Pub Date : 2012-03-08DOI: 10.7835/JCC-BERJ-2012-0070
Josep García-Blandón, Monica Martinez-Blasco
The purpose of this paper was to investigate the behavior of stock returns and trading volumes around ex-dividend dates in the Spanish stock market, using event study methodology. Clear consensus is evident in the literature about the fact that stock prices fall by less than the dividend paid on ex-dividend days. This behavior indicates a preference for capital gains over dividends, generally explained in terms of tax advantages. Contrary to the existing consensus, the results of this study did not reflect significant abnormal returns on ex-dividend days. The finding is consistent with the fact that nowadays Spain taxes dividends and capital gains at the same rate. In addition, abnormally high trading volumes are apparent around ex-dividend dates, especially for high-yield stocks.
{"title":"The Ex-Dividend Day Anomaly in the Spanish Stock Market","authors":"Josep García-Blandón, Monica Martinez-Blasco","doi":"10.7835/JCC-BERJ-2012-0070","DOIUrl":"https://doi.org/10.7835/JCC-BERJ-2012-0070","url":null,"abstract":"The purpose of this paper was to investigate the behavior of stock returns and trading volumes around ex-dividend dates in the Spanish stock market, using event study methodology. Clear consensus is evident in the literature about the fact that stock prices fall by less than the dividend paid on ex-dividend days. This behavior indicates a preference for capital gains over dividends, generally explained in terms of tax advantages. Contrary to the existing consensus, the results of this study did not reflect significant abnormal returns on ex-dividend days. The finding is consistent with the fact that nowadays Spain taxes dividends and capital gains at the same rate. In addition, abnormally high trading volumes are apparent around ex-dividend dates, especially for high-yield stocks.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133899879","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}
In this paper, we investigate short sale constraints' impact on the incidence of extreme stock market movements. The latter can be used to proxy for the likelihood of tail events like crashes and bubbles in a market and, thus, is a crucial measure of stock market stability. Since crashes and bubbles are, almost by definition, unpredictable, we, unlike scarce prior research which relies on simple descriptive statistics, address only the component of the return which hits investors unexpectedly. To this end, we rely on long lasting short selling regimes in 3 Asian markets which, unlike the short-lived bans analyzed in existing studies, provide us with a setting to consistently estimate sophisticated time series models for the market return. Our evidence suggests that, during some market phases, short sale restrictions lead to an increased kurtosis of pricing errors which, in turn, indicates a higher probability for tail events.
{"title":"Short Sale Constraints and the Likelihood of Crashes and Bubbles","authors":"A. Klein, Martin T. Bohl","doi":"10.2139/ssrn.1947145","DOIUrl":"https://doi.org/10.2139/ssrn.1947145","url":null,"abstract":"In this paper, we investigate short sale constraints' impact on the incidence of extreme stock market movements. The latter can be used to proxy for the likelihood of tail events like crashes and bubbles in a market and, thus, is a crucial measure of stock market stability. Since crashes and bubbles are, almost by definition, unpredictable, we, unlike scarce prior research which relies on simple descriptive statistics, address only the component of the return which hits investors unexpectedly. To this end, we rely on long lasting short selling regimes in 3 Asian markets which, unlike the short-lived bans analyzed in existing studies, provide us with a setting to consistently estimate sophisticated time series models for the market return. Our evidence suggests that, during some market phases, short sale restrictions lead to an increased kurtosis of pricing errors which, in turn, indicates a higher probability for tail events.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132134172","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 : 2012-03-01DOI: 10.5089/9781475502305.001
M. Kollár
The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This persistence of the misalignments was explained by (a) the fact that the macro-economy influences asset markets only at lower frequencies, (b) the liquidity effect particularly during the times of capital inflows to Czech Republic, and (c) the fact that not all misalignments were greater than their historical one standard deviation.
{"title":"Macrofinance Model of the Czech Economy: Asset Allocation Perspective","authors":"M. Kollár","doi":"10.5089/9781475502305.001","DOIUrl":"https://doi.org/10.5089/9781475502305.001","url":null,"abstract":"The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This persistence of the misalignments was explained by (a) the fact that the macro-economy influences asset markets only at lower frequencies, (b) the liquidity effect particularly during the times of capital inflows to Czech Republic, and (c) the fact that not all misalignments were greater than their historical one standard deviation.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134327439","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}
There is a growing consensus that a prolonged period of low interest rates can exert a negative impact on financial stability through the risk-taking incentives of banks. Using micro-level datasets from the US banking sector, this paper finds evidence of a highly significant negative relationship between monetary policy rates and bank-risk taking. This finding remains robust across various specifications, sub-periods and subsamples, thereby confirming the presence of an active risk-taking channel of monetary policy since the 1990s. The results, therefore, support the new responsibilities of the Fed on macro-prudential supervision to monitor systemic risks.
