Всего статей в данном разделе : 978
Опубликовано на портале: 15-11-2004Nai-Fu Chen Journal of Finance. 1983. Vol. 38. No. 5. P. 1393-1414.
We estimate the parameters of Ross's Arbitrage Pricing Theory (APT). Using daily return data during the 1963-78 period, we compare the evidence on the APT and the Capital Asset Pricing Model (CAPM) as implemented by market indices and find that the APT performs well. The theory is further supported in that estimated expected returns depend on estimated factor loadings, and variables such as own variance and firm size do not contribute additional explanatory power to that of the factor loadings.
Опубликовано на портале: 25-10-2007David M. Cutler, James Michael Poterba, Lawrence H. Summers American Economic Review. 1990. Vol. 80. No. 2. P. 63-68.
This paper summarizes our earlier research documenting the characteristic speculative dynamics of many asset markets and suggests a framework for understanding them. Our model incorporates "feedback traders," traders whose demand is based on the history of past returns rather than the expectation of future fundamentals. We use this framework to describe ways in which the characteristic return patterns might be generated, and also to address the long-standing question of whether profitable speculation stabilizes asset markets.
Опубликовано на портале: 25-11-2008Franklin Allen, Elena Carletti, Robert Marquez ECGI - Finance Working Paper. 2007. No. 190.
We consider the advantages and disadvantages of stakeholder-oriented firms that are concerned with employees and suppliers as well as shareholders compared to shareholder- oriented firms. Societies with stakeholder-oriented firms have higher prices, lower out- put, and can have greater firm value than shareholder-oriented societies. In some circumstances, firms may voluntarily choose to be stakeholder-oriented because this increases their value. Consumers that prefer to buy from stakeholder firms can also enforce a stakeholder society. With globalization entry by stakeholder firms is relatively more attractive than entry by shareholder firms for all societies.
Опубликовано на портале: 16-06-2006Anthony Yanxiang Gu American Business Review. 2003. Vol. 21. No. 2. P. 101-109.
Examines the impact of state ownership, firm size and initial public offering performance in China. High initial and short-term returns; Indication that firm size, has a significant positive impact on the Suggestion that investors believe that large companies are less risky and have stronger demand for their stocks.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Jerold B. Warner Journal of Financial Economics. 1993. Vol. 34. No. 3. P. 281-305.
We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evidence is consistent with the hypothesis that informed trades are concentrated in the medium-size category, and that price movements are due mainly to informed traders' private information.
Опубликовано на портале: 12-12-2002Helyette Geman, Marc Yor, Dilip B. Madan Finance and Stochastics. 2002. Vol. 6. No. 1. P. 63-90.
Stochastic volatility and jumps are viewed as arising from Brownian subordination given here by an independent purely discontinuous process and we inquire into the relation between the realized variance or quadratic variation of the process and the time change. The class of models considered encompasses a wide range of models employed in practical financial modeling. It is shown that in general the time change cannot be recovered from the composite process and we obtain its conditional distribution in a variety of cases. The implications of our results for working with stochastic volatility models in general is also described. We solve the recovery problem, i.e. the identification the conditional law for a variety of cases, the simplest solution being for the gamma time change when this conditional law is that of the first hitting time process of Brownian motion with drift attaining the level of the variation of the time changed process. We also introduce and solve in certain cases the problem of stochastic scaling. A stochastic scalar is a subordinator that recovers the law of a given subordinator when evaluated at an independent and time scaled copy of the given subordinator. These results are of importance in comparing price quality delivered by alternate exchanges.
Stock Index Autocorrelation and Cross-Autocorrelations of Size-Sorted Portfolios in the Japanese Market [статья]
Опубликовано на портале: 03-11-2007Iwaisako Tokuo Discussion Paper Series of Hitotsubashi University. 2007.
Following Lo and MacKinlay's work on the U.S. market (1988, 1990), this paper investigates the autocorrelation of the market index and the cross-autocorrelations of size-sorted portfolios in the Japanese market. The structure of the cross-autocorrelations in the Japanese market is very similar to that of the U.S. in the sense that there are lead-lag relations running from larger stocks to smaller stocks, which will create positive autocorrelation in the market index. Although we have found no autocorrelation in the popular Japanese TOPIX market index, it is because TOPIX puts much more weight on larger stocks compared to the CRSP index for the U.S. market. However, such a cross-autocorrelation structure disappeared during the latter half of the 1990s, as the largest stocks in the Japanese market began to exhibit negative autocorrelation. The possibility of a serious financial crisis during this period provides an explanation for negative autocorrelation. Some empirical evidence is provided for this explanation.
