Ein Forex-Handelssystem basierend auf einem genetischen Algorithmus Erste Online: 04 April 2012 Received: 20 April 2010 Akzeptiert: 21 März 2012 Zitieren Sie diesen Artikel als: Mendes, L. Godinho, P. Dias, J. J. Heuristics (2012) 18: 627 In diesem Papier wird ein genetischer Algorithmus beschrieben, der darauf abzielt, eine Reihe von Regeln zu optimieren, die ein Handelssystem für den Forex-Markt darstellen. Jedes Individuum in der Bevölkerung repräsentiert einen Satz von zehn technischen Handelsregeln (fünf, um eine Position einzugeben, und fünf andere zum Verlassen). Diese Regeln haben insgesamt 31 Parameter, die den einzelnen Genen entsprechen. Die Bevölkerung entwickelt sich in einer gegebenen Umgebung, definiert durch eine Zeitreihe eines bestimmten Währungspaars. Die Fitness eines einzelnen Individuums zeigt, wie gut es sich an die Umgebung anpassen konnte, und es wird durch Anwendung der entsprechenden Regeln auf die Zeitreihen berechnet und dann das Verhältnis zwischen dem Gewinn und dem maximalen Abzug (das Stirling-Verhältnis) . Es wurden zwei Währungspaare verwendet: EUR / USD und GBP / USD. Unterschiedliche Daten wurden für die Evolution der Bevölkerung und für die Prüfung der besten Individuen verwendet. Die Ergebnisse des Systems werden diskutiert. Die besten Personen sind in der Lage, sehr gute Ergebnisse in der Trainingsreihe zu erreichen. In den Testreihen zeigen die entwickelten Strategien einige Schwierigkeiten, positive Ergebnisse zu erzielen, wenn man Transaktionskosten berücksichtigt. Wenn Sie die Transaktionskosten ignorieren, sind die Ergebnisse meist positiv, was zeigt, dass die besten Individuen einige Prognosemöglichkeiten haben. 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Jahrestagung zur genetischen und evolutionären Berechnung GECCO10 (2010) Google Scholar Copyright-Informationen Springer ScienceBusiness Media, LLC 2012 Autoren und Mitgliedsverbände Lus Mendes 1 Pedro Godinho 2 Joana Dias 3 Email-Autor 1. Faculdade de Economia Universidade de Coimbra Coimbra Portugal 2. Faculdade de Economia und GEMF Universidade de Coimbra Coimbra Portugal 3. Faculdade de Economia und Inesc-Coimbra Universidade de Coimbra Coimbra Portugal Über diesen Artikel Drucken ISSN 1381-1231 Online ISSN 1572-9397 Verlagsname Springer Die mit gekennzeichneten Papiere sind an - Zeile aus der Hauptliste der RPF-Publikationen. Die meisten Papiere sind im Acrobat. pdf-Format erhältlich und benötigen den Acrobat Reader. Anträge für aktuelle Papiere sind kostenlos für Studenten und Akademiker (Grenze von 5). Für Unternehmen, Körperschaften und außeruniversitäre Einrichtungen gibt es eine Working Paper-Gebühr von 5,00 (USA) oder 7,50 (international). Schecks sollten an die Relegien der University of California. quot Auftragsformulare (Acrobat. pdf oder Word. doc) zur Verfügung gestellt werden. RPF-295 quotOn Adaptive Tail Index Schätzung für Financial Return Models. quot Niklas Wagner und Terry Marsh. November 2000. Zusammenfassung: Die Schätzung des Schwanzindexes von stationären, fett-tailed Rückkehrverteilungen ist nicht trivial, da der bekannte Hill-Schätzer nur unter iid draws aus einem exakten Pareto-Modell optimal ist. Wir bieten eine kleine Beispiel-Simulation Studie der kürzlich vorgeschlagenen adaptive Schätzer unter ARCH-Typ-Abhängigkeit. Die Hill-Schätzer-Leistung wird von einem Verhältnis-Schätzer dominiert. Die Abhängigkeit erhöht den Schätzfehler, der auch bei größeren Datensätzen erheblich bleiben kann. Da kleine Probendurchf · uhrungen mit der Gr · ossenordnung des Schwanzindexes zusammenh · anen, k · onnen in den letzten Standardanwendungen das Risiko von Aktivit · aten mit niedrigem (hohem) Grad an Fettschwanz · uberbewertet (unterschtzt) werden. RPF-294 quotRational Markets: Ja oder Nein Die Affirmative Case. quot Mark Rubinstein. Juni 2000. Dieser Beitrag stellt die Logik hinter dem zunehmend vernachlässigten Vorschlag dar, dass die Preise in den entwickelten Finanzmärkten festgelegt sind, als ob alle Anleger rational sind. Sie behauptet, dass die Marktrationalität realistisch definiert werden muss, damit die Anleger über die Merkmale anderer Anleger am Markt nicht sicher sein können. Sie argumentiert auch, dass die Irrationalität der Anleger, soweit sie die Preise beeinflusst, sich vor allem durch Überempfindlichkeit manifestieren dürfte, was wiederum dazu führen dürfte, dass der Markt in einem wichtigen Sinn zu effizienter und weniger effizient bei der Reflexion von Informationen wird. Um zu veranschaulichen, das Papier endet durch die erneute Überprüfung einige der schwerwiegendsten Beweise gegen die Marktrationalität: übermäßige Volatilität, die Risikoprämie Puzzle, die Größe Anomalie, Kalender-Effekte und der 1987 Börsencrash. RPF-293 quotReturn-Volume Abhängigkeit und Extreme in internationalen Aktienmärkten. quot Terry A. Marsh Niklas Wagner. Mai 2000. Abstract: Dieses Papier ist eine empirische Studie der Preis-Volumen-Abhängigkeit in sieben internationalen Aktienmärkten. Wir passen ein GARCH-M Modell an, um die Gesamt-Rendite-Volumen-Relation unter quotnormalquot Marktbedingungen und ein bivariates Extremwertmodell zu untersuchen, um die Beziehung unter den Bedingungen des Marktdrucks zu untersuchen. Unter Verwendung einer vorfiltrierten stationären Volumenvariablen für jeden Markt finden wir, daß (i) das Volumen in den meisten Märkten eine beträchtliche Menge an bedingter Renditevarianz erklärt, und zwar für die US-GARCH-Effekte vollständig durch die Volumenvariable (ii) subsumiert werden (Iii) Konditionierung der Marktrendite-Varianz auf das Volumen bietet eine Risikomessung, die mit einer positiven Prämie (iv) für alle Märkte verbunden ist, aber die US-negativen Rendite-Innovationen beziehen sich auf Eine stärkere Zunahme der konditionalen Renditevarianz als positive Rendite-Innovationen (v) ist die Rückkehrvariabilitäts-Volumen-Abhängigkeit schwächer, wenn auch meist signifikant, in den Schwänzen - dh für extreme Rendite - und Volumenbeobachtungen - wo (vi) die Abhängigkeit für große abnimmt Extremal Rückkehr und Volumen Beobachtungen. Wir argumentieren, dass unsere Ergebnisse im Einklang stehen mit einer Genotte und Leland (1990) Fehlinterpretation Hypothese für Marktunfälle als mit Kaskade oder Verhaltenserklärungen, die hohe Volumen mit steilen Preissenkungen assoziieren. RPF-292 quotOn die Beziehung zwischen Binomial und Trinomial Option Pricing Models. quot Mark