Всего статей в данном разделе : 116
A Comparison of Trading Models used for Calculating Aggregate Damages in Securities Litigation [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay, Frank C. Torchio Law & Contemporary Problems. 2001. Vol. 64. No. 2/3. P. 105-136.
For approximately two decades, the General Trading Model ("GTM") has been used in securities litigation to estimate the number of shares damaged by alleged fraudulent misrepresentations by defendants. The GTM estimates the fraction of in-and-out trading volume and the fraction of retained volume. "In-and-out volume" refers to shares bought and sold within the class period; "retained volume" refers to shares purchased and held through the final disclosure that reveals the fraud. This is typically the last day of the class period. Estimates of the number of damaged shares from the GTM have been used in conjunction with a theory of true value (or conversely, artificial inflation) for the security to estimate aggregate monetary damages. Over the years, variations of the GTM predicated on different assumptions and/or parameters have been developed. The variations include single-trader models, such as the proportional and accelerated trading models, and multi-trader models. This article compares the results of these models and critically evaluates the conclusions reached in previously published research. This article demonstrates that results from the proportional single-trader model, GTM (1x), are consistent with the results of multi-trader GTMs when appropriate assumptions and parameters are used. No evidence was found to reject the GTM (1x) as a scientific method to estimate the number of damaged shares in securities litigation.
Опубликовано на портале: 03-10-2003Richard Roll Journal of Financial Economics. 1977. Vol. 4. No. 2. P. 129-176.
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mathematical equivalence between the individual return/beta'linearity relation and the market portfolio's mean-variance efficiency, any valid test presupposes complete knowledge of the true market portfolio's composition. This implies, inter alia, that every individual asset must be included in a correct test. Errors of inference inducible by incomplete tests are discussed and some ambiguities in published tests are explained.
Опубликовано на портале: 25-12-2006Внешнеэкономические связи. 2006. Т. 23. № 3. С. 34-35.
В статье рассказывается о AIM (Alternative Investment Market) – рынке альтернативных инвестиций, «малой площадке» Лондонской фондовой биржи с гибкими правилами размещения компаний, где представлено более полутора тысяч компаний, а капитализация всех компаний составляет 74 млрд фунтов. Затрагиваются основные вопросы, возникающие при выходе российских компаний на AIM.
A New Look at the Monday Effect [статья]
Опубликовано на портале: 25-10-2007Ko Wang, John Erickson, Yuming Li Journal of Finance. 1997. Vol. 52. No. 5. P. 2171-2186.
It is well documented that expected stock returns vary with the day-of-the-week (the Monday or weekend effect). In this article we show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-1993 sampling period and for various stock return indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain this phenomenon.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Robert H. Litzenberger Journal of Financial Economics. 1988. Vol. 21. No. 1. P. 71-99.
This paper examines the intraday market response to announcements of new equity issues. For fifteen minutes following the announcement, there is abnormally high volume and a -1.3% average return. There is also a small, but significant, negative average return in the hour before the announcement. Issue size, intended use of proceeds, and estimated profitability of new investment are uncorrelated with the announcement effect. After the issuance of new shares, there is a significant price recovery of 1.5%. This evidence is inconsistent with many theoretical rationales for the negative market reaction to new equity issue announcements.
Опубликовано на портале: 25-09-2007Fred D. Arditti Journal of Financial and Quantitative Analysis. 1971. Vol. 6. No. 3.
Asset Pricing at the Millennium [статья]
Опубликовано на портале: 22-06-2006John Y. Campbell Journal of Finance. 2000. Vol. 55. No. 4. P. 1515-1567.
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and cross-sectional patterns in stock returns have stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance.
Опубликовано на портале: 02-11-2007Chris I. Telmer Journal of Finance. 1993. Vol. 48. No. 5. P. 1803-32.
The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory
Опубликовано на портале: 22-10-2007Glenn N. Pettengill Quarterly Journal of Business & Economics. 2003. Vol. 42. No. 3/4. P. 3-28.
