Pub Date : 2008-07-08DOI: 10.1080/17446540701720576
Kent Hickman, S. Cooper, S. Agyei-Ampomah
Professional English football combines publicly traded ownership shares with an active and observable wagering market. This article utilizes the information from these markets, presenting a model that may be used to estimate the impact of matches on club values. Such information is potentially useful as clubs assess the values of players and coaches based on their anticipated contributions to team performance. The article also illustrates the modelling of ‘binomial events,’ such as win/lose, hire/do not hire or approval/disapproval, and how market-determined price responses illuminate expectations.
{"title":"Estimating the value of victory: English football","authors":"Kent Hickman, S. Cooper, S. Agyei-Ampomah","doi":"10.1080/17446540701720576","DOIUrl":"https://doi.org/10.1080/17446540701720576","url":null,"abstract":"Professional English football combines publicly traded ownership shares with an active and observable wagering market. This article utilizes the information from these markets, presenting a model that may be used to estimate the impact of matches on club values. Such information is potentially useful as clubs assess the values of players and coaches based on their anticipated contributions to team performance. The article also illustrates the modelling of ‘binomial events,’ such as win/lose, hire/do not hire or approval/disapproval, and how market-determined price responses illuminate expectations.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114355288","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701720519
Kathryn. Holmes, R. Faff
In this article we extend the application of returns-based style analysis in order to gauge the performance of a sample of Australian multi-sector managed funds. Specifically, we apply both static and rolling window style analysis to develop customized performance benchmarks for each fund. These benchmarks are then applied within traditional models to assess fund selectivity, market timing and volatility timing performance.
{"title":"Style analysis, customized benchmarks, and managed funds: new evidence","authors":"Kathryn. Holmes, R. Faff","doi":"10.1080/17446540701720519","DOIUrl":"https://doi.org/10.1080/17446540701720519","url":null,"abstract":"In this article we extend the application of returns-based style analysis in order to gauge the performance of a sample of Australian multi-sector managed funds. Specifically, we apply both static and rolling window style analysis to develop customized performance benchmarks for each fund. These benchmarks are then applied within traditional models to assess fund selectivity, market timing and volatility timing performance.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128165872","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701720568
A. Dombret, Ferdinand Mager, Timo Reinschmidt
We analyse the country and industry impact on takeover premiums in Germany, France, the USA and the UK. We find that the level of takeover premiums is highly country specific. The industry only plays a minor role with the exception of the financial sector. Germany and France, both countries exhibit significantly lower premiums than the Anglo-Saxon countries. In Germany, these lower premiums are mainly driven by foreign bidders, in France the opposite holds true.
{"title":"Global takeover premiums – country vs. industry impact","authors":"A. Dombret, Ferdinand Mager, Timo Reinschmidt","doi":"10.1080/17446540701720568","DOIUrl":"https://doi.org/10.1080/17446540701720568","url":null,"abstract":"We analyse the country and industry impact on takeover premiums in Germany, France, the USA and the UK. We find that the level of takeover premiums is highly country specific. The industry only plays a minor role with the exception of the financial sector. Germany and France, both countries exhibit significantly lower premiums than the Anglo-Saxon countries. In Germany, these lower premiums are mainly driven by foreign bidders, in France the opposite holds true.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131852232","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701704372
S. Cook
The econometric analysis of interest rate pass-through is examined. It is noted a number of recent studies have employed a procedure that underestimates the extent of interest rate pass-through. This issue is highlighted via an analysis of pass-through from the U.S. Federal Funds rate to the U.S. 30-year fixed mortgage rate. In contrast to work of Payne (2006), which draws an inference of incomplete interest rate pass-through, the adoption of an unbiased method leads to the conflicting conclusion that it is complete. The importance of adopting an unbiased method is noted given the central role of interest rate pass-through in the effectiveness and transmission of monetary policy.
{"title":"Econometric analysis of interest rate pass-through","authors":"S. Cook","doi":"10.1080/17446540701704372","DOIUrl":"https://doi.org/10.1080/17446540701704372","url":null,"abstract":"The econometric analysis of interest rate pass-through is examined. It is noted a number of recent studies have employed a procedure that underestimates the extent of interest rate pass-through. This issue is highlighted via an analysis of pass-through from the U.S. Federal Funds rate to the U.S. 30-year fixed mortgage rate. In contrast to work of Payne (2006), which draws an inference of incomplete interest rate pass-through, the adoption of an unbiased method leads to the conflicting conclusion that it is complete. The importance of adopting an unbiased method is noted given the central role of interest rate pass-through in the effectiveness and transmission of monetary policy.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115289638","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701720543
M. Lally
Azar (2007) argues that an appropriate market-based estimate of the US real social discount rate is 5.66%, with a 95% confidence interval ranging from 5.62 to 5.71%. However, this line of argument implicitly and wrongly equates the risk on public sector projects with that for the optimal portfolio of risky and risk free assets. It also vastly underestimates the confidence interval on the discount rate primarily through ignoring uncertainty surrounding the expected return on risky assets.