Rubinstein. Mai 2000. Abstract: Dieses Papier zeigt, dass die Binomial-Option Preismodell, geeignet parametrisiert, ist ein Spezialfall der expliziten Finite-Differenzen-Methode. RPF-291 quotCorporate Diversification und Agency. quot Benjamin E. Hermalin und und Michael L. Katz. Zusammenfassung: Unternehmen verpflichten sich, eine Vielzahl von Maßnahmen zu ergreifen, um das Risiko durch Diversifizierung zu reduzieren. Dazu gehören unter anderem das Eingehen diverser Geschäftsfelder, die Übernahme von Projektpartnern und die Pflege von Risikomanagementprojekten wie RampD oder Exploration von natürlichen Ressourcen. Nach einem bekannten Argument profitieren die Wertpapierinhaber nicht direkt von der risikomindernden Unternehmensdiversifizierung, wenn sie diese Diversifikation allein nachvollziehen können. Darüber hinaus sollten die Aktionäre hinsichtlich des unsystematischen Risikos, das mit vielen Forschungsprojekten einhergeht, risikoneutral sein. Einige haben behauptet, dass die Verringerung des Unternehmensrisikos von der Agenturbeziehung zwischen den Wertpapierinhabern und den Managern wertvoll sein kann oder anders ausgedrückt werden kann. Wir argumentieren, dass der Wert der Diversifizierungsstrategien in einer Agenturbeziehung nicht von seinen Auswirkungen auf das Risiko, sondern von seinen Auswirkungen auf die wichtigsten Informationen über die Agentenaktionen ableitet. Wir zeigen am Beispiel, dass Diversifizierungsaktivitäten je nach Struktur der Aktivität die Hauptinformationen erhöhen oder verringern können. RPF290. "Optimal Portfolio Management mit Transaktionskosten und Kapitalgewinnen Taxes. quot Hayne E. Leland. Dezember 1999. Zusammenfassung: Wir prüfen die optimale Handelsstrategie für einen Investmentfonds, der in Abwesenheit von Transaktionskosten Vermögenswerte in exogen fixierten Anteilen, z. B. 60/30/10 in Aktien, Anleihen und Bargeld. Transaktionskosten werden als anteilig angenommen, können sich jedoch beim Kauf und Verkauf unterscheiden und eine (positive) Kapitalertragsteuer-Komponente enthalten. Wir zeigen, dass die optimale Politik eine Nichthandelsregion über die Zielbestände umfasst. Solange die tatsächlichen Verhältnisse innerhalb dieser Region verbleiben, sollte kein Handel stattfinden. Wenn sich die Proportionen außerhalb der Region befinden, sollte der Handel durchgeführt werden, um das Verhältnis zur Regionengrenze zu verschieben. Wir berechnen die optimale Multi-Asset-No-Trade-Region und den daraus resultierenden Jahresumsatz und Tracking-Error der optimalen Strategie. Fast sicher, die Strategie erfordert den Handel nur ein riskantes Asset zu jedem Zeitpunkt, obwohl die Asset gehandelt wird variiert stochastisch durch die Zeit. Gegenüber der derzeitigen Praxis der periodischen Neuverteilung aller Vermögenswerte auf ihre Zielgrößen wird die optimale Strategie den Umsatz um fast 50 reduzieren. Die optimale Antwort auf eine Kapitalertragsteuer ist, dass die Anteile ihre Zielwerte vor dem Verkauf deutlich übersteigen. Wenn ein Vermögensanteil ein kritisches Niveau übersteigt, sollte ein Verkauf stattfinden, um ihn auf dieses kritische Niveau zurückzuführen. Kapitalertragsteuern führen zu niedrigeren optimalen Anfangsinvestitionen. Ebenso ist es optimal, weniger anfangs in Assetklassen zu investieren, die hohe Transaktionskosten wie Schwellenländer aufweisen. RPF-289 quotCredit Derivatives in Banking: Nützliche Werkzeuge für das Management von Riskquot Gregory R. Duffee und Chunsheng Zhou. November 1999. Zusammenfassung: Wir modellieren die Auswirkungen der Einführung eines Marktes für Kreditderivate vor allem auf Kreditinstitute, Credit Default Swaps. Eine Bank kann solche Swaps verwenden, um die Kreditrisiken ihrer Kredite vorübergehend auf andere zu übertragen, wodurch die Wahrscheinlichkeit verringert wird, dass ausfallende Kredite die Banken in Schwierigkeiten bringen. Weil Kreditderivate bei der Übertragung von Risiken flexibler als andere, etabliertere Instrumente wie Kreditverkäufe ohne Rückgriff sind, erleichtern diese Instrumente es den Banken, das Problem der Quotenmonster zu umgehen, das die Banken überlegene Informationen über die Kreditqualität ihrer Kredite haben. Allerdings sehen wir, dass die Einführung eines Kreditderivatemarktes nicht unbedingt wünschenswert ist, weil sie dazu führen kann, dass andere Märkte für eine Kreditrisikosteuerung brechen. Zusammenfassung: Die makroökonomischen Modelle der nominalen Wechselkurse verhalten sich schlecht. In der Stichprobe sind R2-Statistiken so hoch wie 10 Prozent selten. Aus der Stichprobe werden diese Modelle typischerweise von einem naiven Zufallspfad prognostiziert. Dieses Papier präsentiert ein Modell einer neuen Art. Statt sich ausschließlich auf makroökonomische Determinanten zu verlassen, beinhaltet das Modell eine Determinante aus dem Bereich der Mikrostruktur-Ordnung. Der Auftragsfluss ist die naheliegende Determinante des Preises in allen Mikrostrukturmodellen. Dies ist ein radikal anderer Ansatz zur Wechselkursermittlung. Es ist auch auffallend erfolgreich in der Bilanzierung der realisierten Preise. Unser Modell der täglichen Wechselkursveränderungen produziert R 2 Statistiken über 50 Prozent. Aus der Stichprobe ergibt unser Modell deutlich bessere Prognosen als eine zufällige Wanderung. Für den DM / Spotmarkt insgesamt finden wir, dass eine Milliarde Netto-Dollar-Käufe den DM-Kurs eines Dollars um etwa 1 Pfennig erhöht. RPF - 287. Die Rolle eines Unternehmensanleihenmarktes in einer Volkswirtschaft - und in der Vermeidung von Krisen. quot Nils H. Hakansson, Juni 1999. Zusammenfassung: Während viel Aufmerksamkeit auf das optimale Verhältnis von Firmenschulden zum Eigenkapital gerichtet wurde, ist das Optimalquot Oder die beste Balance zwischen Bondfinanzierung und (längerfristiger) Bankfinanzierung kaum angegangen wurde. Dieser Aufsatz untersucht die wesentlichen Unterschiede zwischen einer Volkswirtschaft mit einem gut entwickelten Markt für Unternehmensanleihen ohne staatliche Eingriffe und einer Volkswirtschaft, in der die Bankfinanzierung eine zentrale Rolle spielt (wie in Ostasien). Wenn ein vollwertiger Markt für Unternehmensanleihen vorhanden ist, haben die Marktkräfte eine viel größere Chance, sich selbst zu behaupten, wodurch das Systemrisiko und die Wahrscheinlichkeit einer Krise reduziert werden. Dies liegt daran, dass ein solches Umfeld mit einer größeren Buchhaltungs-Transparenz, einer großen Gemeinschaft