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And Death Shall Have No Dominion: Life Settlements and the Ethic of Profiting from Mortality 死亡无权统治:生命的归宿与从死亡中获利的伦理
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-16 DOI: 10.2139/SSRN.1344332
D. Blake, D. Harrison
"And death shall have no dominion: Life settlements and the ethics of profiting from mortality" was published on Monday 7 July 2008. The report is the first major independent study of the ethics of investing in US life settlements (also known as traded life policies or TLPs). It analyses the potential benefits of this secondary market for policyholders wishing to sell and for investors seeking to diversify risk but it also raises concerns over current inconsistencies in the regulation of the market. It concludes that there would appear to be no particular ethical issues associated with investing in this asset class that distinguish it from well-established pensions and life market investments, which are also based on mortality projections, provided that products and processes are fully transparent to all parties, including the original policyholder and the end investor, and provided that the privacy of the policyholder is safeguarded.
2008年7月7日,星期一发表了《死亡无权统治:生命的解决方案和从死亡中获利的伦理》。该报告是对投资美国寿险保单(也被称为交易寿险保单或tlp)的道德规范进行的首个主要独立研究。报告分析了二级市场对希望出售保单的投保人和寻求分散风险的投资者的潜在好处,但也对目前市场监管的不一致性提出了担忧。它的结论是,如果产品和流程对所有各方(包括原始保单持有人和最终投资者)完全透明,并确保保单持有人的隐私得到保护,那么投资这一资产类别似乎不存在将其与同样基于死亡率预测的成熟养老金和寿险市场投资区分开来的特定道德问题。
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引用次数: 21
Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes 非对称收益-波动关系、波动传导与隐含波动指数
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-15 DOI: 10.2139/ssrn.1344413
Ihsan Badshah
The purpose of this study is twofold: First, to investigate the asymmetric return-volatility phenomenon with newly adapted robust volatility indexes VIX, VXN, VDAX and VSTOXX. Second, we examine the dynamic implied volatility transmissions across the implied volatility indexes using techniques such as Granger causality, generalized impulse response function and variance decomposition. We find pronounced negative and asymmetric return-volatility relationships between each volatility index and its corresponding stock market index. The VIX volatility index presents the highest asymmetric return-volatility relationship followed by the VSTOXX, VDAX and VXN volatility indexes, respectively. Moreover, there are significant spillover effects across the volatility indexes, bi-directional causality running between the volatility indexes. Further, in innovation accounting investigations, the VIX volatility index influences the other three volatility indexes considerably. However, in the European context, VDAX is the dominant source of information. Our findings have implications for trading strategies, hedging portfolios, pricing and hedging volatility derivatives, and risk management.
本文的研究目的有两方面:一是采用新引入的稳健波动指数VIX、vx、VDAX和VSTOXX来研究非对称收益-波动现象。其次,采用格兰杰因果关系、广义脉冲响应函数和方差分解等方法研究了隐含波动率在各隐含波动率指标之间的动态传递。我们发现每个波动率指数与其对应的股票市场指数之间存在显著的负和非对称的收益-波动关系。VIX波动率指数表现出最高的非对称收益-波动关系,其次是VSTOXX、VDAX和VXN波动率指数。此外,各波动率指数之间存在显著的溢出效应,波动率指数之间存在双向因果关系。此外,在创新会计调查中,VIX波动率指数对其他三个波动率指数影响较大。然而,在欧洲,VDAX是主要的信息来源。我们的研究结果对交易策略、对冲投资组合、定价和对冲波动衍生品以及风险管理具有启示意义。
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引用次数: 18
Leasing and Economic Growth - Evidence for Central and South Eastern Europe 租赁与经济增长——以中欧和东南欧为例
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-15 DOI: 10.2139/ssrn.1343887
Elisabeth Kichler, P. Haiss
Credit and its vast growth in transition economies attracted a lot of research while less attention was given to the even faster growth of leasing and the aggregate impact of financial market segments. Applying a panel data approach over 1999-2006, we investigate the finance-growth nexus (credit, stock, bond) for ten Eastern European countries with a production function and include leasing. We find that leasing and credit positively contributed to economic growth; we confirm on a broader basis that macroeconomic stability and a sound legal system are important preconditions for a positive impact of the financial sector; we find that leasing and credit are rather complements than substitutes and that taking alternative forms of finance like leasing into consideration is necessary for a full picture of the impact of finance.
