Pricing of the time-change risks

We develop an equilibrium endowment economy with Epstein-Zin recursive utility and a Lévy time-change subordinator, which represents a clock that connects business and calendar time. Our setup provides a tractable equilibrium framework for pricing non-Gaussian jump-like risks induced by the time-change, with closed-form solutions for asset prices. Persistence of the time-change shocks leads to predictability of consumption and dividends and time-variation in asset prices and risk premia in calendar time. In numerical calibrations, we show that the risk compensation for Lévy risks accounts for about one-third of the overall equity premium.     

Valuation uncertainty,home and host market uncertainty,and cross-border seasoned equity offerings

This study examines how market timing can affect host market reaction to cross-border seasoned equity offerings (SEOs), an event generally viewed unfavorably by investors. We assume that firms engage in market timing in response to valuation uncertainty (VU), home market uncertainty (HMU) and/or host market uncertainty (HSU), and that raising capital abroad faces higher scrutiny costs and familiarity bias from host market investors. We conjecture that timing strategies provide signals that vary in strength to host market investors and that dual-timing strategies may strengthen an existing signal. Our hypotheses are tested on a sample of 190 cross-border SEOs that were issued on the U.S. stock market between 1990 and 2017 by firms from 29 countries. Using event study methodology, we find that market timing based on VU is negatively related to host market valuation and that a dual-timing strategy with HMU or HSU generally produces a stronger signal. Our results have practical relevance for stock markets that suffer from high uncertainty; we estimate that a high VU firm with a $1 billion valuation suffers a drop of $31.3 million in market valuation during a high host market uncertainty (high HSU) compared with low host market uncertainty (low HSU).     

基于线性相位近似的SOQPSK-TG信号同步算法

SOQPSK-TG （Telemetry Group version of Shaped Offset Quadrature Phase Shift Key）具有良好的频率利用率和功率利用率,广泛应用于无线通信系统当中。在连续通信模式下,SOQPSK-TG信号的同步主要采用直接判决算法。为进一步降低算法复杂度,推导了基于线性相位近似的最大似然估计误差鉴别器,理论上分析了算法估计性能,并搭建了简化的接收模型。通过仿真证明了算法在估计性能上优于脉冲幅度调制方法,算法误码率接近理论性能。     

Capital–Skill Complementarity and Inequality in Sweden

Income inequality increased in Sweden during the 1980s and 1990s, as did the returns to higher education. The main conclusion of this study is that increased income inequality between high‐ and low‐skilled workers is demand driven and is due to the presence of capital–skill complementarity in production. Increased investments in new, more efficient capital equipment, along with a slowdown in the growth rate of skilled labor, have raised the ratio of effective capital inputs per skilled worker, which, in turn, has increased the relative demand (and market return) for skilled labor through the capital–skill complementarity mechanism.     

RISK, SEASONALITY AND THE ASYMMETRIC BEHAVIOUR OF STOCK RETURNS

For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between systematic risk and return across the different months of the year for both large and small firms. In the case of both large and small firms systematic risk appears to be priced in only two months of the year, January and April. During the other months no persistent relationship between systematic risk and return appears to exist. The paper also shows that when systematic risk is priced, the size of the systematic risk premium is higher for large firms than for small firms and varies significantly across the months of the year.     

DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1

This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.     

An Exploration of the Conditional Timing Performance of UK Unit Trusts

Abstract:  We examine the conditional market timing performance of UK unit trusts between January 1988 and December 2002. We find no evidence of superior conditional market timing performance by UK unit trusts either across different portfolios of trusts or by individual trusts. We also find that benchmark investing is significant for UK unit trusts and trusts have high numerical risk aversion to deviations from the benchmark. Our findings suggest that UK trusts act like benchmark investors.     

开发人禽流感险是适应市场勇于创新的表现

当下正是人们普遍关注禽流感疫情之时，民生人寿和华安财险两家保险公司先后推出专门针对人禽流感的定期人寿保险，引起了保险界极大关注，褒贬不一，批评者认为这是哗众取宠；保费没有精算基础；发生大规模赔付怎么办。本文却认为推出人禽流感保险是新兴保险公司适应市场勇于创新的很好表现，开展特色业务一般都是通过经验估计制定费率，尔后在实践中不断调整和完善；在国家和整个社会全体动员积极预防禽流感的情况下，导致疫情大规模扩散引发大规模保险赔付的概率微乎其微，不存在影响其它险种客户利益的情况。     

On the relation between the market-to-book ratio, growth opportunity, and leverage ratio

The negative relation between the market-to-book ratio and leverage ratio is one of the most widely documented empirical regularities in the capital structure literature. Most related studies take this negative relation as given and debate about its economic interpretation. We show that firms with higher market-to-book ratios face lower debt financing costs and borrow more. The relation between the market-to-book ratio and leverage ratio is not monotonic and is positive for most firms (more than 88% of COMPUSTAT firms and more than 95% of total market capitalization). The previously documented negative relation is driven by a subset of firms with high market-to-book ratios.     

THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1

The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest rate economy is established. Subsequently, the American fixed exchange rate foreign equity option and the American equity-linked foreign exchange option are studied in detail.