von Finanzanalysten, renommierten Ratingagenturen, einem breiten Spektrum von Unternehmensanleihen und Derivaten, die eine ausgefeilte Kreditanalyse fordern, und effiziente Verfahren für Unternehmensreorganisation und Liquidation verbunden ist. Darüber hinaus wird der Reichtum der verfügbaren Wertpapiere dazu tendieren, das wirtschaftliche Wohlergehen zu steigern, und die Marktkräfte bei der Arbeit über die breite Palette von Anleihenpreisen dürften einen starken Spillover-Effekt auf die Gesundheit des Bankensystems haben, auch RPF-286. quotHousing Rückkehr und Aufbau Cycles. quot Matthew Spiegel. Januar 1999. Zusammenfassung: Dieses Papier präsentiert ein Modell, das sowohl Gehäuse Rückkehr und Wohnungsbau Muster von Veranstaltungen in der Realwirtschaft ableitet. Der Wert eines Hauses, im Gegensatz zu dem Wert vieler anderer finanzieller Vermögenswerte, hängt von der Pflege seines Besitzers auf Unterhalt. Innerhalb des Modells Banken reagieren auf diese moralische Gefahr Problem durch die Beschränkung der Größe der Kredite sie bereit sind, zu stellen. Infolgedessen folgen die Immobilienpreise nicht mehr einer zufälligen Wanderung, sondern sind an Veränderungen in der Stiftungsfindung gebunden, die sowohl vorhersehbar als auch zeitlich variabel sind. Das heißt, in einigen Staaten der Natur Hausbesitzer erwarten, eine über die Marktrendite auf ihren Wohnungskauf zu verdienen, während in anderen erwarten, dass sie eine unterhalb der Marktrendite zu verdienen. Evelopers im Modell sind voll und ganz dem Gehäusepreisprozess bewusst und reagieren entsprechend. Das Ergebnis ist ein Bauzyklus, der im Widerspruch zur herkömmlichen Weisheit steht. Wenn Stiftungen schnell wachsen (eine Stadt mit einer schnell wachsenden Wirtschaft) Immobilienpreise zeigen über dem Markt erwartete Renditen. Allerdings, da die Immobilienpreise voraussichtlich schneller steigen als die Zinssatz, Entwickler verzögern Bau. Während der Perioden des rasch erwarteten Wirtschaftswachstums hört der Wohnungsbau auf, bis man den Gipfel erreicht, woraufhin die Entwicklung explodiert. In Reaktion Gehäuse-Lieferungen schwinden während der Wirtschafts-Booms (als Häuser verschlechtern) und dann erhöhen, wenn der Ausleger endet. RPF - 285. quotSuchkosten: Die vernachlässigte Verbreitung Component. quot Mark D. Flood, Ronald Huisman, Kees G. Koedijk und Richard Lyons. Oktober 1998. Zusammenfassung: Händler müssen nach Zitaten in vielen der weltweit größten Märkte (wie vor Ort Devisen, US-Staatsanleihen und der London Stock Exchange) zu suchen. Diese Suche wirkt sich auf die Handelskosten aus. Wir schätzen den Anteil der Gesamtkosten, die der Suche zurechenbar sind. Unsere Versuche zeigen, dass der Anteil groß ist - etwa ein Drittel des effektiven Spread. Frühere Arbeiten zur Schätzung von Spread-Komponenten lassen die Suchkomponente typischerweise nicht aus. Unsere Schätzungen legen nahe, dass diese Unterlassung wichtig ist. RPF - 284. Bewertung und Rückkehr Dynamik der neuen Ventures. quot Jonathan B. Berk, Richard C. Green und Vasant Naik. September 1998. Zusammenfassung: Wir entwickeln und analysieren ein Modell eines mehrstufigen Investitionsprojekts, das viele Merkmale von RD Ventures und Start-up-Unternehmen erfasst. Ein wichtiges Merkmal dieser Problematik ist, dass das Unternehmen über die potenzielle Rentabilität des Projekts während seines gesamten Lebens lernt, dass aber die technische Ungewissheit über den Forschungs - und Entwicklungsaufwand selbst nur durch zusätzliche Investitionen durch das Unternehmen aufgelöst wird. Darüber hinaus sind die Risiken im Zusammenhang mit dem endgültigen Cash-Flows der Firma realisiert bei Abschluss des Projekts haben eine systematische Komponente, während die rein technischen Risiken sind idiosynkratisch. Unser Modell erfasst diese unterschiedlichen Risikoquellen und ermöglicht es uns, ihre Wechselwirkung bei der Bestimmung der Risikoprämien zu untersuchen, die das Unternehmen während der Entwicklung verdient hat. Unsere Ergebnisse zeigen, dass das systematische Risiko und die geforderte Risikoprämie des Risikokapitals am höchsten sind, und zwar trotz der Eigenart des technischen Risikos. RPF - 283.Predicting Excess Returns mit öffentlichen und Insider-Informationen: Der Fall der Thrift Conversions. quot James A. Wilcox und Zane D. Williams. September 1998. Zusammenfassung: Wir vermuten, dass gegenseitige Verbrechen oft in Aktienbesitz umgewandelt wurden, wenn die Rückkehr zur Umwandlung vorhergesagt wurde, um hoch zu sein. Wir zeigen, dass Überschussrenditen bei den Börseneinführungen (IPOs) der Sparumsatzentwicklungen in den 90er Jahren mit öffentlich zugänglichen Daten vorhersehbar waren. Die gleichen Bedingungen, die höhere Überschussrenditen bei der Sparsamkeitsumwandlung voraussagten, sagten auch voraus, dass die Umwandlung eher wahrscheinlicher war. Höhere vorhergesagte überschüssige Rückkehr erhöhte erheblich die Beträge der IPOs, die Insider bei der Umwandlung von thrifts kaufen. Daten für Insiderkäufe, die vor dem ersten Handelstag öffentlich zugänglich waren, halfen der Öffentlichkeit, überhöhte Renditen vorauszusagen. RPF - 282. Die QuoteCredit Crunchquot und die Verfügbarkeit von Krediten an Small Businessquot Diana Hancock und James A. Wilcox. August 1998. Zusammenfassung: Wir präsentieren Schätzungen, wie viel Bankkredite und reale Tätigkeit in kleinen Unternehmen reagiert auf Änderungen der Banken Kapital Bedingungen und anderen Banken und aggregierten wirtschaftlichen Bedingungen. Unter Verwendung der Daten für 1989 bis 1992 durch den Staat schätzten wir die Auswirkungen dieser Faktoren auf die Beschäftigung, die Lohnsummen und die Anzahl der Firmen nach Unternehmensgröße sowie auf das Bruttosozialprodukt. Als Reaktion auf Rückgänge im eigenen Bankkapital schrumpften kleine Banken ihre Kreditportfolios deutlich mehr als die großen Banken. Großbanken tendierten dazu, Kredite mehr zu erhöhen, wenn kleine Banken unter erhöhtem Kapitaldruck waren. Die reale Wirtschaftstätigkeit wurde durch Kapitalrückgänge und durch Kreditrückgänge bei kleinen Banken stärker reduziert als bei großen Banken. Kleine Banken machten quothigh-powered Darlehenquot in diesem Dollar-für-Dollar-Darlehen sank in ihren Darlehen hatte größere Auswirkungen auf die Wirtschaftstätigkeit als Kreditrückgänge bei großen Banken haben. Kapitalrückgänge bei kleinen Banken produzierten größere Veränderungen in der Wirtschaftstätigkeit