Noise and Expected Return in Chinese A-share Stock Market. By Chong QIAN Chien-Ting LIN
|
|
- Emily Fox
- 5 years ago
- Views:
Transcription
1 Nose and Expeced Reurn n Chnese A-share Sock Marke By Chong QIAN Chen-Tng LIN 1
2 } Capal Asse Prcng Model (CAPM) by Sharpe (1964), Lnner (1965) and Mossn (1966) E ( R, ) R f, + [ E( Rm, ) R f, = β ] + ε E E ( R, R f, ( R m, ) ) = he expeced reurn of porfolo a me = he rsk free rae a me = he marke reurn a me } If he model holds, Bea β should be all ha maers n asse prcng n he world
3 } Frm sze effec Banz (1981) found ha small frms socks earn sgnfcanly hgher reurns han hose of large frms. } Book-o-marke equy effec Rosenberg e al. (1985) llusrae ha socks wh hgh book-o-marke equy rao have hgher reurns han socks wh low book-o-marke equy rao. } Momenum effec Tradng sraeges ha buy pas wnners and sell pas losers realze sgnfcan abnormal reurns over he 1965 o 1989 perod (Jegadeesh and Tman, 1993)
4 } Wh he movaon of mprovng Fama and French s (1993) 3-facor model, Carhar (1997) consruced a 4-facor model: R R = α + β ) + s SMB + h HML + wwml + ε f, ( Rm, R f, R Rf, R m, R f, HML = reurn of porfolo n excess of rsk free rae = excess reurn on marke proxy SMB = sze facor = book-o-marke equy facor WML = momenum facor } Sze, Book-o-Marke equy and momenum facors explan he varaon n sock reurns well.
5 } Nose Devaon from he sock value (Black, 1986). Arno, Hsu, Lu & Markowz (2007) argue ha he sock has negave nose n prce should ouperform he sock wh posve nose. } Nose and frm sze effec The large sze socks are he resul of a posve nose; The small sze socks are he resul of a negave nose (Arno, 2005). } Nose and book-o-marke effec Hgh (Low) book-o-marke equy rao mgh caused by negave (posve) nose. } Nose and momenum effec Posve feedback radng as a resul of exrapolang a pas good (poor) performance oo far no he fuure Lee and Swamnahan (2000). Nose generaon adds fuel o he connuaon of prce momenum.
6 } Research gap No emprcal nvesgaon has been done on he nose effec and he causal relaon of nose o sze, book-o-marke equy and momenum effecs. } Research quesons Does nose gve rse o sze, book-o-marke equy and momenum effecs? If no, does nose rsk premum exs afer conrollng for sze, book-omarke equy and momenum facors?
7 } Develop mehods for esmang he nose. } Invesgae he casual relaon of nose o frm sze effec, book-o-marke effec and momenum effec respecvely. } Provde emprcal evdence n supporng he exsence of nose rsk premum. } Improve he Carhar s (1997)4-facor model.
8 } Monhly daa on all A-shares raded on he SHSE and he SZSE n Chnese sock marke coverng he perod of January 2000 o January 2007 s obaned from Daasream. } To be ncluded n he sample, a frm mus have avalable nformaon on capalsaon and relevan accounng daa (P/E and P/B rao ec).
9 P/B mehod PB 1 =,( j n 1 1/ n = ( B j, / Pj, ) n= j ) P / B V = B * PB PB, P j, B j, P B V / = he benchmark P/B mulple (harmonc mean) for he arge frm a me = prce per share of equy for frm j a he end of perod = he book value per share for frm j a he end of perod = he fundamenal value per share of frm from P/B approach
10 P/E mehod PE, PE E j, P E V / 1 =,( j n 1 1/ n = ( E j, / Pj, ) n= j ) P / E V = E * = he benchmark P/E mulple (harmonc mean) for he arge frm a me PE = he earnngs per share for frm j a he end of perod = he value per share of frm esmaed from P/E approach Esmae he value of sock from P/E and P/B combned approach V P / E& P / B P/ E& P/ B V, = ( V P / E + V 2 P / B ) = he value per share of frm esmaed from P/E and P/B combned approach
11 } Measure he value of nose Accordng o Black (1986), he nose can be measured as he dfference beween he marke prce and fundamenal value. Nose: λ = P, V P / E& P / B } Porfolo Aggregaon Procedures The sample socks are sored by sze, book-o-marke equy, pas reurns and nose o consruc porfolos. The porfolos are rebalanced a he begnnng of each year. Nose Facor NMP = he excess average reurn of porfolo wh negave nose socks over porfolo wh posve nose frm socks a me.
12 } Reasons for usng panel regresson model Our sample daa se has boh cross-seconal and me seres dmensons, herefore, should be denfed as panel daa. For he economerc analyss of panel daa, we canno assume ha he observaons are ndependenly dsrbued across me (Wooldrdge, 2006). Hence,unobserved facors whch can be deeced by me seres approach may exs. } Panel regresson Model: R R f, = + β Rm, R f, ) α ( + s SMB + h HML + wwml + n NMP + a + ε a = he unobserved facor } Hypohess: H1: The nose effec s sgnfcan H : 1 n 0
13
14
15
16 } Deermne he nose effec and prove he exsence of nose rskpremum afer conrollng for Carhar s four facors. } Doubs on hose clams ha he nose no only creaes he hgher reurns for small sze and hgh book-o-marke equy socks o some exen, bu also plays a crucal role n undersandng he momenum effec. } Improve he Carhar s 4-facor model by ncludng he nose facor.
