This paper examines the impact of market liquidity on seasoned equity offerings (SEO) characteristics in France. We find that, besides blockholders’ takeup, liquidity is an important determinant of SEO flotation method choice. We document higher direct equity offering flotation costs, but also improved stock market liquidity after public offerings and standby rights relative to uninsured rights. After controlling for endogeneity in the choice of SEO flotation method, we find that pure public offerings and standby rights are comparable in terms of direct costs and liquidity improvement. Our results provide new insights as to why firms choose public offerings despite apparently higher costs.
{"title":"Stock Market Liquidity and the Rights Offer Paradox","authors":"Edith Ginglinger, Laure Koenig-Matsoukis, Fabrice Riva","doi":"10.2139/ssrn.1359094","DOIUrl":"https://doi.org/10.2139/ssrn.1359094","url":null,"abstract":"This paper examines the impact of market liquidity on seasoned equity offerings (SEO) characteristics in France. We find that, besides blockholders’ takeup, liquidity is an important determinant of SEO flotation method choice. We document higher direct equity offering flotation costs, but also improved stock market liquidity after public offerings and standby rights relative to uninsured rights. After controlling for endogeneity in the choice of SEO flotation method, we find that pure public offerings and standby rights are comparable in terms of direct costs and liquidity improvement. Our results provide new insights as to why firms choose public offerings despite apparently higher costs.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73261402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
J. Jimenez-Martin, M. McAleer, Teodosio Pérez Amaral
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index, and interpreting commandments sensibly as guidelines.
{"title":"The Ten Commandments for Managing Value-at-Risk under the Basel II Accord","authors":"J. Jimenez-Martin, M. McAleer, Teodosio Pérez Amaral","doi":"10.2139/ssrn.1356803","DOIUrl":"https://doi.org/10.2139/ssrn.1356803","url":null,"abstract":"Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index, and interpreting commandments sensibly as guidelines.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87549719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2009-03-01DOI: 10.5089/9781451872163.001.A001
M. Čihák, Petya Koeva Brooks
The global financial crisis has highlighted the potential of financial conditions for influencing real economic activity. We examine the linkages between the financial and real sectors in the euro area, finding that (i) bank loan supply responds negatively to declines in bank soundness; (ii) a cutback in bank loan supply has a negative impact on economic activity; (iii) a positive shock to the corporate bond spread lowers industrial output; and (iv) risk indicators for the banking, corporate, and public sectors show an improvement beginning in 2002-03, followed by a major deterioration since 2007. These estimates imply that the currently estimated bank losses would subtract some 2 percentage points from the euro area output (but with considerable uncertainty around the estimates).
{"title":"From Subprime Loans to Subprime Growth? Evidence for the Euro Area","authors":"M. Čihák, Petya Koeva Brooks","doi":"10.5089/9781451872163.001.A001","DOIUrl":"https://doi.org/10.5089/9781451872163.001.A001","url":null,"abstract":"The global financial crisis has highlighted the potential of financial conditions for influencing real economic activity. We examine the linkages between the financial and real sectors in the euro area, finding that (i) bank loan supply responds negatively to declines in bank soundness; (ii) a cutback in bank loan supply has a negative impact on economic activity; (iii) a positive shock to the corporate bond spread lowers industrial output; and (iv) risk indicators for the banking, corporate, and public sectors show an improvement beginning in 2002-03, followed by a major deterioration since 2007. These estimates imply that the currently estimated bank losses would subtract some 2 percentage points from the euro area output (but with considerable uncertainty around the estimates).","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78151212","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper models the evolution of monetary policy, the term structure of interest rates and the UK economy across policy regimes. We model the interaction between the macroeconomy and the term structure using a time-varying VAR model augmented with the factors from the yield curve. Our results suggest that the level, slope and curvature factors display substantial time variation, with the level factor moving closely with measures of inflation expectations. Our estimates indicate a large decline in the volatility of both yield curve and macroeconomic variables around 1992, when the United Kingdom first adopted an inflation-targeting regime. During the inflation-targeting regime, monetary policy shocks have been more muted and inflation expectations have been lower than in the pre-1992 era. The link between the macroeconomy and the yield curve has also changed over time, with fluctuations in the level factor becoming less important for inflation after the Bank of England independence in 1997. Policy rates appear to have responded more systematically to inflation and unemployment in the current regime. We use our time-varying macro-finance model to revisit the evidence on the expectations hypothesis.
