Four centuries of return predictability
چهار قرن قابل پیش بینی بودن بازگشت-2018
We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates.
keywords: Dividend-to-price ratio |Return predictability |Dividend growth predictability
A linearized model for academic staff assignment in a Brazilian university focusing on performance gain in quality indicators
یک مدل خطی سازی شده برای تخصیص ستاد علمی در یک دانشگاه برزیلی تمرکز کننده روی بهره عملکردی در شاخص های کیفیت-2018
Private Higher Education Institutions (HEI) often have shares in stock markets to attract investment. A key element for a good appreciation on the market is a good evaluation in performance indicators of academic quality. In Brazil a main component of such academic quality indicators is directly computed after the assignment of faculty members to courses. We develop mathematical models to support decision making in the assignment of faculty members to courses in a private HEI in Brazil. It turns out that the original problem is a nonlinear integer programming problem, and to deal with large instances found in practice we propose to use a linearized model instead. We conduct computational experiments with two main purposes: to evaluate the quality of the solutions obtained with the linear integer model when compared to the ones obtained with the original nonlinear integer model, and to evaluate the potential of gains with the linear integer model when compared to actual assignments. In the latter case numerical results on real instances from the HEI under study show the proposed approach effective to improve the indicators of the HEI due to a better assignment of faculty members to courses than observed in practice.
keywords: Academic staff assignment problem |Operations research in education |Mathematical modeling
Capital markets’ assessment of the economic impact of the Dodd–Frank Act on systemically important financial firms
بررسی تاثیر اقتصادی برنامه اقدامی دود - فرانک بازار سرمایه روی شرکتهای مالی مهم سیستماتیک-2018
We examine stock and bond market reactions to the key events leading to the passage of the Dodd–Frank Act to assess the markets’ expectations about the effectiveness of the Act on systemically important financial firms. Using small/medium sized domestic financial institutions as a control group, we find that large financial institutions overall had negative abnormal stock returns and positive abnormal bond returns, suggesting that the markets expect the Act to be effective in reducing these banks’ risk-taking. We further investigate the market reactions for (1) larger and more interconnected financial institutions; and (2) the Big 6 banks to evaluate the markets’ assessment about the effectiveness of the act in ending the too-big-to-fail policy. We document that larger and more interconnected financial institutions experienced more negative abnormal stock returns and more positive abnormal bond returns as compared to other banks in our sample, but these relations are not present during the final phase of the passage. Likewise, we find that both shareholders and bondholders of the Big 6 banks initially experienced significant negative returns, followed by insignificant returns during the final phase of the passage. These results appear to suggest the markets are doubtful about the effectiveness of the final version of the bill to end the too-big-to-fail status in particular for the Big 6 banks.
keywords: The Dodd–Frank Act| The too-big-to-fail policy| Stock market| Bond market
Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market
حدود معامله و فراریت مزاجی: شواهدی از بازار بورس چین-2018
This study examines how limits of arbitrage can affect the pricing of idiosyncratic volatility. Using both unique trading constraints in the Chinese stock market and other commonly-used limits-of-arbitrage measures, we construct a comprehensive limits-of-arbitrage index. Based on this index, we find that the negative idiosyncratic volatility return premium is much stronger and more persistent in stocks with high limits of arbitrage. Furthermore, the existing explanations about the idiosyncratic volatility return premium cannot fully explain what we find about the role of limits of arbitrage in the pricing of idiosyncratic volatility in the Chinese stock market. Our study suggests that the trading constraints introduced in the name of protecting individual investors can actually hurt them, since these additional limits of arbitrage will increase the inefficiency of the security market.
keywords: Limits of arbitrage| Idiosyncratic volatility| China stock market
Allergy onset and local investor distraction
تهاجم آلگری و حواس پرتی سرمایه گذار بومی-2018
We posit that investor distraction can be exogenously triggered by allergy onsets degrading effects on local investors’ health and cognitive functioning. We document that allergy onset is related to lower trading activity. We use daily pollen counts to measure the severity of allergy onset at different locations and show that stocks of firms located in areas with severe allergy problems exhibit declines in trading volume and lower stock returns. Moreover, allergy onset is associated with both a decline in investor demand for firm information, as proxied by Google search volume, and stock underreaction to earnings news. Collectively our evidence supports the notion that the association of allergy onset and stock market outcomes may be emerging through a local investor distraction channel.