{"title":"The Risk-Taking Channel of Monetary Policy in the USA: Evidence from Micro-Level Data","authors":"M. Delis, I. Hasan, N. Mylonidis","doi":"10.2139/ssrn.2013787","DOIUrl":"https://doi.org/10.2139/ssrn.2013787","url":null,"abstract":"There is a growing consensus that a prolonged period of low interest rates can exert a negative impact on financial stability through the risk-taking incentives of banks. Using micro-level datasets from the US banking sector, this paper finds evidence of a highly significant negative relationship between monetary policy rates and bank-risk taking. This finding remains robust across various specifications, sub-periods and subsamples, thereby confirming the presence of an active risk-taking channel of monetary policy since the 1990s. The results, therefore, support the new responsibilities of the Fed on macro-prudential supervision to monitor systemic risks.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130972637","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}
The instability of banks during the recent financial crisis underlines the importance of understanding how banks determine their capital ratios. This paper conducts the first empirical assessment on how banks adjust their capital ratios following an exogenous shock to their asset risks. The existing literature, which uses non-experimental identification, faces the difficulty that banks typically determine capital ratios and asset risks simultaneously. Using Hurricane Katrina as a natural experiment, we find that banks in the disaster areas increase their risk-based capital ratios after the hurricane. This finding shows that banks act precautious by themselves irrespective of regulatory requirements. However, when we examine low-capitalized and high-capitalized banks separately, we find that results are driven by high-capitalized banks. In addition, high-capitalized banks increase their risk-based capital ratios by decreasing loans and not by increasing capital.
{"title":"How Do Banks React to Increased Asset Risks? Evidence from Hurricane Katrina","authors":"Claudia Lambert, Felix Noth, U. Schüwer","doi":"10.2139/ssrn.2022096","DOIUrl":"https://doi.org/10.2139/ssrn.2022096","url":null,"abstract":"The instability of banks during the recent financial crisis underlines the importance of understanding how banks determine their capital ratios. This paper conducts the first empirical assessment on how banks adjust their capital ratios following an exogenous shock to their asset risks. The existing literature, which uses non-experimental identification, faces the difficulty that banks typically determine capital ratios and asset risks simultaneously. Using Hurricane Katrina as a natural experiment, we find that banks in the disaster areas increase their risk-based capital ratios after the hurricane. This finding shows that banks act precautious by themselves irrespective of regulatory requirements. However, when we examine low-capitalized and high-capitalized banks separately, we find that results are driven by high-capitalized banks. In addition, high-capitalized banks increase their risk-based capital ratios by decreasing loans and not by increasing capital.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116836647","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 directly estimate the probability of default, the value of tax shields and expected cost of financial distress of firms, using a structural model calibrated and estimated from market prices (CDS and stock price data). This provides for high-frequency data on the major costs and benefits of debt, and allows to derive a unique estimate for target capital structure of firms, if the trade-off theory is valid. Our evidence contradicts the alleged "underleverage puzzle", which states that firms are too conservative in their debt policies. We find evidence that over the last decade, firms have been systematically overlevered. This is mainly due to the fact that CDS-implied loss-given-default estimates are far higher than the levels typically assumed in previous studies. In addition, the structural change in the risk-free interest level, which lowered the average level from some 8% to 2%, severely increased the cost of debt without an offsetting effect in tax benefits, thus strongly reducing target debt ratios.
{"title":"From Underleverage to Excess Debt: The Changing Environment of Corporate Debt","authors":"Nikolas Breitkopf, Ralf Elsas","doi":"10.2139/ssrn.2016978","DOIUrl":"https://doi.org/10.2139/ssrn.2016978","url":null,"abstract":"We directly estimate the probability of default, the value of tax shields and expected cost of financial distress of firms, using a structural model calibrated and estimated from market prices (CDS and stock price data). This provides for high-frequency data on the major costs and benefits of debt, and allows to derive a unique estimate for target capital structure of firms, if the trade-off theory is valid. Our evidence contradicts the alleged \"underleverage puzzle\", which states that firms are too conservative in their debt policies. We find evidence that over the last decade, firms have been systematically overlevered. This is mainly due to the fact that CDS-implied loss-given-default estimates are far higher than the levels typically assumed in previous studies. In addition, the structural change in the risk-free interest level, which lowered the average level from some 8% to 2%, severely increased the cost of debt without an offsetting effect in tax benefits, thus strongly reducing target debt ratios.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129694996","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}
In this paper, the global financial crisis which began in 2007 is divided into four stages by the switching of the leverages between financial system and governments. Gold, as one of the most important reverse calibration variables for global macro cycles, has switched its pricing models four times correspondingly.In the first stage, from August 2007 to June 2009, with the U.S. financial system deleveraging, the gold price was running according to the three-factor model. In the second stage, accompanied by the added leverage of global governments, the gold price ran according to the U.S. real interest rate model. In the third stage, the financial market's focus shifted to the European sovereign debt crisis in February 2010, the gold price ran according to the European sovereign CDS (Credit Default Swap) model. The European countries were deleveraging in the third stage. Finally, gold turned back to the three-factor model. The trigger was the U.S. Federal Reserve's OT (Operation Twist) policy and the German Constitutional Court's legality adjudgement for the German government to aid Greece and other European countries. Both occurred in September 2011.Further, we find that the OIS (Overnight Indexed Swap), the LIBOR-OIS spread (London InterBank Offer Rate) and the TED spread can be considered as the observation variables for the switching of the gold pricing models. These variables are usually considered as a warning to the liquidity risk of the financial institutions.In general, gold, if not the only one, will be one of the most important assets in revealing the four stages of the financial crisis.