Dollar-Dollar für Kapitalrückgänge bei großen Banken. Die gesamtwirtschaftlichen Rahmenbedingungen hatten kleinere Auswirkungen auf kleine Unternehmen als auf Großunternehmen und kleinere Auswirkungen auf kleine Banken als auf Großbanken. Die Beweise deuten darauf hin, dass das Volumen der Darlehen unter Small Business Administration (SBA) Darlehensgarantien Programme schrumpfte weniger als Reaktion auf den Rückgang der Bankkapital als das Volumen der Kredite nicht im Rahmen der SBA-Darlehensgarantie-Programme. RPF-281. "Dynamisches Optimales Risikomanagement und Dividendenpolitik unter Optimale Kapitalstruktur und Maturity. quot Michael P. Ross. Juli 1998. Zusammenfassung: Dieses Papier untersucht die Wechselwirkung zwischen einem Unternehmen Volatilität und Dividendenpolitik und Kapitalstruktur und Fälligkeit Politik. Das Unternehmen ist berechtigt, unkompliziert und kontinuierlich beliebige Vermögensvolatilität und Dividendenrendite innerhalb der Grenzen auszuwählen. Einfache und intuitive Regeln werden für die Unternehmen optimale Dividenden und Volatilität Entscheidungen abgeleitet. Es wird festgestellt, dass das Unternehmen stets die maximale oder minimale Dividendenrendite und Vermögensvolatilität optimal auswählt und dass diese Entscheidungen nur von dem Delta und dem Gamma des Eigenkapitals abhängen. Diese optimalen Dividenden - und Volatilitätspolitiken werden dann im Rahmen des Kapitalstrukturmodells von Leland und Toft (1996) umgesetzt. Es wird festgestellt, dass Unternehmen eine niedrige Dividendenrendite und eine geringe Vermögensvolatilität über eine größere Bandbreite von Unternehmensvermögenswerten optimal auswählen werden, je kürzer die Laufzeit der Unternehmensschulden ist. In Anbetracht dieses Verhaltens werden die Anleihegläubiger einen geringeren Kreditspread für kurzfristige Schulden fordern, wenn das Unternehmen einen großen Spielraum bei der Auswahl seiner Vermögensvolatilität hat. Dies wiederum kann dazu führen, dass ein Unternehmen, um kurzfristige Schulden optimal auszugeben. Es wird auch festgestellt, dass, je besser die Fähigkeit zur Absicherung ist, desto häufiger wird die Ausschüttung verzichtet. Dies bestätigt das bekannte Ergebnis, dass das Risikomanagement Anreize für Unterinvestitionen mindert. Hier wird gezeigt, dass Ex-post sowie Ex-ante gelten. RPF - 280. QuotCorporate Hedging: Was, Warum und Howquot Michael P. Ross. Juli 1998. Abstract: Dieses Papier untersucht die Begründung für das Risikomanagement von Unternehmen. Nach Smith und Stulz (1985) und Mayers und Smith (1987) wird angenommen, dass Unternehmen vertragliche Verpflichtungen gegenüber den Anleihegläubigern treffen können, um eine bestimmte Risikomanagementpolitik oder Vermögensvolatilität beizubehalten. Damit beginnt der Aufsatz das optimale Hedge-Portfolio, untersucht diese Bestände auf Robustheit gegenüber Varianz-Kovarianz-Missbilligung und schlägt ein neues Motiv für das Risikomanagement von Unternehmen vor. Ein Unternehmen, das sein Risiko erhöht, erhöht seine optimale Höhe der Schulden und realisiert so mehr Steuerliche Vorteile von Hebelwirkung. Nach dem Kapitalstrukturmodell von Leland (1994) werden drei Auswirkungen der Risikominderung auf den Shareholder Value gemessen: die Erhöhung der Steuervorteile, die Senkung der Insolvenzkosten und die Verringerung der möglichen Kosten des Unterinvestitionsproblems. Die Essays-Motivation dient als Leitfaden für Chief Financial Officers in Bezug auf die Vorteile des Risikomanagements und die Quellen dieser Leistungen, so dass das Risikomanagement in einer Weise durchgeführt werden kann, die den Shareholder Value stärkt und nicht um seiner selbst willen. RPF - 279. Pierre Collin Dufresne, William Keirstead und Michael P. Ross. Juli 1998. Zusammenfassung: In den letzten Jahren Ergebnisse aus der Theorie der Martingale wurde erfolgreich auf Probleme in der Finanzwirtschaft angewandt. In der vorliegenden Arbeit zeigen wir, wie effizient und elegant dieses Quotantarting Technologiequot bei der Lösung komplexer Optionen sein kann. Insbesondere bieten wir geschlossene Formlösungen für mehrere neue Klassen von exotischen Optionen wie dem Cliquet, der Leiter, dem diskreten Shout und dem diskreten Lookback. Wir bieten auch eine Ableitung des Preises einer Option auf das Maximum von n Vermögenswerten, um die Macht des mehrdimensionalen Girsanov Theorems zu demonstrieren. Obwohl einige der vorgestellten Ergebnisse bekannt sind, ist die Behandlung des Materials in diesem Papier neu, da es sich auf die Anwendung der Martingal-Technologie auf konkrete Probleme bei der Optionspreiskalkulation konzentriert, Verfahren, die bislang meistens zu rein theoretischen Zwecken genutzt wurden . RPF - 278 Quotierungskosten, Risikomanagement und Capital Structurequot (nur Text. dvi) Hayne E. Leland Kurzfassung: Die gemeinsame Bestimmung der Kapitalstruktur und des Investitionsrisikos wird untersucht. Die optimale Kapitalstruktur spiegelt sowohl die steuerlichen Vorteile von Schulden abzüglich Verzugszinsen (Modigliani-Miller) als auch die Agenturkosten, die sich aus der Substitution von Vermögenswerten ergeben (Jensen-Meckling). Die Agenturkosten beschränken die Hebel - und Schuldenreife und erhöhen die Renditeaufschläge, ihre Bedeutung ist jedoch für die betrachteten Umgebungen relativ gering. Das Risikomanagement wird ebenfalls geprüft. Hedging erlaubt eine höhere Hebelwirkung. Selbst wenn ein Unternehmen nicht vorkommitieren kann, wird es immer noch tun. Überraschenderweise sind Hedging-Leistungen oft größer, wenn die Agenturkosten niedrig sind. RPF-277 quotAppling the Grinblatt-Titman und die Conditional (Ferson-Schadt) Performance-Maße: Der Fall der Industrie Rotation über die dynamische Investition Modelquot Robert R. Grauer und Nils H. Hakansson Abstract: Dieses Papier gilt Grinblatt und Titmans Portfolio Änderung Maßnahme und Ferson und Schadts eine bedingte Leistungsmessung für das Problem der Beurteilung der Performance des dynamischen Investitionsmodells, das für die industrielle Rotation im Zeitraum 1934-1995 sowie für verschiedene Teilperioden angewandt wird. Das in der Studie verwendete dynamische Investitionsmodell verwendet den empirischen Wahrscheinlichkeitsansatz mit einem Rückblickfenster, sowohl in roher Form als auch mit Anpassungen für Schätzfehler auf der Grundlage eines James-Stein, eines Bayes-Stein und einer CAPM-basierten Korrektur . Beide Tests sind einstimmig