Hedge ratio on Markov regime-switching diagonal Bekk–Garch model
نرخ تامین روی مدل قطری تبدیل رژیم بک - گارچ-2018
Chinas stock market is known with quick change and violent fluctuation in recent years. This paper develops a Markov regime switching diagonal Bekk–Garch model, enabling parameters to be state dependent upon the regime of market. The empirical results show that different states exist. The high volatility regime has a lower state probability, while the low volatility regime has a higher state probability. The likelihood value show the regime-switching diagonal Bekk–Garch model fits the sample better. Both comparisons of hedge performance in and out-of-sample indicate that a regime-switching Bekk–Garch model is the optimal hedge strategy, followed by Bekk–Garch and OLS model.
keywords: Stock index futures| Hedge ratio| Regime-switching| Garch models
The effect of economic policy uncertainty on the long-run correlation between crude oil and the U:S: stock markets
تاثیر عدم قطعیت سیاست اقتصادی روی همسبتگی بلند مدت بین بازارهای نفت خام و سهام آمریکا-2018
We investigate the time-varying long-run correlation of crude oil and U.S. stock markets influenced by the economic policy uncertainty (EPU) index based on the DCC-MIDAS model. We find that EPU has a significant positive influence on the long-run oil-stock correlation. Of the category-specific EPU indices, all have a positive impact on the correlation except the monetary policy uncertainty and national security uncertainty. Moreover, we address that structural changes in the oil-stock correlation can be found during the 2008 global financial crisis.
keywords: Oil-stock correlation| Long-run correlation| Economic policy uncertainty| DCC-MIDAS model
یک تعمیم از تاثیر جام جهانی فوتبال
سال انتشار: 2018 - تعداد صفحات فایل pdf انگلیسی: 3 - تعداد صفحات فایل doc فارسی: 6
هدف این مقاله بررسی تاثیر پیروزی تیم ملی فوتبال در جام جهانی روی موفقیت گردشگری آن کشور می باشد. برای بررسی تعمیم نتایج تجربی یافت شده تاکنون، چهار دوره با داده های موجود از دهه 90 تحلیل می شوند. نتیجه گیری نشان می دهد که به استثنای دوره 2010 هیچ تاثیر قابل توجه تعمیم یافته ای شناسایی نشده است.
کلمات کلیدی: جام جهانی فیفا | بازار سهام | دانش برند | تصویر
|مقاله ترجمه شده|
Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets
خطر مزاجی و بازگشت های موردانتظار سهام: شواهدی از بازارهای بورس چین-2018
We estimate idiosyncratic tail risk according to the extreme value theory. Both portfolio analyses and cross-sectional regressions suggest a significant negative relationship between the idiosyncratic tail risk and the expected returns in Chinese stock markets after controlling for other risk measures including size, book-to-market ratio, beta, momentum, short-term reversals, liquidity, idiosyncratic volatility, downside beta, co-skewness, co-kurtosis, idiosyncratic skewness, idiosyncratic kurtosis, value at risk and maximum daily returns. Turnover explains the negative effect of the idiosyncratic tail risk in Chinese stock markets where individual investors dominate the markets and short sales are constrained.
keywords: Idiosyncratic tail risk| Extreme value theory| Idiosyncratic volatility| Return predictability
Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution
شناسایی بازارهای مهم سیستمیک از یک نقطه نظر جهانی: استفاده از دیدگاه ADCC ΔCoVaR با توزیع t چوله-2018
The objective of this paper is to evaluate the risk contributions of G7 and BRICS stock markets based on the Asymmetric Dynamic Conditional Correlation (ADCC) Delta Conditional Value at Risk (ΔCoVaR) measurement with skewed-t distribution. Our empirical results reveal that developed markets contribute relatively more to global systemic risk than emerging markets. Notably, among all markets, Brazil is second only to the US for contributing the most risk to the global system during periods of distress. Conversely, Japan contributed the least amount of systemic risk. The results of this study can significantly help the entire community of researchers and security regulators in monitoring systemic risk and promoting financial stability.
keywords: Systemic risk contribution| Global financial crisis| ADCC| CoVaR