信贷及其在转型经济中的巨大增长吸引了大量的研究,而很少注意到租赁的更快增长和金融市场部门的总体影响。采用1999-2006年的面板数据方法,我们研究了10个东欧国家的金融-增长关系(信贷,股票,债券)与生产函数,包括租赁。研究发现,租赁和信贷对经济增长的贡献为正;我们在更广泛的基础上确认,宏观经济稳定和健全的法律体系是金融部门发挥积极作用的重要前提;我们发现,租赁和信贷是互补的,而不是相互替代的,要全面了解融资的影响,有必要考虑租赁等其他融资形式。
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引用次数: 5
Leasing, Credit and Economic Growth: Evidence for Central and South Eastern Europe 租赁、信贷和经济增长:中欧和东南欧的证据
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-15 DOI: 10.2139/ssrn.1393162
P. Haiss, Elisabeth Kichler
Credit and its vast growth in transition economies attracted a lot of research while less attention was given to the even faster growth of leasing and the aggregate impact of financial market segments. Applying a panel data approach over 1999-2006, we investigate the finance-growth nexus (credit, stock, bond) for ten Eastern European countries with a production function and include leasing. We find that leasing and credit positively contributed to economic growth; we confirm on a broader basis that macroeconomic stability and a sound legal system are important preconditions for a positive impact of the financial sector; we find that leasing and credit are rather complements than substitutes and that taking alternative forms of finance like leasing into consideration is necessary for a full picture of the impact of finance.
信贷及其在转型经济中的巨大增长吸引了大量的研究,而很少注意到租赁的更快增长和金融市场部门的总体影响。采用1999-2006年的面板数据方法,我们研究了10个东欧国家的金融-增长关系(信贷,股票,债券)与生产函数,包括租赁。研究发现,租赁和信贷对经济增长的贡献为正;我们在更广泛的基础上确认,宏观经济稳定和健全的法律体系是金融部门发挥积极作用的重要前提;我们发现,租赁和信贷是互补的,而不是相互替代的,要全面了解融资的影响,有必要考虑租赁等其他融资形式。
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引用次数: 16
The Role of Corporate Governance News: Evidence from Italy 公司治理新闻的作用:来自意大利的证据
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-14 DOI: 10.2139/ssrn.1343631
A. Carretta, Vincenzo Farina, Franco Fiordelisi, D. Martelli, Paola Schwizer
Stock market prices reflect information on firms' business environments, operations and, in general, firms' fundamentals. Recently, various studies analyze the link between news coverage and stock prices showing that mass media has a significant impact on financial markets. This paper analyze the interactions between the mass media and the stock market focusing on corporate governance news release. By using a large sample of corporate governance news released between 2003 and 2007, we examine the link between abnormal stock returns and corporate governance news. We find evidence that stock returns are influenced by the semantic content of corporate governance news, by firm performance and health and by the interaction of these variables.