{"title":"Measuring the US social discount rate: reply to Azar","authors":"M. Lally","doi":"10.1080/17446540701720543","DOIUrl":"https://doi.org/10.1080/17446540701720543","url":null,"abstract":"Azar (2007) argues that an appropriate market-based estimate of the US real social discount rate is 5.66%, with a 95% confidence interval ranging from 5.62 to 5.71%. However, this line of argument implicitly and wrongly equates the risk on public sector projects with that for the optimal portfolio of risky and risk free assets. It also vastly underestimates the confidence interval on the discount rate primarily through ignoring uncertainty surrounding the expected return on risky assets.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123532166","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701720550
Brian Jacobsen
Applying cointegration analysis to security price movements illustrates how securities move together in the long-term. This can be augmented with an error-correction model to show how the long-run relationship is approached when the security prices are out of line with their cointegrated relationship. Cointegration and error-correction modelling promises to be useful in statistical arbitrage applications: not only does it show what relative prices of securities should be, but it also illuminates the short-run dynamics of how equilibrium should be restored along with how long it will take. Cointegration, coupled with error-correction modelling, promises to be a profitable way of implementing statistical arbitrage strategies. 1 Bondarenko (2003) and Hogan et al. (2004) defined statistical arbitrage as an attempt to exploit the long-horizon trading opportunities revealed by cointegration relationships. Alexander and Dimitriu (2005) showed how cointegration is a better way of implementing a statistical arbitrage strategy than other conventional ways, like the use of tracking error variance minimization. These previous studies, however, did not add error-correction modelling to the trading strategies. This article seeks to fill that gap, by presenting how to implement a statistical arbitrage strategy based on cointegration and error-correction modelling. 1 For example, see Kumar and Seppi (1994), Wang and Yau (1994), Forbes et al. (1999), Canjels et al. (2004), Tatom (2002), Harasty and Roulet (2000) and Laopodis and Sawhney (2002). They have applications ranging from index arbitrage to gold-point arbitrage during the pre-World War I era.
{"title":"Demonstrating error-correction modelling for intraday statistical arbitrage","authors":"Brian Jacobsen","doi":"10.1080/17446540701720550","DOIUrl":"https://doi.org/10.1080/17446540701720550","url":null,"abstract":"Applying cointegration analysis to security price movements illustrates how securities move together in the long-term. This can be augmented with an error-correction model to show how the long-run relationship is approached when the security prices are out of line with their cointegrated relationship. Cointegration and error-correction modelling promises to be useful in statistical arbitrage applications: not only does it show what relative prices of securities should be, but it also illuminates the short-run dynamics of how equilibrium should be restored along with how long it will take. Cointegration, coupled with error-correction modelling, promises to be a profitable way of implementing statistical arbitrage strategies. 1 Bondarenko (2003) and Hogan et al. (2004) defined statistical arbitrage as an attempt to exploit the long-horizon trading opportunities revealed by cointegration relationships. Alexander and Dimitriu (2005) showed how cointegration is a better way of implementing a statistical arbitrage strategy than other conventional ways, like the use of tracking error variance minimization. These previous studies, however, did not add error-correction modelling to the trading strategies. This article seeks to fill that gap, by presenting how to implement a statistical arbitrage strategy based on cointegration and error-correction modelling. 1 For example, see Kumar and Seppi (1994), Wang and Yau (1994), Forbes et al. (1999), Canjels et al. (2004), Tatom (2002), Harasty and Roulet (2000) and Laopodis and Sawhney (2002). They have applications ranging from index arbitrage to gold-point arbitrage during the pre-World War I era.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121367372","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701720618
M. Percoco
The investment decisions of individuals are influenced by their perception of risk. The article investigates from an empirical viewpoint the role of risk aversion and of local government as a provider of public services in shaping the decisions of individuals to subscribe to private pension plans. It finds that risk aversion is a relatively important factor in the pension funds subscription decision, and that the greater the provision of local social services, the lower the probability of subscription.