17 Thank You & Quesons
Differences in the Price-Earning-Return Relationship between Internet and Traditional Firms
Dfferences n he Prce-Earnng-Reurn Relaonshp beween Inerne and Tradonal Frms Jaehan Koh Ph.D. Program College of Busness Admnsraon Unversy of Texas-Pan Amercan jhkoh@upa.edu Bn Wang Asssan Professor Compuer
More informationBaoding, Hebei, China. *Corresponding author
2016 3 rd Inernaonal Conference on Economcs and Managemen (ICEM 2016) ISBN: 978-1-60595-368-7 Research on he Applcably of Fama-French Three-Facor Model of Elecrc Power Indusry n Chnese Sock Marke Yeld
More informationCorrelation of default
efaul Correlaon Correlaon of defaul If Oblgor A s cred qualy deeroraes, how well does he cred qualy of Oblgor B correlae o Oblgor A? Some emprcal observaons are efaul correlaons are general low hough hey
More informationThe Underperformance of IPOs: the Sensitivity of the Choice of Empirical Method
Journal of Economcs and Busness Vol. XI 2008, No 1 & No 2 The Underperformance of IPOs: he Sensvy of he Choce of Emprcal Mehod Wald Saleh & Ahmad Mashal ARAB OPEN UNIVERSITY Absrac Ths paper nvesgaes he
More informationDynamic Relationship and Volatility Spillover Between the Stock Market and the Foreign Exchange market in Pakistan: Evidence from VAR-EGARCH Modelling
Dynamc Relaonshp and Volaly pllover Beween he ock Marke and he Foregn xchange marke n Paksan: vdence from VAR-GARCH Modellng Dr. Abdul Qayyum Dr. Muhammad Arshad Khan Inroducon A volale sock and exchange
More informationCash Flow, Currency Risk, and the Cost of Capital
Cash Flow, Currency Rsk, and he Cos of Capal Workng Paper Seres 11-12 Ocober 2011 Dng Du Norhern Arzona Unversy The W. A. Franke College of Busness PO Box 15066 Flagsaff, AZ 86011.5066 dng.du@nau.edu (928)
More informationAssessment of The relation between systematic risk and debt to cash flow ratio
Inernaonal Journal of Engneerng Research And Managemen (IJERM) ISSN : 349-058, Volume-0, Issue-04, Aprl 015 Assessmen of The relaon beween sysemac rsk and deb o cash flow rao Moaba Mosaeran Guran, Akbar
More informationDo Analyst Earnings Beta Explain Growth Anomaly?
Sngapore Managemen Unversy Insuonal Knowledge a Sngapore Managemen Unversy Dsseraons and Theses Collecon (Open Access Dsseraons and Theses 2 Do Analys Earnngs Bea Explan Growh Anomaly? Phuong Thanh Sophe
More informationFindings from a Cross-Sectional Housing Risk-Factor Model
Fndngs from a Cross-Seconal Housng Rsk-Facor Model El Beracha Hlla Skba Absrac: Housng daa from he las 25 years show ha reurns o resdenal real esae n he U.S. can be volale and vary sgnfcanly among locaons.
More informationDeterminants of firm exchange rate predictions:
CESSA WP 208-0 Deermnans of frm exchange rae predcons: Emprcal evdence from survey daa of Japanese frms Th-Ngoc Anh NGUYEN Yokohama Naonal Unversy Japan Socey for he Promoon of Scence May 208 Cener for
More informationConvertible Bonds and Stock Liquidity. Author. Published. Journal Title DOI. Copyright Statement. Downloaded from. Griffith Research Online
Converble Bonds and Sock Lqudy Auhor Wes, Jason Publshed 2012 Journal Tle Asa-Pacfc Fnancal Markes DOI hps://do.org/10.1007/s10690-011-9139-3 Copyrgh Saemen 2011 Sprnger Japan. Ths s an elecronc verson
More informationImproving Earnings per Share: An Illusory Motive in Stock Repurchases
Inernaonal Journal of Busness and Economcs, 2009, Vol. 8, No. 3, 243-247 Improvng Earnngs per Share: An Illusory Move n Sock Repurchases Jong-Shn We Deparmen of Inernaonal Busness Admnsraon, Wenzao Ursulne
More informationPricing and Valuation of Forward and Futures
Prcng and Valuaon of orward and uures. Cash-and-carry arbrage he prce of he forward conrac s relaed o he spo prce of he underlyng asse, he rsk-free rae, he dae of expraon, and any expeced cash dsrbuons
More informationImpact of Capital Asset Pricing Model (CAPM) on Pakistan (The Case of KSE 100 Index)
Impac o Capal Asse Prcng Model (CAPM) on Paksan (The Case o KSE 100 Index) Sajd Gul Faculy o Busness Admnsraon Ar Unversy Islamabad, Mardan 23200 KPK Paksan Emal: sajdal10@homal.com Absrac In hs paper