An extensive and long-standing literature documents calendar patterns in asset returns. In the inaugural edition of the Review of Economic Statistics, Persons (1919) makes reference to a January effect in equity securities, as one of several “seasonals” in stock returns. Another seasonal, the Monday effect, the tendency for Monday stock returns to be low relative to other weekdays and on average negative, provides the focus of this survey paper and other papers in this issue. Maberly (1995) shows that financial practitioners were aware of the Monday effect as early as the late 1920s. (See Kelly, 1930.) Then, as now, the existence of negative returns on Mondays was a puzzling phenomenon. Why should investors on Friday or Saturday buy securities that, based on historical data, should be expected to exhibit negative returns the following trading day? Academic researchers have spent considerable effort attempting to document and, with limited success, to explain the tendency for asset returns to be negative on Monday. In recent years a new dimension has arisen that presents both obstacles and opportunities for explaining the Monday effect. Monday returns for large-firm equities have become positive, and in some years these returns are significantly higher than returns for other weekdays. This survey serves as an introduction to a series of papers that examine the Monday effect including the shift from negative Monday returns to positive Monday returns.
Опубликовано на портале: 25-10-2007Jacob Boudoukh, Matthew Richardson, Robert Whitelaw Review of Financial Studies. 1994. Vol. 7. No. 3. P. 539-573.
This article reexamines the autocorrelation patterns of short-horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns.
Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay Journal of Financial Economics. 1997. Vol. 45. No. 1. P. 35-60.
This paper examines 472 securities that were listed on Nasdaq and moved to the NYSE or Amex. When Nasdaq market makers avoid odd-eighth quotes, bid-ask spreads are large and decline dramatically with exchange listing. When market makers use both odd and even eighths, spreads are smaller and decline only slightly with exchange listing. The large spreads observed when Nasdaq market makers avoid odd-eighths cannot be explained by security-specific characteristics. Instead, the results support the conclusion that the avoidance of odd-eighth quotes is used as a coordination device among Nasdaq market makers to maintain supra-competitive bid-ask spreads.
Bond Risk Premia [статья]
Опубликовано на портале: 15-11-2007John H. Cochrane, Monika Piazzesi American Economic Review. 2005. Vol. 95. No. 1. P. 138-160.
We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one- to five-year maturity bonds with R2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the returnforecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.
Опубликовано на портале: 02-11-2007John Y. Campbell, John H. Cochrane Journal of Political Economy. 1999. Vol. 107. No. 2. P. 205-251.
We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution
Churning Bubbles [статья]
Опубликовано на портале: 14-03-2005Franklin Allen, Gary Gorton Review of Economic Studies. 1993. Vol. 60. No. 4. P. 813-836.
Are stock prices determined by fundamentals or can "bubbles" exist? An important issue in this debate concerns the circumstances in which deviations from fundamentals are consistent with rational behaviour. When there is asymmetric information between investors and portfolio managers, portfolio managers have an incentive to churn; their trades are not motivated by changes in information, liquidity needs or risk sharing but rather by a desire to profit at the expense of the investors that hire them. As a result, assets can trade at prices which do not reflect their fundamentals and bubbles can exist.
Опубликовано на портале: 22-06-2006Joseph A. Cherian, Robert A. Jarrow, Eric Jaoquier
The convenience yield differential between on- and off-the-run Treasury securities with identical maturities has two components. A non-cyclical component may arise due to the higher illiquidity of off-the-run bonds. Also, trading in the market for the next issue often causes cyclical shortages of the on-the-runs. When this occurs, owners of the on-the-run bond can earn riskless profits by borrowing money at the special repo rate and lending money at the prevailing risk free market rate. This second component of the convenience yield, induced by the auction, is cyclical. Autors first show that special repo rates and the convenience yield are jointly cyclical over the auction cycle. The patterns are statistically significant and pervasive across bonds and auctions. Repo specials are highest around the announcement date and disappear by the issue date. The off-minus on-the-run yield spread is highest at the beginning of the cycle and collapses near its end. This is consistent with a decreasing present value of profits over a decreasing horizon. We then develop a no-arbitrage continuous-time model, with stochastic interest and special repo rates, that prices the on-the-run bonds that command this convenience yield. A simple implementation of the model generates yields consistent with the evidence.