in ihrer Schlussfolgerung, dass die Überschussrenditen erreicht durch die (nicht angepasst) historischen. Die Bayes-Stein - und die James-Stein-Schätzer sind (manchmal hoch) statistisch signifikant für die Unterperioden 1966-95 und 1966-81. Damit wird der Gedanke unterstützt, dass der gemeinsame empirische Wahrscheinlichkeitsansatz, basierend auf der jüngsten Vergangenheit, mit und ohne Stein-basierte Korrekturen für Schätzfehler, Informationen enthält, die profitabel genutzt werden können. RPF - 276. "Closed-End Fund Rabatte in einem Rational Agent Economy. quot Matthew Spiegel. Dezember 1997. Fast jedes Standard-Finanzmodell schließt, dass zwei Vermögenswerte mit identischen Cashflows für denselben Preis verkaufen müssen. Leider scheinen geschlossene Investmentfonds-Aktienkurse diesen Grundmieter zu verletzen. Auch wenn man mehrere Standardfriktionen wie Steuern und Agenturkosten berücksichtigt, können klassische Finanzmodelle nicht die großen anhaltenden Preisnachlässe innerhalb der Daten erklären. Während das Standard-Finanzmarktmodell nicht die Existenz von großen geschlossenen Fonds-Rabatten erklären kann, zeigt dieses Papier, dass eine ziemlich enge Version davon. In einem ansonsten reibungslosen Markt kann ein geschlossener Investmentfonds-Aktienkurs seinen Nettoinventarwert nicht verfolgen, wenn Vermögenswerte zufällig im Zeitablauf variieren und Agenten über eine begrenzte Nutzungsdauer verfügen. Darüber hinaus bietet die Analyse eine Reihe von Bedingungen, unter denen diese Diskrepanzen führen zu der Existenz von systematischen Rabatte für die Investmentfonds Aktien. Darüber hinaus bietet das Modell Vorhersagen über die Korrelation zwischen aktuellen geschlossenen Fonds Rabatte und aktuelle Änderungen der Aktienkurse und künftige Veränderungen in der Produktivität der Unternehmen. Wie die Analyse zeigt, führen die gleichen Parameterwerte, die zu systematischen Preisnachlässen führen, auch zu anderen Fondspreiseigenschaften, die vielen der in empirischen Studien gefundenen Ergebnisse ähneln. RPF - 275 quotEdgeworth Binomial Treesquot Mark Rubinstein. November 1997. Vorhanden im PowerPoint. pps Format nur. Verwenden Sie Notes View. Dieses Papier entwickelt eine einfache Technik für die Bewertung von europäischen und amerikanischen Derivaten mit zugrunde liegenden risikoneutralen Renditen, die von lognormal in Bezug auf vorgegebene Nicht-Null-Schräge und mehr als drei Kurtosis abweichen. Anstatt die gesamte risikoneutrale Verteilung durch die risikofreie Rendite und Volatilität (wie im Black-Scholes-Fall) zu spezifizieren, wird diese Verteilung auch durch ihre dritten und vierten zentralen Momente bestimmt. Eine Edgeworth-Expansion wird verwendet, um eine Standard-Binomialdichte in eine unimodale standardisierte diskrete Dichte umzuwandeln, die an gleich beabstandeten Punkten bewertet wird, mit etwa der vorgegebenen Schiefe und Kurtosis. Diese Dichte wird wiederum angepasst, um einen Mittelwert zu haben, der gleich der risikolosen Rendite ist (bereinigt um die Auszahlungsrendite, falls vorhanden) und auf eine vorgegebene Volatilität. Europäische Derivate werden dann leicht bewertet, indem diese risikoneutrale Dichte verwendet wird, um ihre möglichen Auszahlungen zu gewichten. Europäische Optionen mit früheren Fälligkeiten, amerikanische und exotische Optionen können in einer konsistenten Weise unter Verwendung der Methode der impliziten Binomialbäume bewertet werden. These trees are particularly well-suited for this since they are generated from arbitrary discrete expiration-date risk-neutral probabilities -- precisely what is provided by the Edgeworth expansion. The paper ends by translating several examples of alternative risk-neutral distributions into option prices and then into Black-Scholes implied volatility smiles. Implied trees are used to determine smiles for otherwise identical shorter-maturing options and future smiles for the original options conditional on knowing the future underlying asset price. RPF - 274-Rev quotDerivatives Performance Attribution. quot Mark Rubinstein. Revised May 1998. Downloadable in PowerPoint. pps format only. Use Notes View. Abstract: This paper shows how to decompose the dollar profit earned from an option into two basic components: 1) mispricing of the option relative to the asset at the time of purchase, and 2) profit from subsequent fortuitous changes or mispricing of the underlying asset. This separation hinges on measuring the quottrue relative valuequot of the option from its realized payoff. The payoff from any one option has a huge standard error about this value which can be reduced by averaging the payoff from several independent option positions. It appears from simulations that 95 reductions in standard errors can be further achieved by using the payoff of a dynamic replicating portfolio as a Monte Carlo control variate. In addition, it is shown that these low standard errors are robust to discrete rather than continuous dynamic replication and to the likely degree of misspecification of the benchmark formula used to implement the replication. The first basic component, the option mispricing profit, can be further decomposed into profit due to superior estimation of the volatility (volatility profit) and profit from using a superior option valuation formula (formula profit). In order to make this decomposition reliably, the benchmark formula used for the attribution needs to be similar to the formula implicitly used by the market to price options. If so, then simulation indicates that this further decomposition can be achieved with low standard errors. The second basic component can be further decomposed into profit from a forward contract on the underlying asset (asset profit) and what I term pure option profit. The asset profit indicates whether or not the investor was skillful by buying or selling options on mispriced underlying assets. However, asset profit could also simply be just compensation for bearing risk -- a distinction beyond the scope of this paper. Although simulation indicates that the attribution procedure gives an unbiased allocation of the option profit to this source, its standard error is large -- a feature common with attempts by others to measure performance of assets. RPF - 273 quotProfits and Position Control: A Week of FX Dealing. quot Richard K. Lyons. October 1997. (available as Word/Windows document only) This paper