More informationHoldings-based Fund Performance Measures: Estimation and Inference 1
1 Holdngs-based Fund Performance Measures: Esmaon and Inference 1 Wayne E. Ferson Unversy of Souhern Calforna and NBER Junbo L. Wang Lousana Sae Unversy Aprl 14, 2018 Absrac Ths paper nroduces a panel
More informationStock Market Declines and Liquidity* Allaudeen Hameed. Wenjin Kang. and. S. Viswanathan. This Version: November 12, 2006
Sock Marke eclnes and Lqudy* Allaudeen Hameed Wenjn Kang and S. Vswanahan Ths Verson: November 12, 2006 * Hameed and Kang are from he eparmen of Fnance and Accounng, Naonal Unversy of Sngapore, Sngapore
More informationCurrency excess returns and global downside market risk
Currency excess reurns and sde marke rsk by Vcora Galsband * and Thomas Nschka * Vcora Galsband, Deusche Bundesbank, Economcs Deparmen, Wlhelm-Epsen-Srasse 14, 6432 Frankfur am Man, Germany. Phone:+49
More informationImproved Inference in the Evaluation of Mutual Fund Performance using Panel Bootstrap Methods. David Blake* Tristan Caulfield** Christos Ioannidis***
Improved Inference n he Evaluaon of Muual Fund Performance usng Panel Boosrap Mehods By Davd Blake* Trsan Caulfeld** Chrsos Ioannds*** and Ian Tonks**** Aprl 2014 Forhcomng Journal of Economercs DOI: 10.1016/j.jeconom.2014.05.010
More informationConditional Skewness of Aggregate Market Returns
Condonal Skewness of Aggregae Marke Reurns Anchada Charoenrook and Hazem Daouk + March 004 Ths verson: May 008 Absrac: The skewness of he condonal reurn dsrbuon plays a sgnfcan role n fnancal heory and
More informationSNB Working Papers 13/2014
Have nvesors been lookng for exposure o specfc counres snce he fnancal crss? Insghs from he Swss franc bond marke Thomas Nschka SNB Workng Papers 13/2014 Legal Issues Dsclamer The vews expressed n hs paper
More informationCointegration between Fama-French Factors
1 Conegraon beween Fama-French Facors Absrac Conegraon has many applcaons n fnance and oher felds of scence researchng me seres and her nerdependences. The analyss s a useful mehod o analyse non-conegraon
More informationQuarterly Accounting Earnings Forecasting: A Grey Group Model Approach
Quarerly Accounng Earnngs Forecasng: A Grey Group Model Approach Zheng-Ln Chen Deparmen of Accounng Zhongnan Unversy of Economcs and Law # Souh Nanhu Road, Wuhan Cy, 430073 Hube People's Republc of Chna
More information1%(5:25.,1*3$3(56(5,(6 7+(9$/8(635($' 5DQGROSK%&RKHQ &KULVWRSKHU3RON 7XRPR9XROWHHQDKR :RUNLQJ3DSHU KWWSZZZQEHURUJSDSHUVZ
1%(5:25.,1*3$3(56(5,(6 7+(9$/8(635($' 5DQGROSK%&RKHQ &KULVWRSKHU3RON 7XRPR9XROWHHQDKR :RUNLQJ3DSHU KWWSZZZQEHURUJSDSHUVZ 1$7,21$/%85($82)(&212,&5(6($5&+ DVVD KXVHWWV$YHQXH &DPEULGJH$ $SULO &RUUHVSRQGHQ
More informationGround Rules. FTSE US Risk Premium Index Series v1.6
Ground Rules FTSE US Rsk Premum Index Seres v1.6 fserussell.com January 2018 Conens 1.0 Inroducon... 3 2.0 Managemen Responsbles... 4 3.0 FTSE Russell Index Polces... 5 4.0 Elgble Secures... 7 5.0 Facor
More informationTitle: Usefulness of accounting information in firm valuation. Author(/s): González Sánchez, Mariano and Nave Pineda, Juan M. Date: October-2018
Tle: Usefulness of accounng nformaon n frm valuaon Auhor(/s): González Sánchez Marano and Nave Pneda Juan M. Dae: Ocober-208 WORKING PAPER SERIES: /208 CÁTEDRA CEU-MM Madrd (Span) ISSN onlne: 2530 0237
More informationConditional Skewness of Aggregate Market Returns: Evidence from Developed and Emerging Markets
Global Economy and Fnance Journal Vol. 7. No.. March 04. Pp. 96 Condonal Skewness of Aggregae Marke Reurns: Evdence from Developed and Emergng Markes Anchada Charoenrook and Hazem Daouk Ths paper examnes
More informationSOCIETY OF ACTUARIES FINANCIAL MATHEMATICS. EXAM FM SAMPLE SOLUTIONS Interest Theory
SOCIETY OF ACTUARIES EXAM FM FINANCIAL MATHEMATICS EXAM FM SAMPLE SOLUTIONS Ineres Theory Ths page ndcaes changes made o Sudy Noe FM-09-05. January 4, 04: Quesons and soluons 58 60 were added. June, 04