股票市场价格反映了公司的商业环境、经营情况以及公司的基本情况。最近,各种研究分析了新闻报道和股票价格之间的联系,表明大众媒体对金融市场有重大影响。本文以公司治理新闻发布为研究对象,分析了大众传媒与股票市场的互动关系。本文以2003 - 2007年的公司治理新闻为样本,考察了股票异常收益与公司治理新闻之间的关系。我们发现有证据表明,股票收益受到公司治理新闻的语义内容、公司业绩和健康状况以及这些变量的相互作用的影响。
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引用次数: 0
The Influence of Financial Advisors on Household Portfolios: A Study on Private Investors Switching to Financial Advice 财务顾问对家庭投资组合的影响:私人投资者转向财务顾问的研究
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-14 DOI: 10.2139/ssrn.1343607
Ralf G. Gerhardt, A. Hackethal
Investment advisors have significant influence on private investors' financial decisions but empirical studies of their behavior are rare. Based on a large and unique data set of the detailed portfolio compositions and daily transactions of more than 65,000 customers of a large German direct bank, we first compare advised investors with groups of non-advised investors, including matched peers. We find that the effect of investment advice is probably less than assumed. To underline this finding, we conduct an event study comparing 597 investors before and after the decision to take regular investment advice. We find much higher trading activity after the event due to advisors re-structuring clients' portfolios, less risky and speculative trading and rising diversification.
投资顾问对私人投资者的财务决策有重要影响,但对其行为的实证研究很少。基于一个庞大而独特的数据集,包括一家大型德国直接银行超过65,000名客户的详细投资组合组成和日常交易,我们首先比较了建议投资者与非建议投资者群体,包括匹配的同行。我们发现,投资建议的效果可能比假设的要小。为了强调这一发现,我们进行了一项事件研究,比较了597名投资者决定接受定期投资建议之前和之后的情况。我们发现,由于顾问重组了客户的投资组合,风险和投机性交易减少,以及多元化程度的提高,交易活动在事件发生后大幅增加。
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引用次数: 53
Are Private Equity Investors Corporate Raiders or Corporate Doctors? The Influence of Geography on the Success of Private Equity Investments in Listed Equity 私募股权投资者是企业掠夺者还是企业医生?地理因素对私募股权投资成功的影响
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-13 DOI: 10.2139/ssrn.1342522
Olaf Stotz
This paper analyses short-term wealth effects and long-term wealth effects of private equity investments in target companies already listed on a stock exchange and examines the importance of geography on stock returns and accounting returns. In general, risk-adjusted short-term and long-term stock returns of target companies are positive. Moreover, target companies realize higher announcement returns and larger improvements in accounting returns when the private equity investor and the target are from the same country. These observations support the hypothesis that private equity investors are corporate doctors (and are also perceived as doctors by the market).
本文分析了私募股权投资于已在证券交易所上市的目标公司的短期财富效应和长期财富效应,并考察了地理因素对股票收益和会计收益的重要性。总体而言,目标公司经风险调整后的短期和长期股票收益均为正。此外,当私募股权投资者和目标公司来自同一国家时,目标公司实现更高的公告收益和更大的会计收益改善。这些观察结果支持了一种假设,即私人股本投资者是企业医生(也被市场视为医生)。
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引用次数: 0
Do Arbitrage Opportunities Exist in the UK Gilt Market? 英国金边债券市场存在套利机会吗?
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-13 DOI: 10.2139/ssrn.1342429
L. Hodgkinson, Jo Wells
The UK Government introduced a Strip facility for UK Gilts on 8th December 1997. The Strip facility enables investors to exchange a coupon bearing Gilt (conventional) for a series of individual cash flows, each of which can then be traded separately. Investors can also reconstitute the Gilt by exchanging the series of Stripped cash flows for the original conventional Gilt. Arbitrage opportunities exist if the portfolio of Stripped components trades at significantly different values to the corresponding conventional Gilt. If the Stripped components have a lower value than the conventional Gilt, the investor should short sell the conventional and buy the Stripped components which they then reconstitute to close the short position. If the cash flows arising from this are greater than the transaction costs (including the bid-ask spread), an arbitrage profit is made. If the Gilt market is efficient arbitrageurs will limit the divergence in prices. This paper examines for arbitrage opportunities at different maturities and coupon rates and thus questions whether the Gilt market is efficient.