examines foreign exchange trading at the dealer level. The dealer we track averages 100,000 in profits per day on volume of 1 billion per day (or one basis point). The half-life of the dealers position is only ten minutes, providing strong support for inventory models. A methodological innovation allows us to identify his speculative position over time. This speculative position determines the share of profits deriving from speculation versus intermediation: intermediation is much more important. RPF - 272 quotBank Risk Management: Theory. quot David H. Pyle. July 1997. (available as Word/Windows document only) This paper discusses why risk management is needed. It outlines some of the theoretical underpinnings of contemporary bank risk management, with an emphasis on market and credit risks. RPF - 271 quotInternational Portfolio Investment Flows. quot Michael J. Brennan. and H. Henry Cao. February 1997. This paper develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative informati on advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on US equity portfolio flows. RPF - 270 quotIs There Private Information in the FX Market The Tokyo Experiment. quot Takatoshi Ito. and Richard K. Lyons and Michael T. Melvin. January 1997. It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over the lunch-hour. Lunch return variance do ubles with the introduction of trading, which cannot be due to public information since the flow of public information did not change with the trading rules. Having eliminated public information as the cause, we exploit the volatility pattern over the wh ole day to discriminate between the two alternatives: private information and pricing errors. Three key results support the predictions of private-information models. First, the volatility U-shape flattens: greater revelation over lunch leaves a smaller share for the morning and afternoon. Second, the U-shape tilts upward, an implication of information whose private value is transitory. Finally, the morning exhibits a clear U-shape when Tokyo closes over lunch, and it disappears when trading is introd uced. RPF - 269 quotAre Investors Reluctant to Realize Their Lossesquot Terrance Odean. November 1996. IAbstract: test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than losers. Their behavior does not appear to be motivated by a desire to rebalance portfolios, or to avoid the higher trading costs of low price stocks. Nor is it justified by subsequent portfolio performance. For taxable investments it is non-optimal and leads to lower after-tax returns. Tax-motivated selling is most evident in December. RPF - 268 quotA Theory of Corporate Capital Structure and Investment. quot Miguel Cantillo Simon Abstract: This article describes how financial disruptions affect investment in a general equilibrium economy. I show that in a world with differentiated lenders, the most efficient will become financial intermediaries their preeminence will nonetheless be limited by frictions with depositors. Because of these frictions, cash rich companies prefer to tap the bond market directly, while moderately endowed firms borrow from intermediaries, and cash poor companies are unable to borrow at all. The aggregation of this model produces an economy with intuitive features: investment falls whenever the risk free rate rises, or when the financial health of firms and intermediaries deteriorates. RPF - 267 quotOptions and Expectationsquot Hayne E. Leland Who should buy options (ordinary or quotexoticquot), and who should sell Buyers and sellers must differ from the average investor, who will not undertake options positions. We develop a simple binomial model to characterize the expectations (relative to the average or consensus) which must be held by investors to justify buying or selling various types of derivatives, or following dynamic strategies which generate similar payoffs. European option sellers must believe markets are more mean-reverting than average option buyers must believe they are more mean-averting. The probabilities of ordinary option buyers and sellers are path independent and their expected return process must be a martingale. Path-dependent options or dynamic strategies imply probabilities which are path dependent. quotAsianquot derivative purchasers must believe the expected return to the underlying asset decreases through time. Lookback purchasers believe the opposite. RPF - 266 quotVolume, Volatility, Price and Profit When All Traders Are Above Averagequot Terrance Odean This paper looks at three market models in which investors are rational in all respects except that they are overconfident about the precision of their private information. A substantial literature in cognitive psychology establishes that people usually are overconfident and, specifically, that they are overconfident about the precision of their knowledge. Overconfidence affects expected trading volume, volatility of prices, market depth, price quality, expected profits, and expected utility. The three models demonstrate how the effects of overconfidence depend on who is overconfident. The paper also examines the consequences for markets when traders systematically underweight their prior information. RPF - 265 quotRecovering Risk Aversion from Option Prices and Realized Returnsquot Jens Carsten Jackwerth A well-known relationship exists between aggregate subjective and risk-neutral probability distributions and utility functions. Previously, only subjective probabilities could be estimated with some degree of accuracy from historical data. Now, using the convenient method developed by Jackwerth and Rubinstein (1996), we can also estimate risk-neutral probabilities reliably. For the first time, we empirically derive stable utility functions implied by stock returns and option prices. These implied utility functions dramatically change shapes around the 1987 crash and t hereafter exhibit convexity and increasing risk aversion across parts of the wealth dimension. A simulated trading strategy based on analyzing the utility functions mean-variance dominates holding the market. RPF - 264 quotGeneralized Binomial Treesquot Jens Carsten Jackwerth In a novel approach, standard and implied binomial trees are completely specified in terms of two basic inputs: the ending nodal probability distribution and a linear weight function which governs the stochastic process