More informationAgricultural and Rural Finance Markets in Transition
Agrculural and Rural Fnance Markes n Transon Proceedngs of Regonal Research Commee NC-04 S. Lous, Mssour Ocober 4-5, 007 Dr. Mchael A. Gunderson, Edor January 008 Food and Resource Economcs Unversy of
More informationScholarship Project Paper 02/2012
Scholarshp Proec Paper 02/2012 HE DEERMINANS OF CREDI SPREAD CHANGES OF INVESMEN GRADE CORPORAE BONDS IN HAILAND BEWEEN JUNE 2006 AND FEBRUARY 2012: AN APPLICAION OF HE REGIME SWICHING MODEL reerapo Kongorann
More informationManagers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
Publc Dsclosure Auhorzed Publc Dsclosure Auhorzed Publc Dsclosure Auhorzed Publc Dsclosure Auhorzed JEL: F3 G1 G2. Managers Invesors and Crses: Muual Fund Sraeges n Emergng Markes Gracela Kamnsky Rchard
More informationA Framework for Large Scale Use of Scanner Data in the Dutch CPI
A Framework for Large Scale Use of Scanner Daa n he Duch CPI Jan de Haan Sascs Neherlands and Delf Unversy of Technology Oawa Group, 2-22 May 215 The basc dea Ideally, o make he producon process as effcen
More informationByeong-Je An, Andrew Ang, Turan Bali and Nusret Cakici The Joint Cross Section of Stocks and Options
Byeong-Je An Andrew Ang Turan Bal and Nusre Cakc The Jon Cross Secon of Socks and Opons DP 10/2013-032 The Jon Cross Secon of Socks and Opons * Byeong-Je An Columba Unversy Andrew Ang Columba Unversy and
More informationOutput growth, inflation and interest rate on stock return and volatility: the predictive power
Oupu growh, nflaon and neres rae on soc reurn and volaly: he predcve power Wa Chng POON* and Gee Ko TONG** * School of Busness, Monash Unversy Sunway Campus, Jalan Lagoon Selaan, 46150 Bandar Sunway, Selangor,
More information1%(5:25.,1*3$3(56(5,(6 0$1$*(56,19(67256$1'&5,6(6 0878$/)81'675$7(*,(6,1(0(5*,1*0$5.(76 *UD LHOD.DPLQVN\ 5L KDUG./\RQV 6HUJLR6 KPXNOHU
1%(5:25.1*3$3(56(5(6 0$1$*(5619(67256$1'&56(6 0878$/)81'675$7(*(61(0(5*1*0$5.(76 *UD LHOD.DPLVN\ 5L KDUG./\RV 6HUJLR6 KPXNOHU :RUNLJ3DSHU KWWSZZZEHURUJSDSHUVZ 1$721$/%85($82)(&2120&5(6($5&+ 0DVVD KXVHWWV$YHXH
More informationSocially Responsible Investments: An International Empirical Study
Workng Paper n : 24-53-3 Socally Responsble Invesmens: An Inernaonal Emprcal Sudy Hachm Ben Ameur a,, Jérôme Senanedsch b a INSEEC Busness School, 27 avenue Claude Vellefaux 75 Pars, France b INSEEC Busness
More informationFactors affecting stock market performance with special reference to market-to-book ratio in banking - the Israeli case
Facors affecng sock marke performance wh specal reference o marke-o-book rao n bankng - he Israel case AUTHORS ARTICLE INFO JOURNAL FOUNDER Davd Ruhenberg Shaul Pearl Yoram Landskroner Davd Ruhenberg,
More informationSwiss National Bank Working Papers
2013-7 Swss Naonal Bank Workng Papers Currency excess reurns and sde marke rsk Vcora Galsband and Thomas Nschka The vews expressed n hs paper are hose of he auhor(s) and do no necessarly represen hose
More informationESSAYS ON MONETARY POLICY AND INTERNATIONAL TRADE. A Dissertation HUI-CHU CHIANG
ESSAYS ON MONETARY POLICY AND INTERNATIONAL TRADE A Dsseraon by HUI-CHU CHIANG Submed o he Offce of Graduae Sudes of Texas A&M Unversy n paral fulfllmen of he requremens for he degree of DOCTOR OF PHILOSOPHY
More informationThe Selection Ability of Italian Mutual Fund. By Valter Lazzari and Marco Navone
The Selecon Ably of Ialan Muual Fund By Valer Lazzar and Marco Navone Workng Paper N. 1/3 Ocober 23 THE SELECTION ABILITY OF ITALIAN MUTUAL FUND MANAGERS By Valer Lazzar Professor of Bankng and Fnance
More informationImpact of Stock Markets on Economic Growth: A Cross Country Analysis
Impac of Sock Markes on Economc Growh: A Cross Counry Analyss By Muhammad Jaml Imporance of sock markes for poolng fnancal resources ncreased snce he las wo decades. Presen sudy analyzed mpac of sock markes
More informationThe impact of intellectual capital on returns and stock prices of listed companies in Tehran Stock Exchange