Опубликовано на портале: 25-10-2007Andrew W. Lo, A. Craig MacKinlay Review of Financial Studies. 1988. Vol. 1. No. 1. P. 41-66.
In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sampleperiod (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted porfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of assetprices.
Опубликовано на портале: 25-10-2007Simon Broome, Bruce Morley Journal of Asian Economics. 2004. Vol. 15. No. 1. P. 189-197.
Using a basic monetary model, we assess the effectiveness of stock prices as a leading indicator of the East Asian currency crisis in 1997 and 1998. Stock prices are incorporated into a monetary model, through the wealth effect postulated by Friedman [J. Pol. Econ. 96 (1988) 221]. In addition to the domestic stock price, we also incorporate the stock prices of Hong Kong, China and Japan. Using monthly data, the results indicate that the domestic stock price, the Hong Kong stock price and particularly US prices are significant leading indicators of the crisis. Causality tests suggest evidence of bi-causality between the stock markets and foreign exchange markets
Stock Return Autocorrelation and Institutional Investors: The Case of American Depository Receipt [статья]
Опубликовано на портале: 25-10-2007Diane DeQing Li, Kennet Yung Review of Accounting and Finance. 2006. Vol. 5. No. 1. P. 45-58.
Though stock portfolio return autocorrelation is well documented in the literature, its cause is still not clearly understood. Presently, evidence of private information induced stock return autocorrelation is still very limited. The difficulty in obtaining foreign country information by small investors makes the private information of institutional investors in the ADR (American Depository Receipt) market more significant and influential. As such, the ADR market provides a favorable environment for testing the effect of private information on return autocorrelation. The purpose of this paper is to address this issue.
Опубликовано на портале: 25-10-2007Kenneth R. French, Richard Roll Journal of Financial Economics. 1986. Vol. 17. No. 1. P. 5-26.
Asset prices are much more volatile during exchange trading hours than during non-trading hours. This paper considers three explanations for this phenomenon: (1) volatility is caused by public information which is more likely to arrive during normal business hours; (2) volatility is caused by private information which affects prices when informed investors trade; and (3) volatility is caused by pricing errors that occur during trading. Although a significant fraction of the daily variance is caused by mispricing, the behavior of returns around exchange holidays suggests that private information is the principle factor behind high trading-time variances.
Опубликовано на портале: 28-10-2007Ingo Fender, Janet Mitchell BIS Quarterly Review. 2005.
This article reviews the principal features of structured finance instruments. Key to understanding the risk properties of these products is the evaluation of the risks associated with their contractual structure, in addition to the modelling of the credit risk of the underlying asset pools. It is argued that structured finance ratings, though useful, have intrinsic limitations in fully gauging the risk of these products, even as their complexity creates incentives to rely more heavily on ratings than for other rated securities. Market participants and public authorities need to take account of this in their assessments of structured finance instruments and their markets.
Опубликовано на портале: 31-12-2010Экономический журнал ВШЭ. 2006. Т. 10. № 2. С. 349-350.
Опубликовано на портале: 31-12-2010Экономический журнал ВШЭ. 2005. Т. 9. № 2. С. 285-287.
Synergistic gains from corporate acquisitions and their division between the stockholders of target and acquiring firms [статья]
Опубликовано на портале: 03-10-2003Michael Bradley, Anand Desai, E.Han Kim Journal of Financial Economics. 1988. Vol. 21. No. 1. P. 3-40.
This paper documents that a successful tender offer increases the combined value of the target and acquiring firms by an average of 7.4%. We also provide a theoretical analysis of the process of competition for control of the target and empirical evidence that competition among bidding firms increases the returns to targets and decreases the returns to acquirers, that the supply of target shares is positively sloped, and that changes in the legal/institutional environment of tender offers have had no impact on the total (percentage) synergistic gains created but have significantly affected their division between the stockholders of the target and acquiring firms.