resulting in that distribution. Several key economic principles, such as no interior arbitrage, are intuitively related to these basic inputs. A simple and computationally efficient three-step algorithm, common to all binomial trees, is found. Noting that the currently used linear weight function is unnecessarily restrictive, a binomial tree even more versatile is introduced, the generalized binomial tree. Applications to recovering the stochastic process implied in (European, American, or exotic) options of several times-to-expiration are developed. RPF - 263-rev. quotBeyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies. quot Hayne E. Leland Current investment performance analysis is based on the CAPM, using quotalphaquot or Sharpe Ratios. But the validity of this analysis rests on the validity of the CAPM, which assumes either normally distributed returns, or mean-variance preferences. Either assumption is suspect: even if asset returns were normally distributed, the returns of options or dynamic strategies (including market timing) would not be. And investors distinguish upside from downside risks, implying skewness preference. We consider a Black-Scholes/Merton world, in which the market portfolio follows a diffusion process with constant drift and volatility. In this world, the market portfolio is mean-variance inefficient and the CAPM alpha will systematically mismeasure the value added by investment managers. The problem is particularly severe for portfolios using options or dynamic strategies. We show how a simple modification of the CAPM beta can lead to correct risk measurement, and the alphas of all fairly-priced options and/or dynamic strategies will be zero in the Black-Scholes/Merton world. This paper has been written for the Fischer Black Commemorative Issue of the The Journal of Portfolio Management. RPF - 262. quotImplied Binomial Trees: Generalizations and Empirical Tests. quot Jens Carsten Jackwerth Efficient generalizations for Rubinsteins (1994) implied binomial tree are presented which allow for varying path-probabilities and incorporate information from times other than the end of the tree. The three generalizations involve deformation of the time scale, arbitrary transition probability weights, and jumps. Two empirical tests compare the performance of implied binomial trees, the Black-Scholes model, and the CEV model. In the first test, all models are fitted to observed longer term option prices, used to price shorter term options, and pricing errors are assessed. In a second test, the term structure of at-the-money volatilities is assumed known. All models are adapted to incorporate this information and pricing errors are recomputed. A postscript version of this paper is available from haas. berkeley. edu/ jackwert. RPF - 261 quotOptimal Asset Rebalancing in the Presence of Transactions Costs. quot Hayne E. Leland. Rev. August 1996. We examine the optimal trading strategy for an investment fund which wishes to maintain assets two assets in fixed proportions, e. g. 60/40 in stocks and bonds. transactions costs are assumed to be proportional to the amount of each asset traded. We show that the optimal policy involves a band about the target stock proportion. As long as the actual stock/bond ratio remains inside this band, no trading should occur. If the ratio goes outside the band, trading should be undertaken to move the ratio to the nearest edge of the band. We compute the optimal band and resulting annual turnover and tracking error of the optimal policy, as a function of transactions costs, asset volatility, the target asset mix, and other parameters. We show how changes in transactions costs and other parameters affect the size of the no-trade band, turnover, and tracking error. Compared to a quarterly rebalancing strategy, an example demonstrates that the optimal strategy can reduce turnover by almost 50 percent. RPF - 260 quotStock Price Volatility in a Multiple Security Overlapping Generations Model. quot Matthew Spiegel. A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within the standard dividend discount model. This paper proposes a resolution based upon a model that contains both a random supply of risky assets and finitely lived agents who trade in a multiple security environment. As the analysis shows where exist 2k equilibria when K securities trade. The low volatility equilibria have properties analogous to those found in the infinitely lived agent models of Campbell and Kyle (1991) and Wang (1993, 1994). In contrast, the high volatility equilibria have very different characteristics. Within the high volatility equilibria very large price variances can be generated with very small supply shocks. Using previously established empirical results the model can reconcile the data with supply shocks that are less than 10 as large as observed dividend shocks. The multiple security analysis also shows that within the economy some securities may trade under high volatility conditions, while others trade in low volatility conditions. Switching the economy from a high to a low volatility equilibrium for any single security may be very difficult. Depending upon the variance-covariance structure of the economy, an equilibrium change may require simultaneous control over the trading environment of every single security in the economy. RPF - 259 quotOptimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads. quot Hayne E. Leland and Klaus Bjerre Toft This paper examines the optimal capital structure of a firm which can choose both the amount and maturity of its debt. Bankruptcy is determined endogenously rather than by the imposition of a positive net worth condition or by a cash flow constraint. The results extend Lelands 1994 closed-form results to a much richer class of possible debt structures and permits study of the optimal maturity of debt as well as the optimal amount of debt. The model generates predictions of leverage, credit spreads, default rates, and writedowns which accord quite closely with historical averages. While short term debt does not exploit tax benefits as completely as long term debt, it is more likely to provide incentive compatibility between debtholders and equityholders. The agency costs of quotasset substitutionquot are minimized when the firm uses shorter term debt. The tax advantage of debt must be balanced against bankruptcy and agency costs in