Appled Scence Repors www.pscpub.com/asr -SSN: 231-944 / P-SSN: 2311-139 DO: 1.15192/PSCP.ASR.214.4.3.1516 App. Sc. Repor. 4 (3), 214: 15-16 PSC Publcaons The mpac of nellecual capal on reurns and sock
More informationOptimal Combination of Trading Rules Using Neural Networks
Vol. 2, No. Inernaonal Busness Research Opmal Combnaon of Tradng Rules Usng Neural Neworks Subraa Kumar Mra Professor, Insue of Managemen Technology 35 Km Mlesone, Kaol Road Nagpur 44 502, Inda Tel: 9-72-280-5000
More informationManagers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
Managers Invesors and Crses: Muual Fund Sraeges n Emergng Markes Gracela Kamnsky Rchard K. Lyons Sergo Schmukler Ths draf: 10 Augus 2001 Absrac Ths paper examnes he radng sraeges of muual funds n emergng
More informationConditional asset pricing with liquidity risk: The illiquidity premium
Condonal asse prcng wh lqudy rsk: The llqudy premum Björn Hagsrömer, Björn Hansson and Brger Nlsson Augus 10, 2011 Absrac: Ths paper esmaes a condonal verson of he lqudy adjused CAPM by Acharya and Pedersen
More informationMethodology of the CBOE S&P 500 PutWrite Index (PUT SM ) (with supplemental information regarding the CBOE S&P 500 PutWrite T-W Index (PWT SM ))
ehodology of he CBOE S&P 500 PuWre Index (PUT S ) (wh supplemenal nformaon regardng he CBOE S&P 500 PuWre T-W Index (PWT S )) The CBOE S&P 500 PuWre Index (cker symbol PUT ) racks he value of a passve
More informationThe Financial System. Instructor: Prof. Menzie Chinn UW Madison
Economcs 435 The Fnancal Sysem (2/13/13) Insrucor: Prof. Menze Chnn UW Madson Sprng 2013 Fuure Value and Presen Value If he presen value s $100 and he neres rae s 5%, hen he fuure value one year from now
More informationTHE APPLICATION OF REGRESSION ANALYSIS IN TESTING UNCOVERED INTEREST RATE PARITY
QUANTITATIVE METHOD IN ECONOMIC Vol. XIV, No., 03, pp. 3 4 THE APPLICATION OF REGREION ANALYI IN TETING UNCOVERED INTERET RATE PARITY Joanna Kselńsa, Kaarzyna Czech Faculy of Economcs cences Warsaw Unversy
More informationCan Multivariate GARCH Models Really Improve Value-at-Risk Forecasts?
2s Inernaonal Congress on Modellng and Smulaon, Gold Coas, Ausrala, 29 ov o 4 Dec 205 www.mssanz.org.au/modsm205 Can Mulvarae GARCH Models Really Improve Value-a-Rsk Forecass? C.S. Sa a and F. Chan a a
More informationACADEMIC ARTICLES ON THE TESTS OF THE CAPM
ACADEMIC ARTICLES ON THE TESTS OF THE CAPM Page: o 5 The table below s a summary o the results o the early academc tests o the Captal Asset Prcng Model. The table lst the alpha correcton needed accordng
More informationDEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS
ISSN 440-77X AUSTRALIA DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS Assocaon beween Markov regme-swchng marke volaly and bea rsk: Evdence from Dow Jones ndusral secures Don U.A. Galagedera and Roland
More informationTHE IMPACT OF COMMODITY DERIVATIVES IN AGRICULTURAL FUTURES MARKETS
Alghero, 25-27 June 20 Feedng he Plane and Greenng Agrculure: Challenges and opporunes for he bo-econom THE IMPACT OF COMMODITY DERIVATIVES IN AGRICULTURAL FUTURES MARKETS Zupprol M., Dona M., Verga G.,
More informationCross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics. Tarun Chordia, Amit Goyal, and Jay Shanken
Cross-Secional Asse Pricing wih Individual Socks: Beas versus Characerisics Tarun Chordia, Ami Goyal, and Jay Shanken Main quesion Are expeced reurns relaed o Risk/beas, OR Characerisics If boh, which
More informationORE Open Research Exeter
ORE Open Research Exeer TITLE vdend valuaon radng and ransacons coss: he 997 paral abolon of dvdend ax cred repaymens AUTHORS Holland Kevn; Hodgknson Lynn; Jackson Rchard H.G. JOURNAL Accounng and Busness
More informationWORKING PAPER NO. 48 FINANCIAL MARKET INTEGRATION IN EUROPE: ON THE EFFECTS OF EMU ON STOCK MARKETS BY MARCEL FRATZSCHER
ROPAN CNTRAL BANK WORKING PAPR SRIS WORKING PAPR NO. 48 FINANCIAL MARKT INTGRATION IN ROP: ON TH FFCTS OF M ON STOCK MARKTS BY MARCL FRATZSCHR March ROPAN CNTRAL BANK WORKING PAPR SRIS WORKING PAPR NO.
