The stock wealth-consumption ratio reflects expected stock returns and consumption growth. Because consumption growth is mostly unpredictable, much of the variation in this ratio likely reflects changing expected stock returns. In contrast, isolating expected stock return information from other variables may be difficult (in addition to stock returns, the dividend yield may predict dividend growth, while the consumption-wealth ratio may predict non-stock wealth returns). Empirically, a detrended version of this ratio strongly predicts U.S. and international stock returns. In contrast to other predictive variables, predictability does not deteriorate after 1980 and out-of-sample performance is impressive.
{"title":"Stock Wealth, Consumption, and Return Predictability","authors":"Mark Rachwalski","doi":"10.2139/ssrn.1958674","DOIUrl":"https://doi.org/10.2139/ssrn.1958674","url":null,"abstract":"The stock wealth-consumption ratio reflects expected stock returns and consumption growth. Because consumption growth is mostly unpredictable, much of the variation in this ratio likely reflects changing expected stock returns. In contrast, isolating expected stock return information from other variables may be diffi\u000ecult (in addition to stock returns, the dividend yield may predict dividend growth, while the consumption-wealth ratio may predict non-stock wealth returns). Empirically, a detrended version of this ratio strongly predicts U.S. and international stock returns. In contrast to other predictive variables, predictability does not deteriorate after 1980 and out-of-sample performance is impressive.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125062459","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 study provides new insights into the link between local stock-market development and the demand for cross-listing. Analyzing 14 Central and Eastern European stock markets over two decades, we find that the link is non-monotonic: cross-listing activity first grows and then decreases as the local market develops. We support that country-level finding with firm-level evidence on non-monotonic preferences to issue and terminate depositary receipt programs. The results have important policy implications and they shed new light on the competitiveness and prospects of local stock markets in emerging economies.
{"title":"The Development of Emerging Stock Markets and the Demand for Cross-Listing","authors":"Adriana Korczak, Piotr Korczak","doi":"10.2139/ssrn.1854683","DOIUrl":"https://doi.org/10.2139/ssrn.1854683","url":null,"abstract":"This study provides new insights into the link between local stock-market development and the demand for cross-listing. Analyzing 14 Central and Eastern European stock markets over two decades, we find that the link is non-monotonic: cross-listing activity first grows and then decreases as the local market develops. We support that country-level finding with firm-level evidence on non-monotonic preferences to issue and terminate depositary receipt programs. The results have important policy implications and they shed new light on the competitiveness and prospects of local stock markets in emerging economies.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133498664","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 explores the impact of the European debt crisis on the valuation of sovereign debt in the euro area in a structural model that merges a sovereign country's stock market, CDS market, and its national finances. By estimating the model over the period from July 2007 to April 2012 using CDS data, this study reveals a structural break in the valuation of sovereign debt at the beginning of the European debt crisis. While for core euro-area countries this structural break takes the form of an upward shift of their default barriers that corresponds to an upward shift of their market implied or implicit debt levels, a downward shift is observed for a set of peripheral euro-area countries. These findings are consistent with markets pricing in guarantees and bailout payments between core and peripheral euro-area countries.
{"title":"A Structural View of Sovereign Risk Contagion in the Euro Zone","authors":"Manuel Mayer","doi":"10.2139/ssrn.2000662","DOIUrl":"https://doi.org/10.2139/ssrn.2000662","url":null,"abstract":"This paper explores the impact of the European debt crisis on the valuation of sovereign debt in the euro area in a structural model that merges a sovereign country's stock market, CDS market, and its national finances. By estimating the model over the period from July 2007 to April 2012 using CDS data, this study reveals a structural break in the valuation of sovereign debt at the beginning of the European debt crisis. While for core euro-area countries this structural break takes the form of an upward shift of their default barriers that corresponds to an upward shift of their market implied or implicit debt levels, a downward shift is observed for a set of peripheral euro-area countries. These findings are consistent with markets pricing in guarantees and bailout payments between core and peripheral euro-area countries.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"258 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122889041","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}
We analyse the pricing of derivatives under a CSA agreement, without considering netting, minimum transfer amounts and thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment and a funding value adjustment. Implications for the organization of a dealing room are also investigated.