本文模拟了货币政策、利率期限结构和英国经济在不同政策体制下的演变。我们利用一个时变VAR模型，加上收益率曲线上的因素，来模拟宏观经济和期限结构之间的相互作用。我们的研究结果表明，水平、斜率和曲率因素表现出实质性的时间变化，水平因素与通胀预期的措施密切相关。我们的估计表明，收益率曲线和宏观经济变量的波动性在1992年前后大幅下降，当时英国首次采用通货膨胀目标制。在通货膨胀目标制下，货币政策冲击相对较小，通胀预期也低于1992年以前的水平。随着时间的推移，宏观经济与收益率曲线之间的联系也发生了变化，在1997年英国央行(Bank of England)独立后，水平因素的波动对通胀的影响变得不那么重要了。在当前体制下，政策利率似乎对通胀和失业率做出了更为系统的反应。我们使用时变宏观金融模型来重新审视预期假设的证据。
{"title":"Dynamics of the Term Structure of UK Interest Rates","authors":"F. Bianchi, H. Mumtaz, Paolo Surico","doi":"10.2139/ssrn.1366980","DOIUrl":"https://doi.org/10.2139/ssrn.1366980","url":null,"abstract":"This paper models the evolution of monetary policy, the term structure of interest rates and the UK economy across policy regimes. We model the interaction between the macroeconomy and the term structure using a time-varying VAR model augmented with the factors from the yield curve. Our results suggest that the level, slope and curvature factors display substantial time variation, with the level factor moving closely with measures of inflation expectations. Our estimates indicate a large decline in the volatility of both yield curve and macroeconomic variables around 1992, when the United Kingdom first adopted an inflation-targeting regime. During the inflation-targeting regime, monetary policy shocks have been more muted and inflation expectations have been lower than in the pre-1992 era. The link between the macroeconomy and the yield curve has also changed over time, with fluctuations in the level factor becoming less important for inflation after the Bank of England independence in 1997. Policy rates appear to have responded more systematically to inflation and unemployment in the current regime. We use our time-varying macro-finance model to revisit the evidence on the expectations hypothesis.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80131567","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2009-03-01DOI: 10.1111/j.1468-5957.2010.02197.x
E. Bajo
This paper investigates the way in which abnormal trading volume reveals new information to market participants. It is generally thought that trading volume is an efficient proxy for information flow and enhances the information set of investors. However, no research has related the presence of abnormal trading volume to firm characteristics, such as ownership and governance structure, which also have a theoretical link to information quality. I find strong excess returns around extreme trading levels, which are only moderately attributable to information disclosure. Moreover, these returns are not caused by liquidity fluctuations since prices do not reverse over the following period. In contrast, there is evidence of price momentum, suggesting that traders can implement successful portfolio strategies based on observation of current volumes. Copyright (c) 2010 Blackwell Publishing Ltd.
{"title":"The Information Content of Abnormal Trading Volume","authors":"E. Bajo","doi":"10.1111/j.1468-5957.2010.02197.x","DOIUrl":"https://doi.org/10.1111/j.1468-5957.2010.02197.x","url":null,"abstract":"This paper investigates the way in which abnormal trading volume reveals new information to market participants. It is generally thought that trading volume is an efficient proxy for information flow and enhances the information set of investors. However, no research has related the presence of abnormal trading volume to firm characteristics, such as ownership and governance structure, which also have a theoretical link to information quality. I find strong excess returns around extreme trading levels, which are only moderately attributable to information disclosure. Moreover, these returns are not caused by liquidity fluctuations since prices do not reverse over the following period. In contrast, there is evidence of price momentum, suggesting that traders can implement successful portfolio strategies based on observation of current volumes. Copyright (c) 2010 Blackwell Publishing Ltd.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83796424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We use two data sets, one from a large brokerage and another from a major bank, to ask: (i) whether financial advisors are more likely to be matched with poorer, uninformed investors or with richer and experienced investors; (ii) how advised accounts actually perform relative to self-managed accounts; (iii) whether the contribution of independent and bank advisors is similar. We find that advised accounts offer on average lower net returns and inferior risk-return tradeoffs (Sharpe ratios). Trading costs contribute to outcomes, as advised accounts feature higher turnover, consistent with commissions being the main source of advisor income. Results are robust to controlling for investor and local area characteristics. The results apply with stronger force to bank advisors than to independent financial advisors, consistent with greater limitations on bank advisory services.
{"title":"Financial Advisors: A Case of Babysitters?","authors":"A. Hackethal, M. Haliassos, T. Jappelli","doi":"10.2139/ssrn.1360440","DOIUrl":"https://doi.org/10.2139/ssrn.1360440","url":null,"abstract":"We use two data sets, one from a large brokerage and another from a major bank, to ask: (i) whether financial advisors are more likely to be matched with poorer, uninformed investors or with richer and experienced investors; (ii) how advised accounts actually perform relative to self-managed accounts; (iii) whether the contribution of independent and bank advisors is similar. We find that advised accounts offer on average lower net returns and inferior risk-return tradeoffs (Sharpe ratios). Trading costs contribute to outcomes, as advised accounts feature higher turnover, consistent with commissions being the main source of advisor income. Results are robust to controlling for investor and local area characteristics. The results apply with stronger force to bank advisors than to independent financial advisors, consistent with greater limitations on bank advisory services.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73776382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The European Union made a number of steps not least of them the introduction of a common currency to foster the integration of the European financial markets. A number of papers have tried to gauge the degree of integration for various financial markets looking at the convergence of interest rates. A common finding is that government bond markets are quite well integrated. In this paper stochastic Kernel density estimates are used to take a closer look at the dynamics that drive the process of interest rate convergence. The main finding is that countries with large initial deviations from the mean interest rate do indeed converge. Interestingly the candidates least suspected namely the countries initially with interest rates at the mean level show a pattern of slight divergence.