More informationLien Bui Mean Reversion in International Stock Price Indices. An Error-Correction Approach. MSc Thesis
Len Bu Mean Reverson n Inernaonal Sock Prce Indces An Error-Correcon Approach MSc Thess 2011-021 Urech Unversy Urech School of Economcs MEAN REVERSION IN INTERNATIONAL STOCK PRICE INDICES AN ERROR-CORRECTION
More informationA Study of Market-Wide Short-Selling Restrictions 1
` A Sudy of Marke-Wde Shor-Sellng Resrcons Anchada Charoenrook and Hazem Daouk + Absrac: Ths paper provdes emprcal evdence relevan o he ongong debae abou wheher shor sales should be allowed. We examne
More informationAsymmetric liquidity risks and asset pricing
Asymmeric liquidiy risks and asse pricing Sean Anhonisz and Tālis J. Puniņš Universiy of Technology Sydney 6 h Financial Risks Inernaional Forum on Liquidiy Risk 26 March 2013 Liquidiy level Liquidiy affecs
More informationINFORMATION FLOWS DURING THE ASIAN CRISIS: EVIDENCE FROM CLOSED-END FUNDS
BIS WORKING PAPERS No 97 December 2 INFORMATION FLOWS DURING THE ASIAN CRISIS: EVIDENCE FROM CLOSED-END FUNDS by Benjamn H Cohen and El M Remolona BANK FOR INTERNATIONAL SETTLEMENTS Moneary and Economc
More informationSTOCK PRICES TEHNICAL ANALYSIS
STOCK PRICES TEHNICAL ANALYSIS Josp Arnerć, Elza Jurun, Snježana Pvac Unversy of Spl, Faculy of Economcs Mace hrvaske 3 2 Spl, Croaa jarnerc@efs.hr, elza@efs.hr, spvac@efs.hr Absrac Ths paper esablshes
More informationTime-Varying Correlations Between Credit Risks and Determinant Factors
me-varyng Correlaons Beween Cred Rsks and Deermnan Facors Frs & Correspondng Auhor: Ju-Jane Chang Asssan Professor n he Deparmen of Fnancal Engneerng and Acuaral Mahemacs, Soochow Unversy, awan 56, Sec.
More informationThe Empirical Research of Price Fluctuation Rules and Influence Factors with Fresh Produce Sequential Auction Limei Cui
6h Inernaonal Conference on Sensor Nework and Compuer Engneerng (ICSNCE 016) The Emprcal Research of Prce Flucuaon Rules and Influence Facors wh Fresh Produce Sequenal Aucon Lme Cu Qujng Normal Unversy,
More informationTAI KUI GUAN AIA Berhad. HOOY CHEE WOOI Universiti Sains Malaysia ABSTRACT
7 Jurnal Ekonom Malaysa 51(), 017 7-37 Does Marke Inegraon Promoe o Frm Informaon Effcency? Emprcal Evdence for Malaysa Lsed Frms (Adakah Inegras Pasaran Menggalakkan Kecekapan Makluma Frma? Buk Emprk
More informationDynamics Between Equity Holdings and Returns
Dynamcs Beween Equy oldngs and eurns Peo S. alev Emly Lo Monash Unversy P. Joam Weserholm Unversy of Sydney 5 January 2007 Absrac Ths paper nvesgaes he neracons beween changes n share ownershp srucure
More informationMACROECONOMIC CONDITIONS AND INCOME DISTRIBUTION IN VENEZUELA:
MACROECONOMIC CONDITIONS AND INCOME DISTRIBUTION IN VENEZUELA: 197-199 Raul J. Crespo* January, 2004 *Conac: Economcs Deparmen, Unversy of Brsol, 8 Woodland Road, Brsol, BS8 1TN, Uned Kngdom. Tel.: + 44
More informationFloating rate securities
Caps and Swaps Floang rae secures Coupon paymens are rese perodcally accordng o some reference rae. reference rae + ndex spread e.g. -monh LIBOR + 00 bass pons (posve ndex spread 5-year Treasury yeld 90
More informationOnline Data, Fixed Effects and the Construction of High-Frequency Price Indexes
Onlne Daa, Fxed Effecs and he Consrucon of Hgh-Frequency Prce Indexes Jan de Haan* and Rens Hendrks** * ascs eherlands / Delf Unversy of Technology ** ascs eherlands EMG Worksho 23 Ams of he aer Exlan
More informationA New Method to Measure the Performance of Leveraged Exchange-Traded Funds
A ew Mehod o Measure he Performance of Leveraged Exchange-Traded Funds Ths verson: Sepember 03 ara Charupa DeGrooe School of Busness McMaser Unversy 80 Man Sree Wes Hamlon, Onaro L8S 4M4 Canada Tel: (905)
More informationShort-, medium- and long-run performance persistence of investment funds in Poland
Bank Kredy 48(4), 2017, 343-374 Shor-, medum- and long-run performance perssence of nvesmen funds n Poland Sansław Urbańsk* Submed: 25 July 2016. Acceped: 31 May 2017. Absrac The auhor examnes shor-, medum-
More informationBoğaziçi University Department of Economics Money, Banking and Financial Institutions L.Yıldıran
Chaper 3 INTEREST RATES Boğazç Unversy Deparmen of Economcs Money, Bankng and Fnancal Insuons L.Yıldıran Sylzed Fac abou Ineres Raes: Ineres raes Expanson Recesson Ineres raes affec economc acvy by changng
More informationChain-linking and seasonal adjustment of the quarterly national accounts
Sascs Denmark Naonal Accouns 6 July 00 Chan-lnkng and seasonal adjusmen of he uarerly naonal accouns The mehod of chan-lnkng he uarerly naonal accouns was changed wh he revsed complaon of daa hrd uarer
More informationLiquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area