{"title":"Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments","authors":"A. Castagna","doi":"10.2139/ssrn.1974479","DOIUrl":"https://doi.org/10.2139/ssrn.1974479","url":null,"abstract":"We analyse the pricing of derivatives under a CSA agreement, without considering netting, minimum transfer amounts and thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment and a funding value adjustment. Implications for the organization of a dealing room are also investigated.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132172810","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}
I explore whether educational connections between managers of venture capital (VC) firms can alleviate coordination costs, and thereby enhance collaboration, when engaging in economic ties with other organizations. Two given VC firms are three times as likely to syndicate an investment together if their managers overlapped at an educational institution, and their subsequent investments are associated with better investment outcomes, as measured by IPO exit. The effects are stronger in early-stage investments, in larger syndicates and for those VC firm-pairs syndicating with each other for the first time, and do not appear to be driven by manager latent talent. The mechanism for increased performance in the network is through a reduction in coordination costs, enhancing collaboration between the two parties.
{"title":"Manager Networks and Coordination of Effort: Evidence from Venture Capital Syndication","authors":"Vineet Bhagwat","doi":"10.2139/ssrn.1962146","DOIUrl":"https://doi.org/10.2139/ssrn.1962146","url":null,"abstract":"I explore whether educational connections between managers of venture capital (VC) firms can alleviate coordination costs, and thereby enhance collaboration, when engaging in economic ties with other organizations. Two given VC firms are three times as likely to syndicate an investment together if their managers overlapped at an educational institution, and their subsequent investments are associated with better investment outcomes, as measured by IPO exit. The effects are stronger in early-stage investments, in larger syndicates and for those VC firm-pairs syndicating with each other for the first time, and do not appear to be driven by manager latent talent. The mechanism for increased performance in the network is through a reduction in coordination costs, enhancing collaboration between the two parties.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134389133","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 study applies an innovative return-based approach to determine the style-shifting activity of mutual funds. Based on daily returns, we measure style-shifting activity as inter-quarterly changes in the style exposures of a fund. In order to test the robustness of style-shifting activity we relate it to the popular activity measures “tracking error” and “R-squared”. In the main part of the paper, we compare the ability of these three activity measures to predict fund performance. Our empirical study covers 520 U.S. hybrid mutual funds from 10/1998 to 12/2009 and shows that i) on average smaller funds tend to be more active style shifters, ii) a high degree of style-shifting relates to higher expense and turnover ratios, and iii) current style-shifting activity alone is not a significant predictor of fund performance. However, iv) style-shifting activity relates positively and significantly to future performance for currently outperforming funds and v) performance persistence is strongest for the most active style shifters. Finally, we vi) orthogonalize tracking error and R-squared on style-shifting activity and find that additional activity detected by the two alternative measures is not positively associated with future fund performance.
{"title":"Does Style-Shifting Activity Predict Performance? Evidence from Hybrid Mutual Funds","authors":"Ulf Herrmann, H. Scholz","doi":"10.2139/ssrn.2020487","DOIUrl":"https://doi.org/10.2139/ssrn.2020487","url":null,"abstract":"This study applies an innovative return-based approach to determine the style-shifting activity of mutual funds. Based on daily returns, we measure style-shifting activity as inter-quarterly changes in the style exposures of a fund. In order to test the robustness of style-shifting activity we relate it to the popular activity measures “tracking error” and “R-squared”. In the main part of the paper, we compare the ability of these three activity measures to predict fund performance. Our empirical study covers 520 U.S. hybrid mutual funds from 10/1998 to 12/2009 and shows that i) on average smaller funds tend to be more active style shifters, ii) a high degree of style-shifting relates to higher expense and turnover ratios, and iii) current style-shifting activity alone is not a significant predictor of fund performance. However, iv) style-shifting activity relates positively and significantly to future performance for currently outperforming funds and v) performance persistence is strongest for the most active style shifters. Finally, we vi) orthogonalize tracking error and R-squared on style-shifting activity and find that additional activity detected by the two alternative measures is not positively associated with future fund performance.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117326315","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}
When forming an investment portfolio two effect occur affecting its non-systematic risk. The first of them (diversification) is well studied, but the second one (inequality of specific risk of the portfolios components) remains at the periphery. In (Limitovsky and Minasyan 2009, 2010) it is shown on basis of empiric materials and theoretical analysis that this effect referred to as "a beetle in an ant-hill" effct by the authors of these papers can impose a considerable influence on the specific risk of the portfilio and its increase or decrease. Investors can find rational, from their point of view, high-risk investments ("beetles") and invest in them. At the same time, they dont strictly adhere to recommendations of the two funds theorem. In these cases a certain correction to the CAPM model is necessary which would account for inclusion even but a small amount of highly volatile shares into the portfolio. Of the highhest importance for examination is the case when "beetles" with various volatility levels exceeding the initial portfolios volatility are included into the portfolio. These criteria of selection of shares as investment objects, alpha-Jasens in our case, require appropriate corrections too. This paper proposes an approach to realizing such corrections.
