Всего публикаций в данном разделе: 39
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.
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: 25-10-2007Jacob Boudoukh, Matthew Richardson, Robert Whitelaw NBER Working Papers. 2005. w11841.
The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost perfectly correlated across horizons under the null hypothesis of no predictability. For example, for the persistence levels of dividend yields, the analytical correlation is 99% between the 1- and 2-year horizon estimators and 94% between the 1- and 5-year horizons, due to the combined effects of overlapping returns and the persistence of the predictive variable. Common sampling error across equations leads to ordinary least squares coefficient estimates and R2s that are roughly proportional to the horizon under the null hypothesis. This is the precise pattern found in the data. The asymptotic theory is corroborated, and the analysis extended by extensive simulation evidence. We perform joint tests across horizons for a variety of explanatory variables, and provide an alternative view of the existing evidence.
Опубликовано на портале: 22-10-2007Anat R. Admati, Paul Pfleiderer Review of Financial Studies. 1989. Vol. 2. No. 2. P. 189-223.
This article develops a model in which pattern in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.
When Do Incumbents Learn from Entrepreneurial Ventures? Corporate Venture Capital and Investing Firm Innovation Rates [статья]
Опубликовано на портале: 21-06-2006Michael Lenox Research Policy. 2005. Vol. Volume 34. Issue 5. P. Pages 615-639.
In this paper, we focus on the potential innovative benefits to previous corporate venture capital(CVC), i.e. equity investments in entrepreneurial ventures by incumbent firms. We propose that previous termcorporate venture capitalnext term programs may be instrumental in harvesting innovations from entrepreneurial ventures and thus an important part of a firm's overall innovation strategy. We hypothesize that these programs are especially effective in weak intellectual property (IP) regimes and when the firm has sufficient absorptive capacity. We analyze a large panel of public firms over a 20-year period and find that increases in previous termcorporate venture capitalnext term investments are associated with subsequent increases in firm patenting.
Опубликовано на портале: 21-06-2006Jeffrey MacIntosh Journal of Business Venturing. 2005. Vol. Volume 21. Issue 5. P. Pages 569-609.
In this paper, we examine a Canadian tax-driven venture capital vehicle known as the “Labour Sponsored Venture Capital Corporation” (LSVCC). As a theoretical matter, we suggest that the LSVCCs can be expected to have higher agency costs and lower profitability than private venture capital funds. We present data that is consistent with this view. The central question that we analyze, however, is whether the tax advantages conferred on LSVCCs have resulted in LSVCCs “crowding out,” or displacing other types of venture capital funds. Empirical analysis of our data (which covers the 1977–2001 period) is highly consistent with crowding out. The data suggest that crowding out has been sufficiently energetic as to lead to a reduction in the aggregate pool of venture capital in Canada, frustrating one of the key governmental goals underlying the LSVCC programs; namely, the expansion of the aggregate pool of capital. In the course of our analysis, we confirm the importance of macroeconomic factors (the performance of the stock market, real interest rates, and changes in real gross domestic product) in affecting the supply of and demand for venture capital. We also generate evidence that is consistent with the proposition that entrepreneurs in the market for venture capital prefer to incorporate their businesses federally, rather than provincially.
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: 15-11-2004Richard Roll, Stephen A. Ross Journal of Finance. 1980. Vol. 35. No. 5. P. 1073-1103.
Empirical tests are reported for Ross'  arbitrage theory of asset pricing. Using data for individual equities during the 1962-72 period, at least three and probably four "priced" factors are found in the generating process of returns. The theory is supported in that estimated expected returns depend on estimated factor loadings, and variables such as the "own" standard deviation, though highly correlated (simply) with estimated expected returns, do not add any further explanatory power to that of the factor loadings.
Новости рынков [интернет ресурс]
На сайте представлен еженедельно обновляемый аналитический обзор деятельности крупных Российских компаний; рассматривается ситуация на валютном, товарном рынках и на рынке ценных бумаг. Описываются основные действия правительства и Центрального банка, ситуация в банковской системе в целом. Все материалы представлены в формате HTML и PDF.
Опубликовано на портале: 18-08-2004Василий Леонидович Перминов
Данный библиографический список рекомендован при изучении дисциплины "Анализ финансовой отчетности" для бакалавров экономического университета.
Сайт журнала "Finance and Stochastics" [интернет ресурс]
Сайт представляет электронную версию печатного издания журнала "Finance and Stochastics", издаваемого "Springer-Verlag Heidelberg " с 1996 г., главный редактор - D.F.W. Sondermann. Журнал представляет исследования во всех областях финансов, базирующихся на стохастических методах анализа возникающих проблем в этих областях. Темы обзоров включают в себя финансовую теорию, анализ финансовых рынков.
Derivatives Markets I [учебная программа]
Опубликовано на портале: 23-10-2003Constantinos Skiadas
A rigorous and quantitatively demanding MBA course on futures, options, and related derivatives. The emphasis is on arbitrage pricing and hedging methods.
A Further Study of Depreciation [статья]
Опубликовано на портале: 03-10-2003Harold Jr. Bierman The Accounting Review. 1966. Vol. 41. No. 2. P. 271-274.
"In that article I suggested that the depreciation charge for a period is related to the expectations at the time of purchase and that the purchase of an asset is actually the purchase of future cash proceeds. These cash proceeds then become the basis for the depreciation calculation. This paper will refine the definition of "cash proceeds" with the objective of making the accounting for the events consistent with the decision-making procedures..."
Опубликовано на портале: 03-10-2003William F. Sharpe Journal of Finance. 1964. Vol. 19. No. 3. P. 425-442.
One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional model of investment under conditions of certainty, the pervasive influense of risk in finansial transactions has forced those working in this area to adobt models of price behavior which are little more than assertions. A typical classroom explanation of the determinationof capital asset prices, for example, usually begins with a carefull and relatively rigorous description of the process through which individuals preferences and phisical relationship to determine an equilibrium pure interest rate. This is generally followed by the assertion that somehow a market risk-premium is also determined, with the prices of asset adjusting accordingly to account for differences of their risk.
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: 03-10-2003John C. Cox, Stephen A. Ross, Mark Rubinstein Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 229-263.
This paper presents a simple discrete-time model for valuing options. The fundamental economic principles of option pricing by arbitrage methods are particularly clear in this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Black-Scholes model, which has previously been derived only by much more difficult methods. The basic model readily lends itself to generalization in many ways. Moreover, by its very construction, it gives rise to a simple and efficient numerical procedure for valuing options for which premature exercise may be optimal.
An intertemporal asset pricing model with stochastic consumption and investment opportunities [статья]
Опубликовано на портале: 02-10-2003Douglas T. Breeden Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 265-296.
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the aggregate real consumption rate, rather than relative to the market. In a single-good model, an individual's asset portfolio results in an optimal consumption rate that has the maximum possible correlation with changes in aggregate consumption. If the capital markets are unconstrained Pareto-optimal, then changes in all individuals' optimal consumption rates are shown to be perfectly correlated.
Journal of Financial and Quantitative Analysis [интернет ресурс]
Журнал выходит с 1995 г., ежеквартально - в марте, июне, сентябре и декабре. Публикуются материалы по теории финансов и различные практические исследования в финансовой экономике. Темы статей и обзоров включают в себя анализ корпоративных финансов, инвестиций, капитала и рынков безопасности, а также количественные методы в финансовых исследованиях.
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.