{"title":"Risk aversion, regional welfare state and private pension plans","authors":"M. Percoco","doi":"10.1080/17446540701720618","DOIUrl":"https://doi.org/10.1080/17446540701720618","url":null,"abstract":"The investment decisions of individuals are influenced by their perception of risk. The article investigates from an empirical viewpoint the role of risk aversion and of local government as a provider of public services in shaping the decisions of individuals to subscribe to private pension plans. It finds that risk aversion is a relatively important factor in the pension funds subscription decision, and that the greater the provision of local social services, the lower the probability of subscription.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"246 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121877914","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701720527
R. Raei, S. Mohammadi
The explanatory power of the capital assets pricing model (CAPM) is low because, it uses parsimonious modelling and differenced data. Overdifferenced asset prices show lower R 2 values than the data with I(1) property (i.e. first difference of them give ADF-test–statistics near to the critical level). The CAPM of fractionally differenced series has a higher R 2 than the traditional CAPM. Fractional return, or generalized return, is a long-run concept that is consistent with long-run CAPM. Various estimation methods, such as robust estimators, or alternative models, such as arbitrage pricing theory (APT), cannot handle the loss of information that occurs when data are transformed to the stationary series.
{"title":"Fractional return and fractional CAPM","authors":"R. Raei, S. Mohammadi","doi":"10.1080/17446540701720527","DOIUrl":"https://doi.org/10.1080/17446540701720527","url":null,"abstract":"The explanatory power of the capital assets pricing model (CAPM) is low because, it uses parsimonious modelling and differenced data. Overdifferenced asset prices show lower R 2 values than the data with I(1) property (i.e. first difference of them give ADF-test–statistics near to the critical level). The CAPM of fractionally differenced series has a higher R 2 than the traditional CAPM. Fractional return, or generalized return, is a long-run concept that is consistent with long-run CAPM. Various estimation methods, such as robust estimators, or alternative models, such as arbitrage pricing theory (APT), cannot handle the loss of information that occurs when data are transformed to the stationary series.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124027467","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}
Pub Date : 2008-07-08DOI: 10.1080/17446540701720493
Marco Realdon
This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a firm's default intensity to its observed stock price. The pricing model requires finite difference numerical solutions. In spite of this quasi-maximum likelihood parameter estimation is still feasible. Evidence from a sample of large corporations confirms the validity of the link between the firm's stock price and default intensity.
{"title":"Credit default swap rates and stock prices","authors":"Marco Realdon","doi":"10.1080/17446540701720493","DOIUrl":"https://doi.org/10.1080/17446540701720493","url":null,"abstract":"This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a firm's default intensity to its observed stock price. The pricing model requires finite difference numerical solutions. In spite of this quasi-maximum likelihood parameter estimation is still feasible. Evidence from a sample of large corporations confirms the validity of the link between the firm's stock price and default intensity.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"239 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131726781","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}
Pub Date : 2008-04-21DOI: 10.1080/17446540701704349
K. Nikolopoulos, Michael Handrinos
Credit Unions (CUs) are financial co-operatives owned and controlled by their members; in the United States they operate both on state as well as on a national level and are in direct competition with retail high-street banks. In this study we use published data for six key financial figures from ten states in the US and present short to mid-term extrapolations. An Expert Forecasting Support System, selecting via a competition among classic extrapolative techniques, has been employed in order to prepare one-year as well as five-years ahead forecasts. The results surface significant statistical evidence of: (a) merging across CUs, and (b) blooming of all key financial figures. †An earlier version of this paper was presented in MIC'06 – Management International Conference 2006, 23–25 November 2006, Portoro[zbreve], Slovenia.
{"title":"The future of credit unions in the United States: evidence from quantitative extrapolations","authors":"K. Nikolopoulos, Michael Handrinos","doi":"10.1080/17446540701704349","DOIUrl":"https://doi.org/10.1080/17446540701704349","url":null,"abstract":"Credit Unions (CUs) are financial co-operatives owned and controlled by their members; in the United States they operate both on state as well as on a national level and are in direct competition with retail high-street banks. In this study we use published data for six key financial figures from ten states in the US and present short to mid-term extrapolations. An Expert Forecasting Support System, selecting via a competition among classic extrapolative techniques, has been employed in order to prepare one-year as well as five-years ahead forecasts. The results surface significant statistical evidence of: (a) merging across CUs, and (b) blooming of all key financial figures. †An earlier version of this paper was presented in MIC'06 – Management International Conference 2006, 23–25 November 2006, Portoro[zbreve], Slovenia.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115810018","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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