在形成投资组合时，会产生两种影响其非系统风险的效应。第一个问题(多样化)得到了很好的研究，但第二个问题(投资组合组成部分特定风险的不平等)仍然处于边缘。在(Limitovsky and Minasyan 2009, 2010)中，根据经验材料和理论分析表明，这些论文的作者称之为“蚁山中的甲虫”效应，可以对投资组合的特定风险及其增减产生相当大的影响。从投资者的角度来看，他们可以找到理性的高风险投资(“甲虫”)并进行投资。同时，他们并不严格遵守双基金定理的建议。在这些情况下，对CAPM模型进行一定的修正是必要的，这将解释即使只有少量高度波动的股票纳入投资组合。最重要的是，当波动性水平超过初始投资组合波动性的“甲虫”被纳入投资组合时。这些选择股票作为投资对象的标准，在我们的例子中是alpha-Jasens，也需要适当的修正。本文提出了一种实现这种修正的方法。
{"title":"CAPM Model and α- Jensen Model upon Condition of Increasing of Volatilities Heterogeneity","authors":"V. B. Minasyan","doi":"10.2139/ssrn.2220677","DOIUrl":"https://doi.org/10.2139/ssrn.2220677","url":null,"abstract":"When forming an investment portfolio two effect occur affecting its non-systematic risk. The first of them (diversification) is well studied, but the second one (inequality of specific risk of the portfolios components) remains at the periphery. In (Limitovsky and Minasyan 2009, 2010) it is shown on basis of empiric materials and theoretical analysis that this effect referred to as \"a beetle in an ant-hill\" effct by the authors of these papers can impose a considerable influence on the specific risk of the portfilio and its increase or decrease. Investors can find rational, from their point of view, high-risk investments (\"beetles\") and invest in them. At the same time, they dont strictly adhere to recommendations of the two funds theorem. In these cases a certain correction to the CAPM model is necessary which would account for inclusion even but a small amount of highly volatile shares into the portfolio. Of the highhest importance for examination is the case when \"beetles\" with various volatility levels exceeding the initial portfolios volatility are included into the portfolio. These criteria of selection of shares as investment objects, alpha-Jasens in our case, require appropriate corrections too. This paper proposes an approach to realizing such corrections.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130924314","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 studies comparative risk aversion between risk averse agents in the presence of a background risk. Our contribution differs from most of the literature in two respects. First, background risk does not need to be additive or multiplicative. Second, the two risks are not necessarily mean independent, and may be conditional expectation increasing or decreasing. We show that our order of cross Ross risk aversion is equivalent to the order of partial risk premium, while our index of decreasing cross Ross risk aversion is equivalent to decreasing partial risk premium. These results generalize the comparative risk aversion model developed by Ross for mean independent risks. Our theoretical results are related to utility functions having the n-switch independence property.
{"title":"Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks","authors":"G. Dionne, Jingyuan Li","doi":"10.2139/ssrn.2002047","DOIUrl":"https://doi.org/10.2139/ssrn.2002047","url":null,"abstract":"This paper studies comparative risk aversion between risk averse agents in the presence of a background risk. Our contribution differs from most of the literature in two respects. First, background risk does not need to be additive or multiplicative. Second, the two risks are not necessarily mean independent, and may be conditional expectation increasing or decreasing. We show that our order of cross Ross risk aversion is equivalent to the order of partial risk premium, while our index of decreasing cross Ross risk aversion is equivalent to decreasing partial risk premium. These results generalize the comparative risk aversion model developed by Ross for mean independent risks. Our theoretical results are related to utility functions having the n-switch independence property.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120822482","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}
Pablo Fernández, Javier Aguirreamalloa, Luis Corres Avendaño
English Abstract: During the last 10 years, the average return of the pension funds in Spain was lower than the inflation and than the return of Government Bonds. Only 2 funds (out of 532) had a return higher than the return of Government Bonds. Nevertheless, on December 31, 2011, 5.1 million investors had 25 billion euros invested in pension funds. Spanish Abstract: En el periodo de diciembre de 2001 a diciembre de 2011, la rentabilidad del IBEX 35 fue del 4,3%, y la de los bonos del Estado a 10 anos, el 5,13%. Entre los 532 fondos de pensiones con 10 anos de historia, solo 2 fondos superaron la rentabilidad de los bonos del Estado a 10 anos; solo 3 fondos superaron el 4% de rentabilidad; y 191 fondos tuvieron rentabilidad promedio inegativa! Los 191 fondos con rentabilidad negativa tenian, en diciembre de 2011, 1,7 millones de participes y un patrimonio de 6.246 millones euros. El decepcionante resultado global de los fondos se debe a las elevadas comisiones, a la composicion de la cartera, a la gestion activa Este documento tambien incluye una clasificacion de las gestoras de fondos. No es razonable la discriminacion fiscal a favor de los fondos. En muchos casos, los inversores perdieron la desgravacion fiscal con la que el Estado les indujo a invertir en fondos de pensiones en menos de 5 anos. Obviamente, el Estado tiene alguna responsabilidad en las perdidas que millones de contribuyentes han sufrido y siguen sufriendo.
