Всего статей в данном разделе : 115
Опубликовано на портале: 02-10-2003Michael R. Gibbons Journal of Financial Economics. 1982. Vol. 10. No. 1. P. 3-27.
A variety of financial models are cast as nonlinear parameter restrictions on multivariate regression models, and the framework seems well suited for empirical purposes. Aside from eliminating the errors-in-the-variables problem which has plagued a number of past studies, the suggested methodology increases the precision of estimated risk premiums by as much as 76%. In addition, the approach leads naturally to a likelihood ratio test of the parameter restrictions as a test for a financial model. This testing framework has considerable power over past test statistics. With no additional variable beyond , the substantive content of the CAPM is rejected for the period 1926–1975 with a significance level less than 0.001.
Mutual Fund Performance [статья]
Опубликовано на портале: 25-09-2007William F. Sharpe Journal of Business. 1966. Vol. 39. No. 1 part 2. P. 119-138.
Опубликовано на портале: 25-12-2006Внешнеэкономические связи. 2006. Т. 23. № 3. С. 30-32.
В статье рассказывается о NASDAQ – National Assotiation of Securities Dealers Automated Quotations – Автоматизированной системе котировок Национальной ассоциации фондовых дилеров, которая является самой быстрорастущей торговой площадкой в США и стоит среди фондовых рынков на втором месте в мире по объему торговли.
New Facts in Finance [статья]
Опубликовано на портале: 02-10-2003John H. Cochrane Economics Perspectives, Federal Reserve Bank of Chicago. 1999. Vol. 23. No. 3. P. 36-58.
The last 15 years have seen a revolution in the way financial economists understand the world around us. We once thought that stock and bond returns were essentially unpredictable. Now we recognize that stock and bond returns have a substantial predictable component at long horizons. We once thought the capital asset pricing model (CAPM) provided a good description of why average returns on some stocks, portfolios, funds or strategies were higher than others. Now we recognize that the average returns of many investment opportunities cannot be explained by the CAPM, and multifactor models' have supplanted the CAPM to explain them. We once thought that long-term interest rates reflected expectations of future short term rates and that interest rate differentials across countries reflected expectations of exchange-rate depreciation. Now, we see time-varying risk premia in bond and foreign exchange markets as well as in stock markets. Once, we thought that mutual fund average returns were well explained by the CAPM. Now, we recognize ``value'' and other high return strategies in funds, and slight persistence in fund performance. In this article, I survey these new facts. I show how they are related. Each case uses price variables to infer market expectations of future returns; each case notices that an offsetting adjustment (to dividends, interest rates, or exchange rates) seems to be absent or sluggish. Each case suggests that financial markets offer rewards in the form of average returns for holding risks related to recessions and financial distress, in addition to the risks represented by overall market movements.
Опубликовано на портале: 03-12-2007Fisher Black Journal of Finance. 1986. Vol. 21. P. 529-543.
The effects of noise on the world, and on our views of the world, are profound. Noise in the sense of a large number of small events is often a causal factor much more powerful than a small number of large events can be. Noise makes trading in financial markets possible, and thus allows us to observe prices for financial assets. Noise causes markets to be somewhat inefficient, but often prevents us from taking advantage of inefficiencies. Noise in the form of uncertainty about future tastes and technology by sector causes business cycles, and makes them highly resistant to improvement through government intervention. Noise in the form of expectations that need not follow rational rules causes inflation to be what it is, at least in the absence of a gold standard or fixed exchange rates. Noise in the form of uncertainty about what relative prices would be with other exchange rates makes us think incorrectly that changes in exchange rates or inflation rates cause changes in trade or investment flows or economic activity. Most generally, noise makes it very difficult to test either practical or academic theories about the way that financial or economic markets work. We are forced to act largely in the dark
Опубликовано на портале: 01-11-2007Michael D. Atchison, Kirt C. Butler, Richard R. Simonds Journal of Finance. 1987. Vol. 42. No. 1. P. 111-118.
The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price-adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios
Опубликовано на портале: 03-10-2003Shmuel Kandel, Robert F. Stambaugh Journal of Financial Economics. 1987. Vol. 18. No. 1. P. 61-90.
A framework is presented for investigating the mean-variance efficiency of an unobservable portfolio based on its correlation with a proxy portfolio. A sensitivity analysis derives the highest correlation between the proxy and a portfolio that reverses the inference of a test of SHarpe-Lintner tangency. For example, the maximum correlation between the value-weighted NYSE-AMEX portfolio and a portfolio inferred tangent ranges from 0.76 to 0.48. We also test whether the correlation between the proxy and the tangent portfolio exceeds a given level. This hypothesis is often rejected for the NYSE-AMEX proxy at a correlation of 0.7.
Опубликовано на портале: 03-10-2003Robert C. Merton Journal of Financial Economics. 1980. Vol. 8. No. 4. P. 323-361.