1997年12月8日,英国政府为英国金边债券推出了一项带状安排。Strip设施使投资者能够将带有息票的金边债券(常规)兑换成一系列单独的现金流,然后每一笔现金流都可以单独交易。投资者还可以通过将一系列剥离后的现金流兑换成原始的传统金边债券来重组金边债券。如果剥离组件的投资组合交易价值与相应的传统金边债券显著不同,则存在套利机会。如果剥离成分的价值低于传统金边债券,投资者应该卖空传统金边债券,买入剥离成分,然后重新组合以平仓。如果由此产生的现金流大于交易成本(包括买卖价差),套利利润就产生了。如果英国国债市场是有效的,套利者将限制价格的差异。本文考察了不同期限和票面利率下的套利机会,从而质疑金边债券市场是否有效。
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引用次数: 0
The Efficiency View of Corporate Boards: Evidence from Italian Listed Firms 公司董事会效率观:来自意大利上市公司的证据
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-12 DOI: 10.2139/ssrn.1341612
A. Baglioni, L. Colombo
We investigate the determinants and characteristics of the board structure of Italian listed companies over the period 2004-2007. Our results are consistent with the view, commonly shared by the governance literature, that corporate boards are designed so as to control agency issues and maximize firm value. The idea that boards in closely held firms — typical of the Italian market — are shaped in order to enable large shareholders to extract private benefits is refuted by the data. In particular, we find that board composition favors independent members in firms where free cash flow (measuring the scope for private benefit extraction) is higher. Conversely, it favors executive members in firms with high ownership concentration, where small shareholders are more protected by the “incentive alignment effect”; the same holds for family firms. Large boards are more likely to be organized in committees, presumably to enhance the efficiency of the decision process. Firms with higher growth opportunities — and high tech firms in particular — rely more heavily on the specific knowledge provided by executive members.
我们研究了2004-2007年期间意大利上市公司董事会结构的决定因素和特征。我们的研究结果与治理文献普遍认同的观点一致,即公司董事会的设计是为了控制代理问题和最大化公司价值。有观点认为,在少数人持股的公司(典型的意大利市场),董事会的形成是为了让大股东榨取私人利益,但数据驳斥了这种观点。特别是,我们发现,在自由现金流(衡量私人利益提取范围)较高的公司,董事会构成有利于独立成员。相反,在股权集中度高的公司,它有利于高管成员,在那里,小股东更受“激励对齐效应”的保护;家族企业也是如此。大型董事会更有可能以委员会的形式组织起来,大概是为了提高决策过程的效率。具有较高增长机会的公司——尤其是高科技公司——更依赖于高管成员提供的具体知识。
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引用次数: 5
A Simultaneous Equation Model of the Office Cycle for the Parisian Region (French) 巴黎地区办公周期的联立方程模型(法文)
IF 2.5 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2009-02-01 DOI: 10.2139/SSRN.1423382
Richard Malle
This paper presents a simultaneous equation model for the office market. We determine supply and demand relationships to link main fundamentals of commercial real estate: net absorption, vacancy rate, real rents and construction. This model is applied to the office market in the Paris region over the 1994-2008 period. Office market cycles are then established according to different employment forecasts from 2009 to 2020. The results show that the employment cycle determines the cycle of office market fundamentals. Interest rates have a limited impact on the decisions of property actors. From 2009 to 2010, empirical results show that real rents may be historically low because of the economic shock in 2008-2009.
本文提出了写字楼市场的联立方程模型。我们确定了供需关系,以联系商业房地产的主要基本面:净吸收、空置率、实际租金和建设。该模型应用于1994-2008年期间巴黎地区的写字楼市场。然后根据2009年至2020年的不同就业预测建立办公市场周期。结果表明,就业周期决定写字楼市场基本面周期。利率对房地产参与者的决策影响有限。从2009年到2010年,实证结果表明,由于2008-2009年的经济冲击,实际租金可能处于历史低位。
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引用次数: 0
期刊
European Journal of Finance
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