Past Returns and Investment Trust Discounts

Abstract:   The relationship between past net asset value returns and the current discount on investment trusts is investigated. The relationship is weaker for the component that is common to all trusts in the same sector, and is significantly stronger for more liquid trusts. The time lag before returns have their full impact on discounts is consistent with the requirements of distinguishing 'skill' from noise. Although discounts vary widely even within the same sector, the range of variation appears to be consistent with an arbitrage equilibrium, in which the profits of exploiting apparent pricing anomalies are just insufficient to invite arbitrage trades.     

Preferences in the Future

Environmental economics has been much occupied with the discount rate, which is the value of future costs and benefits relative to present costsor benefits. But at least as important is the question of whatshould be discounted, that is, what the value of those future environmentalbenefits is to future generations. This paper analyzes the role for futurepreferences and discusses the state of knowledge. I argue that theappropriate discount rate is the market one, and that the real problemis determining future willingness-to-pay. This approach makes clearerthe connection between discounting and the valuation debate.This paper focuses on two features that have been prominent in that debate:existence value and reference dependence. I argue that thereis a vital connection between the two constructs and that this link yieldsimportant implications for future willingness-to-pay.     

我国封闭式基金折价与基金运行绩效的相关性检验

笔者以我国的封闭式基金为样本,利用面板数据建模,综合考量了基金折价率与基金绩效指标间相关关系.研究结果发现,基金绩效指标对当期折价指标有显著的负的影响;而当期的基金折价指标不能准确预测未来绩效水平,即基金折价率并没有提供对未来基金绩效的有价值信息.     

基于提前期和价格折扣的延迟交货和库存策略研究

研究了基于提前期和价格折扣的延迟交货和库存策略,其中的价格折扣是基于提前期的价格折扣,即当出现缺货而不能在既定的提前期内交货时,企业就会提供一个价格折扣,这时会有一部分顾客愿意等待,直到订单被满足,即延迟交货。其中,愿意等待延迟交货的比例跟提前期成反比关系,提前期的各部分都可以通过增加成本来实现压缩。     

用数学模型求解票据转贴现中的盈亏平衡点

近几年,票据转贴现业务在银行间市场兴起,并迅速壮大,但关于该业务的报价分析和深入研究几乎是空白。作者结合对银行资金交易的全面了解,以及工作中对票据转贴现业务的深入分析,找出对票据转贴现盈亏起决定作用的因素,进而,依据＂盈亏平衡＂理论,建立数学模型,精确推导出合理的贴现率报价,使得报价行在保证持有票据期间的期望收益率后,最大化持有期收益或最小化持有期的亏损。     

Do analysts add value when they most can? Evidence from corporate spin‐offs

This article investigates how securities analysts help investors understand the value of diversification. By studying the research that analysts produce about companies that have announced corporate spin‐offs, we gain unique insights into how analysts portray diversified firms to the investment community. We find that while analysts' research about these companies is associated with improved forecast accuracy, the value of their research about the spun‐off subsidiaries is more limited. For both diversified firms and their spun‐off subsidiaries, analysts' research is more valuable when information asymmetry between the management of these entities and investors is higher. These findings contribute to the corporate strategy literature by shedding light on the roots of the diversification discount and by showing how analysts' research enables investors to overcome asymmetric information. Copyright © 2013 John Wiley & Sons, Ltd.     

Venture capital trusts and the expiration of IPO lock-up provisions

Venture capital trusts (VCTs) were introduced to provide private equity capital for small expanding companies and to promote innovation. Investors in initial public offerings are rewarded with tax relief on the cost of lock-up provisions to stabilize the market. This paper examines the market reaction and trading activity around the expiration of lock-up provisions of 148 VCTs listed on the London Stock Exchange from 1995 to 2006. Downward-sloping demand curve theory suggests that an increased supply of VCT shares at the expiry date could shift their value to a new equilibrium at a lower price. Supporting this prediction, we document evidence of negative abnormal returns as well as permanent increases in the price discount relative to net asset value and trading volumes at and around the expiries of the required holding periods of VCTs. In addition, less negative abnormal returns, lower abnormal discounts and lower abnormal trading volumes are associated with VCTs that invest in AIM-listed companies due to lower information asymmetry, that experience lower prior performance due to a less pronounced disposition effect, and that are subject to a shorter lock-up horizon or are offering more generous tax benefits.     

Dividend reinvestment plans: An empirical analysis

This study examines the effect of initiating discount and no discount dividend reinvestment plans on shareholder wealth. The results show a negative response to DRP announcements, which is significantly smaller than that found in studies of new equity offerings. These results are consistent with the Scholes and Wolfson (1989) hypothesis that managers in need of equity capital use DRPs to mitigate the adverse stock price effects of new equity issue announcements. Furthermore, there is a significant difference in the price response of discount and no discount DRPs for industrial firms. This result is supportive of the signaling potential of discount DRPs. Supportive evidence is also found in the analysis of firm characteristics for industrial firms.     

Declining Discount Rates: The Long and the Short of it

The last few years have witnessed important advances in our understanding of time preference and social discounting. In particular, several rationales for the use of time-varying social discount rates have emerged. These rationales range from the ad hoc to the formal, with some founded solely in economic theory while others reflect principles of intergenerational equity. While these advances are to be applauded, the practitioner is left with a confusing array of rationales and the sense that almost any discount rate can be justified. This paper draws together these different strands and provides a critical review of past and present contributions to this literature. In addition to this we highlight some of the problems with employing DDRs in the decision-making process, the most pressing of which may be time inconsistency. We clarify their practical implications, and potential pitfalls, of the more credible rationales and argue that some approaches popular in environmental economics literature are ill-conceived. Finally, we illustrate the impact of different approaches by examining global warming and nuclear power investment. This includes an application and extension of Newell and Pizer [‘Discounting the benefits of climate change mitigation : how much do uncertain rates increase valuations?’ Journal of Environmental Economics and Management 46 (2003) 52] to UK interest rate data.     

具有折扣因子的供应链库存控制模式研究

针对具有折扣因子的供应链环境,建立了供应链库存控制模式的系统动力学仿真模型;模型经过参数优化,比较了三种供应链库存控制模式(看板、CONWIP及混合控制模式)的运行效果,并对折扣因子进行了灵敏度分析。通过模型研究,得出三种模式在具有折扣因子的供应链环境下的优缺点,并指出混合控制模式是该环境下的较优控制策略。