleja otras actividades de naturaleza especulativa) provoca, a corto plazo, un aumento en la volatilidad. Una prueba Granger Causality también indica un vínculo estadísticamente significativo entre la volatilidad del precio spot y la actividad de negociación del mercado futuro en el mercado cambiario del peso mexicano.

RESUMO

A reintrodução dos contratos futuros em peso mexicano, em abril de 1995, foi o resultado de uma revisão da política governamental, em relação ao uso dos mecanismos baseados no mercado para estabilizar a taxa de câmbio. Os juros dos contratos futuros, em peso mexicano, foram altos, devido ao cuidado dos investidores em administrar o risco das transaç[otilde]es e dos investimentos efetuados em pesos. Este estudo utiliza a estrutura VAR, para analisar o relacionamento entre a volatilidade do mercado local, em peso mexicano, e a atividade comercial de contratos futuros. Choques aplicados à volatilidade da taxa de câmbio contribuíram para o aumento das atividades típicas de hedging. Além disso, um crescimento da atividade comercial de contratos futuros (refletindo uma atividade basicamente especulativa) ocasiona um rápido aumento na volatilidade. O teste Granger Causality indica, também, um vínculo estatístico significativo entre a volatilidade do preço local e a atividade comercial de futuros no mercado cambial do peso mexicano.     

A good deal online: The Impacts of acquisition and transaction value on E-satisfaction and E-loyalty

Relying on Thaler's exchange theory, this research examines the unique effects of perceived transaction and acquisition values on consumer e-satisfaction and e-loyalty in an e-commerce setting, along with the moderating role of product/ service category. Overall, consumers' perceptions of transaction value lead to their e-dissatisfaction. Hence, obtaining a good deal does not have the same meaning and influence depending on the type of buying trip (exploratory or goal-directed). These results confirm Thaler's exchange theory's usefulness to analyzing the impact of perceived value on e-satisfaction and e-loyalty. Additionally, in a managerial perspective, this research underlines the importance of adapting promotional strategies to online contexts, since online purchase experience improves when there is an alignment between the customer's goals and the e-tailer’s online offering.     

Combining forecasts: some results on exchange and interest rates

The aim of this work is to investigate whether the combination of forecasts plays an important role in the improvement of forecast accuracy Particular attention is paid to: (a) the methods of forecasting (the methods compared are neural networks, fuzzy logic, GARCH models, switching regime and chaotic dynamics); (b) combining the forecasts provided by the different methods. This work has also the aim of revising a short-term econometric forecast using a longer-term forecast. The revision process usually runs the opposite way (revision is made on a longer-term forecast using a short-term one to reflect the current available information, but it is not excluded that it is possible to proceed as described above. Daily data from the financial market is used. Some empirical applications on exchange and interest rates are given.     

Kalecki on money and finance

It is argued that Kalecki had a greater appreciation of the role of the monetary sector than has been generally recognized, and that Kalecki presented ideas which can be seen as now embedded in the structuralist post Keynesian analysis of endogenous money and in the circuitist approach. Six key features of Kalecki's monetary analysis are identified. The paper outlines Kalecki's dismissal of the ‘Pigou effect’ and the ‘Keynes effect’, and then discussion the relationship between the ‘principle of increasing risk’ and the nature of the supply of credit. It discusses interest determination in Kalecki's writings and the manner in which he distinguished different types of money.     

中小企业内地创业板上市的财务战略筹划

本文通过对中小企业财务的核心要素进行系统分析,结合创业板对上市企业财务上的具体要求,提出中小企业在筹备创业板上市的过程中的财务战略筹划方案。