{"title":"European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries","authors":"S. Weber","doi":"10.2139/ssrn.1431346","DOIUrl":"https://doi.org/10.2139/ssrn.1431346","url":null,"abstract":"The European Union made a number of steps not least of them the introduction of a common currency to foster the integration of the European financial markets. A number of papers have tried to gauge the degree of integration for various financial markets looking at the convergence of interest rates. A common finding is that government bond markets are quite well integrated. In this paper stochastic Kernel density estimates are used to take a closer look at the dynamics that drive the process of interest rate convergence. The main finding is that countries with large initial deviations from the mean interest rate do indeed converge. Interestingly the candidates least suspected namely the countries initially with interest rates at the mean level show a pattern of slight divergence.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73420422","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Germany’s banking sector has been severely hit by the global financial crisis. In a German context as of February, 2009, this paper reviews briefly the structure of the banking industry, quantifies effects of the crisis on banks and surveys responses of economic policy. It is argued that policy design needs to enhance transparency and enforce the liability principle. In addition, economic policy should not eclipse principles of competition policy.
{"title":"The German Banking System and the Global Financial Crisis: Causes, Developments and Policy Responses","authors":"Hans-H. Bleuel","doi":"10.2139/ssrn.1365813","DOIUrl":"https://doi.org/10.2139/ssrn.1365813","url":null,"abstract":"Germany’s banking sector has been severely hit by the global financial crisis. In a German context as of February, 2009, this paper reviews briefly the structure of the banking industry, quantifies effects of the crisis on banks and surveys responses of economic policy. It is argued that policy design needs to enhance transparency and enforce the liability principle. In addition, economic policy should not eclipse principles of competition policy.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75132650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
As shown in the literature, delivering alpha over time and in different market environments is very difficult and relatively few managers have the ability to do so. Empirical analysis has shown that the main drivers of return for Long/Short Equity hedge funds are a stock market factor and the spread between small- and large capitalization stocks. We find that Swedish Long/Short Equity hedge funds outperformed their international peers during the financial crisis in June 2007 - December 2008 but underperformed during the previous equity bull market April 2003 - May 2007. The reason for this is found to be a lower beta to the broad equity market for Swedish funds. Funds started during 2004 - 2005 operated with a higher beta to the Swedish stock market during the equity bear market compared to funds started before April 2003. Our regression model can explain 65% of the returns of the funds during the bear market period and the stock market is the only statistically significant factor. The capability to generate alpha is found to be limited and concentrated to the equity bull market.
{"title":"Alpha and Beta of Long/Short Equity Hedge Funds: A Study of Swedish and International Funds","authors":"M. Haglund","doi":"10.2139/ssrn.1424501","DOIUrl":"https://doi.org/10.2139/ssrn.1424501","url":null,"abstract":"As shown in the literature, delivering alpha over time and in different market environments is very difficult and relatively few managers have the ability to do so. Empirical analysis has shown that the main drivers of return for Long/Short Equity hedge funds are a stock market factor and the spread between small- and large capitalization stocks. We find that Swedish Long/Short Equity hedge funds outperformed their international peers during the financial crisis in June 2007 - December 2008 but underperformed during the previous equity bull market April 2003 - May 2007. The reason for this is found to be a lower beta to the broad equity market for Swedish funds. Funds started during 2004 - 2005 operated with a higher beta to the Swedish stock market during the equity bear market compared to funds started before April 2003. Our regression model can explain 65% of the returns of the funds during the bear market period and the stock market is the only statistically significant factor. The capability to generate alpha is found to be limited and concentrated to the equity bull market.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84050881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Factoring is a means of financing businesses which is less known in Romania. Due to a poor dissemination in the local business environment, the legislative insufficiency, of a lack of consistent and attractive offers in the field, but also to other factors which we will analyze in this paper, the term is as unfamiliar as the term of "leasing" was ten or twelve years ago. The increase and diversification of the banks' product range, but also to that of the non-banking financial institutions and the harmonization with the world trend will naturally lead to adopting factoring as a frequent financing technique for the small and medium-sized enterprises in our country, as a viable alternative to the classical short-term credits. This paper explores the characteristics and the evolution of the factoring market in Romania.
{"title":"Remarks Regarding the Development of Factoring In Romania","authors":"Duca Ioana","doi":"10.2139/SSRN.1347427","DOIUrl":"https://doi.org/10.2139/SSRN.1347427","url":null,"abstract":"Factoring is a means of financing businesses which is less known in Romania. Due to a poor dissemination in the local business environment, the legislative insufficiency, of a lack of consistent and attractive offers in the field, but also to other factors which we will analyze in this paper, the term is as unfamiliar as the term of \"leasing\" was ten or twelve years ago. The increase and diversification of the banks' product range, but also to that of the non-banking financial institutions and the harmonization with the world trend will naturally lead to adopting factoring as a frequent financing technique for the small and medium-sized enterprises in our country, as a viable alternative to the classical short-term credits. This paper explores the characteristics and the evolution of the factoring market in Romania.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.5,"publicationDate":"2009-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86983275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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