Using a panel of 11 upper-middle income emerging economies, the paper investigates financial development threshold levels that influence FDI inflows. Our findings show that higher banking sector and stock market development above the threshold levels have a positive and significant impact on FDI inflows, which result is consistent with theoretical predictions. On the contrary, private and public bond market development levels equal to or greater than the threshold levels have a negative but insignificant influence on FDI inflows, whereas levels of private and public bond market development less than the threshold have a positive but insignificant impact on FDI inflows. Overall, our findings support the proposition that high financial development levels in the host country crowds out FDI as foreign investors may opt for portfolio investment.
{"title":"Financial Development Threshold Levels for FDI: Evidence from Selected Upper-Middle Income Countries","authors":"Kunofiwa Tsaurai, D. Makina","doi":"10.2139/ssrn.3020051","DOIUrl":"https://doi.org/10.2139/ssrn.3020051","url":null,"abstract":"Using a panel of 11 upper-middle income emerging economies, the paper investigates financial development threshold levels that influence FDI inflows. Our findings show that higher banking sector and stock market development above the threshold levels have a positive and significant impact on FDI inflows, which result is consistent with theoretical predictions. On the contrary, private and public bond market development levels equal to or greater than the threshold levels have a negative but insignificant influence on FDI inflows, whereas levels of private and public bond market development less than the threshold have a positive but insignificant impact on FDI inflows. Overall, our findings support the proposition that high financial development levels in the host country crowds out FDI as foreign investors may opt for portfolio investment.","PeriodicalId":204995,"journal":{"name":"Capital Markets submissions","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130698542","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines the dispersion of betas, which is the spread of betas on a market, and its application as market return predictor. The beta dispersion can be interpreted as a measure of risk for market crashes and therefore function as a predictor of the following market downturns. Based on the beta dispersion, indicators are developed to predict the future market return. These dispersion measures have substantial predictive power for future market movements, even out-of-sample and after controlling for other well-known predictors of the market return. Moreover, I show that the informational content of the beta dispersion can be successfully exploited by market-timing strategies. An innovative idea of designing market-timing strategies based on timing indicators is introduced. This new approach invests in the market portfolio with a weighted position conditioning on the currently observed indicator. The market-timing strategies are able to considerably enhance the riskreturn characteristics compared to a buy-and-hold investment in the market and a common 60/40 portfolio split, especially by reducing the return volatility.
{"title":"Beta Dispersion and Market-Timing","authors":"Laura-Chloé Kuntz","doi":"10.2139/ssrn.2984889","DOIUrl":"https://doi.org/10.2139/ssrn.2984889","url":null,"abstract":"This paper examines the dispersion of betas, which is the spread of betas on a market, and its application as market return predictor. The beta dispersion can be interpreted as a measure of risk for market crashes and therefore function as a predictor of the following market downturns. Based on the beta dispersion, indicators are developed to predict the future market return. These dispersion measures have substantial predictive power for future market movements, even out-of-sample and after controlling for other well-known predictors of the market return. Moreover, I show that the informational content of the beta dispersion can be successfully exploited by market-timing strategies. An innovative idea of designing market-timing strategies based on timing indicators is introduced. This new approach invests in the market portfolio with a weighted position conditioning on the currently observed indicator. The market-timing strategies are able to considerably enhance the riskreturn characteristics compared to a buy-and-hold investment in the market and a common 60/40 portfolio split, especially by reducing the return volatility.","PeriodicalId":204995,"journal":{"name":"Capital Markets submissions","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127803484","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines the association between option-implied distributions of common currency risk factors (dollar ($RX$) and carry ($HML_{FX}$) ) and macroeconomic expectations in form of spread yield curve changes. When currencies are interpreted as an asset price, exchange rates are considered to equal the sum of discounted future macroeconomic fundamentals. The term structure of yield-spreads contains unobservable information about the same expected macroeconomic differentials that drive foreign exchange rates. Using data from G10 currencies, we find a consistent macro-risk based explanation on the common currency risk factors' option-implied moments. These findings are not only important for carry traders, but also contribute to the understanding of currency risk in the cross section.
{"title":"Dynamic Forces behind the Common Currency Risk Factors' Expected Moments","authors":"Jari-Pekka Heinonen","doi":"10.2139/ssrn.2994110","DOIUrl":"https://doi.org/10.2139/ssrn.2994110","url":null,"abstract":"This paper examines the association between option-implied distributions of common currency risk factors (dollar ($RX$) and carry ($HML_{FX}$) ) and macroeconomic expectations in form of spread yield curve changes. When currencies are interpreted as an asset price, exchange rates are considered to equal the sum of discounted future macroeconomic fundamentals. The term structure of yield-spreads contains unobservable information about the same expected macroeconomic differentials that drive foreign exchange rates. Using data from G10 currencies, we find a consistent macro-risk based explanation on the common currency risk factors' option-implied moments. These findings are not only important for carry traders, but also contribute to the understanding of currency risk in the cross section.","PeriodicalId":204995,"journal":{"name":"Capital Markets submissions","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129210792","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract We show that randomly-selected Regulation SHO pilot firms respond to an increased threat of short selling by significantly improving their employee relations. Pilot firms enhance employee security to reduce the likelihood of employee-related negative publicity. The reduction of workplace concerns is most evident among pilot firms with higher degree of earnings manipulation, short interest potential, likelihood of labor disputes and employee whistle-blowing. Pilot firms experience better stock performance during the post Reg-SHO period after easing workplace concerns. Overall, our study provides novel evidence that the removal of short-selling constraints has a real effect on labor relations.
{"title":"The Impact of Short-Selling Pressure on Corporate Employee Relations","authors":"P. Brockman, Juan Luo, Limin Xu","doi":"10.2139/ssrn.3017607","DOIUrl":"https://doi.org/10.2139/ssrn.3017607","url":null,"abstract":"Abstract We show that randomly-selected Regulation SHO pilot firms respond to an increased threat of short selling by significantly improving their employee relations. Pilot firms enhance employee security to reduce the likelihood of employee-related negative publicity. The reduction of workplace concerns is most evident among pilot firms with higher degree of earnings manipulation, short interest potential, likelihood of labor disputes and employee whistle-blowing. Pilot firms experience better stock performance during the post Reg-SHO period after easing workplace concerns. Overall, our study provides novel evidence that the removal of short-selling constraints has a real effect on labor relations.","PeriodicalId":204995,"journal":{"name":"Capital Markets submissions","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130940072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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