Lqudy, Inflaon and Asse Prces n a Tme-Varyng Framework for he Euro Area Chrsane Baumeser Evelne Durnck Ger Peersman Ghen Unversy Movaon One pllar of ECB polcy sraegy: money aggregaes as an ndcaor of rsks
More informationTurn-of-the-month and Intramonth Anomalies and U.S. Macroeconomic News Announcements on the Thinly Traded Finnish Stock Market
Inernaonal Journal of Economcs and Fnance Augus, 200 Turn-of-he-monh and Inramonh Anomales and U.S. Macroeconomc News Announcemens on he Thnly Traded Fnnsh Sock Marke Juss Nkknen Deparmen of Accounng and
More informationA PLAN-B PAPER SUBMITTED TO THE FACULTY OF APPLIED ECONOMICS GRADUATE PROGRAM OF THE UNIVERSITY OF MINNESOTA BY MARÍA GABRIELA URGILÉS BRAVO
EMPLOYER LEARNING AND STATISTICAL DISCRIMINATION: A COMPARISON OF HISPANIC AND WHITE MALES A PLAN-B PAPER SUBMITTED TO THE FACULTY OF APPLIED ECONOMICS GRADUATE PROGRAM OF THE UNIVERSITY OF MINNESOTA BY
More informationEstimating Stock Returns Volatility of Khartoum Stock Exchange through GARCH Models
Esmang Sock Reurns Volaly of Kharoum Sock Exchange hrough GARCH Models Sharaf Obad Al, Abdalla Sulman Mhmoud. College of Compuer Scence, Alzaem alazhar Unversy, Sudan Deparmen of Mahemacs, College of Scences,
More informationProperty of stocks and wealth effects on consumption
Propery of socks and wealh effecs on consumpon RICARDO M. SOUSA Unversy of Mnho Deparmen of Economcs Campus of Gualar, 470-057 - BRAGA PORTUGAL E-mal: rjsousa@eeg.umnho.p March 2003 Absrac Recen flucuaons
More informationHeterogeneous Beliefs, Trading Risk, and the Equity Premium
Heerogeneous Belefs, Tradng Rsk, and he Equy Premum Alexander Davd John M. Oln School of Busness Washngon Unversy n S. Lous Aprl 2005 ABSTRACT Porfolos of agens who have heerogeneous belefs abou fundamenal
More informationReturn Calculation Methodology
Reurn Calculaon Mehodology Conens 1. Inroducon... 1 2. Local Reurns... 2 2.1. Examle... 2 3. Reurn n GBP... 3 3.1. Examle... 3 4. Hedged o GBP reurn... 4 4.1. Examle... 4 5. Cororae Acon Facors... 5 5.1.
More informationTerms and conditions for the MXN Peso / US Dollar Futures Contract (Physically Delivered)
The Englsh verson of he Terms and Condons for Fuures Conracs s publshed for nformaon purposes only and does no consue legal advce. However, n case of any Inerpreaon conroversy, he Spansh verson shall preval.
More informationPrice and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries
Inernaonal Journal of Busness and Economcs, 2004, Vol. 3, No. 2, 139-153 Prce and Volaly Spllovers beween Sock Prces and Exchange Raes: Emprcal Evdence from he G-7 Counres Sheng-Yung Yang * Deparmen of
More informationComparison of Statistical Arbitrage in Developed and Emerging Markets
Inernaonal Journal of Trade, Economcs and Fnance, Vol. 8, No. 2, Aprl 2017 Comparson of Sascal Arbrage n Developed and Emergng Markes Gabrel Vsage and Alwyn Hoffman Absrac Sascal arbrage covers a varey
More informationThe UAE UNiversity, The American University of Kurdistan
MPRA Munch Personal RePEc Archve A MS-Excel Module o Transform an Inegraed Varable no Cumulave Paral Sums for Negave and Posve Componens wh and whou Deermnsc Trend Pars. Abdulnasser Haem-J and Alan Musafa
More information4. Methodology. 4.1 Event study methodology
4. Mehodology We provde a descrpo of he eve sudy mehodology hs seco. Two ypes of eve sudy are roduced,.e., mea adjused model ad marke model. The measures of abormal reurs esmaed from eve sudy are he regressed
More informationFinal Exam Answers Exchange Rate Economics
Kiel Insiu für Welwirhschaf Advanced Sudies in Inernaional Economic Policy Research Spring 2005 Menzie D. Chinn Final Exam Answers Exchange Rae Economics This exam is 1 ½ hours long. Answer all quesions.
More informationCareer wage profiles and the minimum wage
Career wage profles and he mnmum wage Kerry L. Papps A model of on-he-job ranng n he presence of a mnmum wage s presened. Ths predcs ha, n mos cases, he mnmum wage wll have a negave effec on a worker s
More informationVIX Term Structure and VIX Futures Pricing with Realized Volatility
E2018002 2018 0103 VIX Term Srucure and VIX Fuures Prcng wh Realzed Volaly Zhuo Huang Naonal School of Developmen, Pekng Unversy Chen Tong Naonal School of Developmen, Pekng Unversy Tany Wang School of
More informationInformation flows during the Asian crisis: evidence from closed-end funds Benjamin H Cohen and Eli M Remolona
Informaon flows durng he Asan crss: evdence from closed-end funds Benjamn H Cohen and El M Remolona Absrac A salen feaure of he Asan crss of 1997 was a collapse of sock markes ha ook place over several
More informationTrade Between Euro Zone and Arab Countries: a Panel Study. By Nasri HARB* United Arab Emirates University Department of Economics P.O.
