An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method

The paper examines the equity market price interaction between Australia and the European Union – represented by the UK, Germany and France – based on the Toda–Yamamoto causality test, which is bootstrapped with leveraged adjustments. A new information criterion is used to choose the optimal lag order. Weekly MSCI data covering the period 1988 to 2001 is used, divided into two subperiods to allow for a structural break arising from the ERM crisis of 1992. Results show that, during the period before the ERM crisis, no significant causal links exist between Australia and any of three EU countries. During the period after the ERM crisis, Australia also had no causal links with Germany and France but it had with the UK, with causality running from the UK to Australia but not vice-versa. Thus, Australian investors may find the German and French, but not the UK, equity markets, attractive venues for their international diversification. German and French, but not British, investors may also obtain the same benefit from the Australian equity market.     

Venture Capital and Other Private Equity: a Survey

We review the theory and evidence on venture capital (VC) and other private equity: why professional private equity exists, what private equity managers do with their portfolio companies, what returns they earn, who earns more and why, what determines the design of contracts signed between (i) private equity managers and their portfolio companies and (ii) private equity managers and their investors (limited partners), and how/whether these contractual designs affect outcomes. Findings highlight the importance of private ownership, and information asymmetry and illiquidity associated with it, as a key explanatory factor of what makes private equity different from other asset classes.     

国外管理层收购对国企改制的启示与借鉴

管理者收购或经理层融资收购(MBO)是国外应用的一种企业重组方式。通过研究国外MBO产生发展的背景、制度和外部环境,以及对MBO的效应评价,对国内管理层融资收购企业情况进行了分析,论述了国内实行MBO面临的几方面问题。     

论杠杆收购及其风险防范

杠杆收购具有高收益、高负债、高风险、高效率性以及收购公司不负担投资义务等特点。杠杆收购中存在还本、再筹资并购、支付成本、财务、信息等风险。在杠杆收购中应制定控制防范措施,重视杠杆收购目标企业的选择;采用科学的方法进行杠杆收购的估价评价;合理确定杠杆收购筹资的财务模式与重整和上市,以此对风险进行防范。     

管理者收购盈余管理研究初探

在对国外管理者收购盈余管理研究现状进行综述的基础上,结合我国现在已发生的三例管理者收购案例,提出我国管理者收购盈余管理需要研究的具体问题,包括待检验的的各项假设和管理者收购盈余管理引伸的企业定价、信息披露、管理者收购后企业运行效率的检验等问题。     

Exchange traded funds: leverage and liquidity

This paper examines the differences between leveraged and unleveraged Exchange Traded Funds (ETFs), particularly for liquidity and volatility characteristics. The impact of leverage on intraday liquidity (spread and depth) is analysed in two periods – one of normal volatility and the other of abnormal/high volatility. There is a significant difference in spread and depth of leveraged and unleveraged ETFs in periods of both normal volatility and high volatility; however, this difference is more pronounced in higher volatility periods. In high volatility periods, liquidity typically diminishes in all ETFs, and this is even more so for the leveraged ETFs. When leveraged ETFs are segregated into multiples based on their power to replicate the underlying benchmark (i.e. multiples of ?3, ?2, ?1, 2, 3), the difference in spreads between normal and high volatility periods is typically larger. The double-leveraged ETF has the most significant difference between the positive and negative counter parts. However, the relationship in the progression of the multiples does not change linearly to correspond with the level of volatility. This may be due to the nonlinear relation between volume and volatility. We shed light on the magnification effect of financial leverage on microstructure of the ETFs.     

浅谈管理层收购在我国的应用

本文通过分析国内管理层收购的特点,指出目前我国实行管理层收购中存在的差距和不足,提出解决的方法。     

UNSEASONED EQUITY OFFERINGS MBO-IPOs vs NON-MBO-IPOs

In this paper we examine the degree of under-pricing of two different types of unseasoned equity offerings (IPOs), namely MBO-IPOs and non-MBO-IPOs. Since, MBO-IPOs were previously subsidiaries or divisions of publicly listed companies which were taken private by a group of managers and then reverted back to public ownership; there should be a lower level of information asymmetry between the market on the one hand and the company and its underwriters on the other. Thus, if under-pricing is mainly the result of uncertainty about the market value of the issuing firm, the information asymmetry hypothesis would predict that, compared with the non-MBO-IPOs, MBO-IPOs should exhibit a significantly lower degree of under-pricing. The results show that MBO-IPOs are less under-priced than non-MBO-IPOs. However, the difference is not statistically significant.