The expected market return is a number frequently required for the solution of many investment and corporate finance problems, but by comparison with other financial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market return adds the historical average realized excess market returns to the current observed interest rate. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk. Three models of equilibrium expected market returns which reflect this dependence are analyzed in this paper. Estimation procedures which incorporate the prior restriction that equilibrium expected excess returns on the market must be positive are derived and applied to return data for the period 1926–1978. The principal conclusions from this exploratory investigation are: (1) in estimating models of the expected market return, the non-negativity restriction of the expected excess return should be explicity included as part of the specification: (2) estimators which use realized returns should be adjusted for heteroscedasticity.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Neil D. Pearson, Michael Steven Weisbach Journal of Financial Economics. 1998. Vol. 49. No. 1. P. 3-43.
Despite the fact that taxable investors would prefer to defer the realization of capital gains indefinitely, most open-end mutual funds regularly realize and distribute a large portion of their gains. We present a model in which unrealized gains in the fund's portfolio increase expected future taxable distributions, and thus increase the present value of a new investor's tax liability. In equilibrium, managers interested in attracting new investors pass through taxable capital gains to reduce the overhang of unrealized gains. This model contains a number of empirical predictions that are consistent with data on actual fund overhangs.
Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations [статья]
Опубликовано на портале: 03-11-2007Dong-Hyun Ahn, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw Review of Financial Studies. 2002. Vol. 15. No. 2. P. 655-689.
We investigate the relation between returns on stock indices and their corresponding futures contracts to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio antocorrelations. Using a simple theoretical framework, we generate empirical implications for both microstructure and partial adjustment models. The major findings are (i) return autocorrelations of indices are generally positive even though futures contracts have autocorrelations close to zero, and (ii) these autocorrelation differences are maintained under conditions favorable for spot-futures arbitrage and are most prevalent during low-volume periods. These results point toward microstructure-based explanations and away from explanations based on behavioral models.
Portfolio Return Autocorrelation [статья]
Опубликовано на портале: 25-10-2007Timothy S. Mech Journal of Financial Economics. 1993. Vol. 34. No. 3. P. 307-334.
This paper investigates whether portfolio return autocorrelation can be explained by time-varying expected returns, nontrading, stale limit orders, market maker inventory policy, or transaction costs. Evidence is consistent with the hypothesis that transaction costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost model which predicts that prices adjust faster when changes in valuation are large in relation to the bid-ask spread. Cross-sectional tests support this prediction, but time-series tests do not.
Price Momentum and Trading Volume [статья]
Опубликовано на портале: 02-11-2007Charles M.C. Lee, Bhaskaran Swaminathan Journal of Finance. 2000. Vol. 55. No. 5. P. 2017-2069.
This study shows that past trading volume provides an important link between ‘momentum’ and ‘value’ strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate-horizon ‘underreaction’ and long-horizon ‘overreaction’ effects
Опубликовано на портале: 02-10-2003Michael J. Barclay, Craig G. Dunbar Financial Analysts Journal. 1996. Vol. 52. No. 6. P. 75-84.
No one wants to trade those who have better information. In markets where trades have asymmetric information, however, both informed and uninformed trades must make strategic trading decisions. Because public announcements can affect the information asymmetry between traders, these strategic decisions are likely to be most important around public announcements. How concerned should uniformed trades be about the potential information asymmetry when trading around public announcements? Surprisingly, whether for large-block trades or for the entire order flow, there is no evidence that the uniformed can trade on more favorable terms by varying the timing of their trades in relation to a quarterly earnings announcement.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Robert H. Litzenberger, Jerold B. Warner Review of Financial Studies. 1990. Vol. 3. No. 2. P. 233-253.
New evidence is provided on the determinants of stock-return variances. First, when the Tokyo Stock Exchange is open on Saturday, the weekend variance increases; weekly variance is unaffected, however, despite an increase in weekly volume. Second, the listing of U.S. stocks in Tokyo substantially increases the number of trading hours, but Tokyo volume is negligible for these U.S. stocks and their 24-hour variance is unaffected. The overall results are consistent with the predictions of private-information-based rational trading models, but inconsistent with both the irrational trading noise and public-information hypotheses.
Опубликовано на портале: 01-11-2007Jennifer Conrad, Mustafa N. Gultekin, Gautam Kaul Journal of Business and Economic Statistics. 1997. Vol. 15. No. 3. P. 379-386.
In recent years, several researchers have argued that the stock market consistently overreacts to new information, which, in turn, results in price reversals. Lehmann and others showed that a contrarian can make substantial profits in the short run by simply buying losers and selling winners. We, however, demonstrate that these profits are largely generated by the bid-ask bounce in transaction prices; accounting for this "bounce" by using bid prices eliminates all profits from price reversals for NASDAQ-NMS stocks and most of the profits for NYSE/AMEX stocks. Moreover, any remaining profits (regardless of their source) disappear at trivial levels of transactions costs.