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Author: John Andrew Christian Pound
Publisher:
ISBN:
Category :
Languages : es
Pages : 105
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Author: John Andrew Christian Pound
Publisher:
ISBN:
Category :
Languages : es
Pages : 105
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Author: Mr.Mark P. Taylor
Publisher: International Monetary Fund
ISBN: 1451947038
Category : Business & Economics
Languages : en
Pages : 31
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Book Description
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Author: Xiandong Luo
Publisher:
ISBN:
Category :
Languages : en
Pages : 246
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Author: Christian Funke
Publisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123
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Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author: Wan-Jung Hsu
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 130
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Book Description
This dissertation aims to investigate the interaction between financial markets and the real economy both in the short-run and the long-run. The first two chapters study the distinct interactions between different states of stock markets and the real economy at monthly frequencies. The third chapter studies the causality between financial development and the economic growth at business cycle frequencies (i.e., three or five-year spells). The first chapter focuses on forecasting the states of the stock market. While previous literature classifies the stock market into binary states (i.e., bull and bear markets), I further classify U.S. stock bear markets into good bear and bad bear markets. The latter are the bear markets associated with contraction phases of future cash flows, while the former are not. Most bad bear markets are accompanied with NBER declared recessions, whereas good bear markets are not accompanied with serious depressions in the real economy. Commonly used macroeconomic predictors also signal differently in forecasting these two types of bear markets. The value premium has distinct magnitude across the two types of bear markets. By applying a multinomial logit model with three alternatives (bull, good bear, and bad bear markets) to predict stock market states, I provide richer information about stock market states which is beneficial for policy makers and investors. In the second chapter, I examine the reliability and timeliness of using stock bad bear markets as early warning signals of economic recessions. I find that bad bear markets are much more reliable to predict recessions than conventional stock bear markets or the forecasting model that targets recessions directly. The forecasting model that predicts bad bear markets also provide timely information about the starts and the ends of economic recessions over NBER announcements. In the third chapter, I revisit the debate of "too much finance" on economic growth. I use different econometric methods in the dynamic panel data framework to address potential biases induced by the dynamic nature of economic growth and financial development but control the heterogeneity across countries. Particularly, I conduct a battery of robustness tests to examine weak instrument problems in the system GMM estimator, developed by Blundell and Bond (1998), and use Half-Panel Jackknife Fixed-Effect estimator, developed by Chudik, Pesaran, and Yang (2016), as an alternative method. I also take care of the outlier issue, which is particularly sensitive when there is nearly multicollinearity among explanatory variables. My empirical results find no sufficient evidence to support a positive causal effect, nor do I find a quadratic effect of financial development on economic growth.
Author: Elizabeth A. Risik
Publisher:
ISBN:
Category :
Languages : en
Pages :
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In the first chapter of this dissertation, entitled 0́−Signaling and Value Creation in Mergers,0́+ I analyze the acquirers in both withdrawn and completed merger deals to disentangle the effects of signaling from those of target valuation and expected synergies. Completed stock (cash) acquirers earn 14 percent (10 percent) more than their withdrawn counterparts over the six months following initial announcement. However, if an announced stock merger later falls through, the acquirer suffers a negative revaluation due to the initial signal released, and the negative return is not reversed upon deal withdrawal. These results suggest that the initial negative stock price reaction in stock mergers is due to a signaling effect, but that the mergers themselves are positive NPV investments for the acquirers0́9 shareholders. Analysis of the acquirers0́9 financial positions also supports the signaling interpretation. Within stock deals, acquirers with more cash and less leverage0́4those that are least likely to need equity financing0́4have the lowest announcement returns. In the second chapter of this dissertation, entitled 0́−Option Market Overreaction to Stock Price Changes,0́+ my coauthors and I examine the relationship between implied volatility of individual options on S&P 100 stocks and the ex-post realized volatility of the stocks following sharp movements in the underlying stock prices. We find that the implied volatility is significantly higher than the realized volatility. Furthermore, we are able to construct profitable trading strategies based on this finding. We believe that we are the first to document a successful trading strategy involving writing individual stock options, even while taking transaction costs into account. In the third chapter of this dissertation, entitled 0́−Actively Managed Mutual Fund Returns Versus the S&P 500 Index,0́+ I examine the performance of funds that are 0́−closet indexers0́+. I develop three variables that measure how similar a fund is to the Vanguard 500 Index, and I regress fund returns on these measures, along with control variables. The majority of my results find that active managers add value over the S&P 500 index, but the results can vary depending on benchmarking method, variable used to represent closet indexing, and how standard errors are calculated. The variance in results suggests that previous research be read with caution, as methods used to calculate standard errors may produce misleading results. My main result, based on characteristic benchmarked returns, is robust to how the standard errors are calculated.
Author: Haojun Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Klaus Hammes
Publisher: Department of Economics School of Economics and Commercial Law Go
ISBN:
Category : Capital investments
Languages : en
Pages : 188
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Author: Robert Czudaj
Publisher:
ISBN:
Category :
Languages : en
Pages : 538
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Author: Anna R. Kovner
Publisher:
ISBN:
Category :
Languages : en
Pages : 304
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Book Description
This dissertation consists of three studies in empirical corporate finance. The first chapter, written jointly with Paul Gompers, Josh Lerner and David Scharfstein, is an empirical examination of cycles in the venture capital industry. In this chapter we examine how changes in public market signals affected venture capital investing between 1975 and 1998. We find that venture capitalists with the most industry experience increase their investments the most when public market signals become more favorable. Their reaction to an increase is greater than the reaction of venture capital organizations with relatively little industry experience and those with considerable experience but in other industries. The increase in investment rates does not affect the success of these transactions adversely to a significant extent. These findings are consistent with the view that venture capitalists rationally respond to attractive investment opportunities signaled by public market shifts.