{"title":"Important Warning Indicators on Financial Crisis and Dynamic Switching of Gold Pricing Models","authors":"Sihai Fang, Tao Lu","doi":"10.2139/ssrn.2012176","DOIUrl":"https://doi.org/10.2139/ssrn.2012176","url":null,"abstract":"In this paper, the global financial crisis which began in 2007 is divided into four stages by the switching of the leverages between financial system and governments. Gold, as one of the most important reverse calibration variables for global macro cycles, has switched its pricing models four times correspondingly.In the first stage, from August 2007 to June 2009, with the U.S. financial system deleveraging, the gold price was running according to the three-factor model. In the second stage, accompanied by the added leverage of global governments, the gold price ran according to the U.S. real interest rate model. In the third stage, the financial market's focus shifted to the European sovereign debt crisis in February 2010, the gold price ran according to the European sovereign CDS (Credit Default Swap) model. The European countries were deleveraging in the third stage. Finally, gold turned back to the three-factor model. The trigger was the U.S. Federal Reserve's OT (Operation Twist) policy and the German Constitutional Court's legality adjudgement for the German government to aid Greece and other European countries. Both occurred in September 2011.Further, we find that the OIS (Overnight Indexed Swap), the LIBOR-OIS spread (London InterBank Offer Rate) and the TED spread can be considered as the observation variables for the switching of the gold pricing models. These variables are usually considered as a warning to the liquidity risk of the financial institutions.In general, gold, if not the only one, will be one of the most important assets in revealing the four stages of the financial crisis.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125594186","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}
In this paper, we use weekly data from 31 Dec 1999 to 31 Dec 2010 to investigate the time varying integration of six ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) with four international stock markets (US, ASEAN bloc, Asia and world) and the interaction channels between domestic and international stock markets. Based on the information of integration/segmentation and the interaction mechanisms between markets, we infer some investment policy implications to investors. We find that some of these six ASEAN stock markets are not highly integrated with international markets and the investors can use assets from these ASEAN countries to diversify their investment portfolios.
{"title":"Capital Market Integration of ASEAN Countries","authors":"H. Q. Do, László Kónya","doi":"10.2139/ssrn.1974449","DOIUrl":"https://doi.org/10.2139/ssrn.1974449","url":null,"abstract":"In this paper, we use weekly data from 31 Dec 1999 to 31 Dec 2010 to investigate the time varying integration of six ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) with four international stock markets (US, ASEAN bloc, Asia and world) and the interaction channels between domestic and international stock markets. Based on the information of integration/segmentation and the interaction mechanisms between markets, we infer some investment policy implications to investors. We find that some of these six ASEAN stock markets are not highly integrated with international markets and the investors can use assets from these ASEAN countries to diversify their investment portfolios.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124930211","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}
The current paper reviews the impacts and effects of technical transfer and change on the economic patterns of developing countries. It has been postulated that production factors, labor and capital have the greatest effects on economic and development patterns. However, technical change emerges as of prime effects on that issue. Hereby, we review theories of development here stressing impacts of technical changes on development countries as embodied and disembodied paradigms. Assessment of production and correlations with technical changes are measured by Total Factor Productivity as an expression of Technical Change presuming constant efficiency. That is one viable trend. The other is combining both Technical Change and Technical Efficiency to assess Total Factor Productivity.
{"title":"Technological Change in Developing Countries, Efficiency, Productivity and the Economic Theory","authors":"Issam A.W. Mohamed","doi":"10.2139/ssrn.2009987","DOIUrl":"https://doi.org/10.2139/ssrn.2009987","url":null,"abstract":"The current paper reviews the impacts and effects of technical transfer and change on the economic patterns of developing countries. It has been postulated that production factors, labor and capital have the greatest effects on economic and development patterns. However, technical change emerges as of prime effects on that issue. Hereby, we review theories of development here stressing impacts of technical changes on development countries as embodied and disembodied paradigms. Assessment of production and correlations with technical changes are measured by Total Factor Productivity as an expression of Technical Change presuming constant efficiency. That is one viable trend. The other is combining both Technical Change and Technical Efficiency to assess Total Factor Productivity.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125608255","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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