{"title":"Rentabilidad de los Fondos de Pensiones en España, 2001-2011(Pension Funds in Spain, 2001-2011)","authors":"Pablo Fernández, Javier Aguirreamalloa, Luis Corres Avendaño","doi":"10.2139/SSRN.2000213","DOIUrl":"https://doi.org/10.2139/SSRN.2000213","url":null,"abstract":"English Abstract: During the last 10 years, the average return of the pension funds in Spain was lower than the inflation and than the return of Government Bonds. Only 2 funds (out of 532) had a return higher than the return of Government Bonds. Nevertheless, on December 31, 2011, 5.1 million investors had 25 billion euros invested in pension funds. Spanish Abstract: En el periodo de diciembre de 2001 a diciembre de 2011, la rentabilidad del IBEX 35 fue del 4,3%, y la de los bonos del Estado a 10 anos, el 5,13%. Entre los 532 fondos de pensiones con 10 anos de historia, solo 2 fondos superaron la rentabilidad de los bonos del Estado a 10 anos; solo 3 fondos superaron el 4% de rentabilidad; y 191 fondos tuvieron rentabilidad promedio inegativa! Los 191 fondos con rentabilidad negativa tenian, en diciembre de 2011, 1,7 millones de participes y un patrimonio de 6.246 millones euros. El decepcionante resultado global de los fondos se debe a las elevadas comisiones, a la composicion de la cartera, a la gestion activa Este documento tambien incluye una clasificacion de las gestoras de fondos. No es razonable la discriminacion fiscal a favor de los fondos. En muchos casos, los inversores perdieron la desgravacion fiscal con la que el Estado les indujo a invertir en fondos de pensiones en menos de 5 anos. Obviamente, el Estado tiene alguna responsabilidad en las perdidas que millones de contribuyentes han sufrido y siguen sufriendo.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133658082","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}
Andrew K. Edelen, P. Gentry, Jessalee Landfried, T. Arnold
As the Eurozone debt crisis deepens, many European countries must determine how to restructure their debt, should it become necessary. Italy, while faced with a large debt burden, has the opportunity to prevent a future liquidity crisis by extending maturities on its existing debt. Fortunately, Italy has tools it needs to facilitate a voluntary reprofiling. This paper argues that by using the specter of the Greek restructuring and existing Italian law, which permits Italy to extend maturities, Italy can persuade its bondholders to participate in a voluntary exchange.
{"title":"A Mature Approach: Using a Unilateral or Voluntary Extension of Maturities To Restructure Italian Debt","authors":"Andrew K. Edelen, P. Gentry, Jessalee Landfried, T. Arnold","doi":"10.2139/SSRN.2077995","DOIUrl":"https://doi.org/10.2139/SSRN.2077995","url":null,"abstract":"As the Eurozone debt crisis deepens, many European countries must determine how to restructure their debt, should it become necessary. Italy, while faced with a large debt burden, has the opportunity to prevent a future liquidity crisis by extending maturities on its existing debt. Fortunately, Italy has tools it needs to facilitate a voluntary reprofiling. This paper argues that by using the specter of the Greek restructuring and existing Italian law, which permits Italy to extend maturities, Italy can persuade its bondholders to participate in a voluntary exchange.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126590155","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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