Trade Beween Euro Zone and Arab Counres: a Panel Sudy By Nasr HARB* Uned Arab Emraes Unversy Deparmen of Economcs P.O. Box 17555, Al-An, Uned Arab Emraes nasr.harb@uaeu.ac.ae Ocober 2005 Absrac We consruc
More informationTax-Induced Excess Trading Behaviors on ADR Ex- Dividend Days
Managemen Revew: An Inernaonal Journal Volume 5 Number 1 Summer 2010 Tax-Induced Excess Tradng Behavors on ADR Ex- Dvdend Days B-Hue Tsa Deparmen of Managemen Scence Naonal Chao Tung Unversy Hsnchu 300,
More informationDo Stock Exchanges Corral Investors into Herding?
Do Sock Exchanges Corral Invesors no Herdng? Adya Kaul, Vkas Mehrora, Carmen Sefanescu 1 EFM Classfcaon Codes: 320 - Behavoural Issues 310 - Asse Prcng Models and Tess 350 - Marke Effcency and Anomales
More informationOption-Implied Currency Risk Premia
Opon-Impled Currency Rsk Prema Jakub W. Jurek and Zhka Xu Absrac We use cross-seconal nformaon on he prces of G10 currency opons o calbrae a non-gaussan model of prcng kernel dynamcs and consruc esmaes
More informationComparing Sharpe and Tint Surplus Optimization to the Capital Budgeting Approach with Multiple Investments in the Froot and Stein Framework.
Comparng Sharpe and Tn Surplus Opmzaon o he Capal Budgeng pproach wh Mulple Invesmens n he Froo and Sen Framework Harald Bogner Frs Draf: Sepember 9 h 015 Ths Draf: Ocober 1 h 015 bsrac Below s shown ha
More informationEconomic Fundamentals and the Predictability of Chinese Stock Market Returns: a Comparison of VECM and NARMAX Approaches. Abstract
Submed for Inernaonal Journal of Forecasng Economc Fundamenals and he Predcably of Chnese Sock Marke Reurns: a Comparson of VECM and ARMAX Approaches Yanbng Zhang, Xupng Hua *, Lang Zhao 3, Sephen A. Bllngs
More informationDo Stock Exchanges Corral Investors into Herding?
Do Sock Exchanges Corral Invesors no Herdng? Adya Kaul 1, Vkas Mehrora and Carmen Sefanescu J.E.L. Classfcaon Codes: G10: General Fnancal Markes G12: Asse Prcng G14: Informaon and Marke Effcency Key words:
More informationEstimation of Optimal Tax Level on Pesticides Use and its
64 Bulgaran Journal of Agrculural Scence, 8 (No 5 0, 64-650 Agrculural Academy Esmaon of Opmal Ta Level on Pescdes Use and s Impac on Agrculure N. Ivanova,. Soyanova and P. Mshev Unversy of Naonal and
More informationSpeed of convergence to market efficiency for NYSE-listed foreign stocks. Nuttawat Visaltanachoti a, Ting Yang b,*
Speed of convergence o marke effcency for NYSE-lsed foregn socks Nuawa Vsalanacho a, Tng Yang b,* a Deparmen of Commerce, Massey Unversy, Prvae Bag 1294, Auckland, New Zealand b Deparmen of Fnance, Auckland
More informationPermanent Income and Consumption
roceedngs of 30h Inernaonal onference Mahemacal Mehods n Economcs ermanen Income and onsumpon Václava ánková 1 Absrac. A heory of consumer spendng whch saes ha people wll spend money a a level conssen
More informationOnline appendices from Counterparty Risk and Credit Value Adjustment a continuing challenge for global financial markets by Jon Gregory
Onlne appendces fro Counerpary sk and Cred alue Adusen a connung challenge for global fnancal arkes by Jon Gregory APPNDX A: Dervng he sandard CA forula We wsh o fnd an expresson for he rsky value of a
More informationFinancial Stability Institute
Fnancal Sably Insue FSI Award 21 Wnnng Paper Regulaory use of sysem-wde esmaons of PD, LGD and EAD Jesus Alan Elzondo Flores Tana Lemus Basualdo Ana Regna Qunana Sordo Comsón Naconal Bancara y de Valores,
More informationInterest rate exposure of Spanish banks: A nonparametric analysis
Ineres rae exposure of Spansh banks: A nonparamerc analyss Laura Balleser Román Ferrer Crsóbal González Deparameno de Economía Fnancera y Acuaral Unversdad de Valenca ABSTRACT Ineres rae rsk s one of he
More informationEquity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies
Equiy Risk Facors for he Long and Shor Run: Pricing and Performance a Differen Frequencies Terri van der Zwan, Erik Hennink, Parick Tuijp 11h Financial Risks Inernaional Forum March 27h, 2018 Abou Orec
More information