determining the optimal maturity of the capital structure. The model predicts differently shaped term structures of credit spreads for different levels of risk. These term structures are similar to that found empirically by Sarig and Warga 1989. The model has important implications for bond portfolio management. In general, Macaulay duration dramatically overstates true duration of risky debt, which may be negative for quotjunkquot bonds. Furthermore, the quotconvexityquot of bond prices can become quotconcavity. quot RPF - 258. quotImperfect Competition in Securities Markets with Diversely Informed Traders. quot H. Henry Cao November 1995 We show that the infinite regression problem in models with differentially informed traders can be solved using a fixed point method which we use to derive the dynamic equilibrium in a multi-auction model with diversely informed traders. We find that when the informed traders signals are not perfectly correlated, their private information will be revealed to the market gradually so that the market is only semi - strong form efficient and not strong-form efficient. Market depth in the continuous auction model initially increases with time but decreases to zero at the end. Our results are in contrast to the results of Holden and Subrahmanyam (1992) and Foster and Viswanathan (1993) (HS-FV) who showed that when auctions occur frequently and informed traders have perfect information, the information is revealed to the market almost immediately. However, when the correlation in the private signals goes to 1, our model converges to the HS-FV model. 257. quotThe Efficacy of Insider Trading Regulation. quot Matthew Spiegel and Avanidhar Subrahmanyam October 1995 Regulatory authorities often lack a quotsmoking gunquot (i. e. hard evidence such as a note or a memorandum) when prosecuting individuals for illegal insider trading. As a result, many insider trading cases depend solely on circumstantial evidence, which is usually obtained by associating trades with quotunusualquot price moves. However, insiders with the most accurate information (the ones most likely to possess quotmaterial, non-publicquot information) are the ones best able to modify their trading strategy in response to prosecution strategies based on price moves. This is a major obstacle to the efficacy of insider trading regulation. Thus, if legislation discourages strategic insiders with relatively precise information from trading, then in all likelihood any investor who is prosecuted will possess only the weakest (most imprecise) information. Stratetgic behavior by insiders in response to insider trading regulations can thereby lead to a situation where the pool of prosecuted traders contains a large fraction of innocent individuals (i. e. individuals with relatively poor information). RPF-256REV . quotHow Do Firms Choose Their Lenders Theory and Evidence. quot Miguel Cantillo and Julian Wright (October 1995 )Revised February 2000 This article investigates which companies finance themselves through intermediaries and which borrow directly from arms length investors. Our empirical results show that large companies with abundant cash and collateral tap credit markets directly these markets cater to safe and profitable industries, and are most active when riskless rates or intermediary earnings are low. We show that determinants of lender selection sharpen during investment downturns and that there are substantial asymmetries in the way firms enter and exit capital markets. These results support a theoretical framework where intermediaries have better reorganizational skills but a higher opportunity cost of capital than bondholders. 255. quotA Theory of Corporate Capital Structure and Investment. quot Miguel Cantillo October 1995 This paper develops a costly state verification (CSV) model which describes how financial fluctuations affect real activity in a general equilibrium setting. In an economy with differentiated lenders, the most efficient will become intermediaries (e. g. banks). Intermediation generally creates frictions which prevent banks from dominating the debt markets. In this model, firms with abundant funds avoid intermediaries, and tap the credit markets directly. Meanwhile, firms with moderate resources borrow from intermediaries. The aggregation of this model produces an economy with appealing features: aggregate investment drops with a rise in the riskless rate, and a deterioration of bank or corporate health. RPF-2 54. quotThe Rise and Fall of Bank Control in the United States: 1890-1920.quot Miguel Cantillo October 1995 This paper sketches the evolution in the governance structures of railroad and industrial firms in the United States between 1850 and 1914. I describe how the largest of these companies became controlled by salaried executives, and with no board member willing to oversee or to veto manager actions. Initially, railroads and industrial firms were tightly controlled by a small number of shareholders. The link of ownership and control was changed by massive corporate restructuring in the 1890s and 1900s. The newly reorganized firms were controlled by banks such as J. P. Morgan, which took board positions to ensure adequate financial returns for themselves and for their clients. The final stage of corporate governance began in the 1910s as a public policy reaction to bank control. This reaction resulted in an almost complete disappearance of active institutional investors from boards of directors. Using stock market data from 1914, I find that this political reaction destroyed about 6 percent of the equity value of bank controlled firms. By the late 1920s, all the elements that define contemporary governance structures in the United States were in place and running their logical course. RPF - 253. quotA Spatial Model of Housing Returns and Neighborhood Substitutability. quot William N. Goetzmann and Matthew Spiegel September 1995 This paper presents a new spatial model for analyzing return indices for infrequently traded assets, and applies it to housing data. Within many asset classes, particularly real estate, one expects there to exist a spatial correlation in deviations from the index due to omitted explanatory variables in the econometric model. This error structure can be useful in estimating location-specific would normally make this impossible, the use of spatial and factor correlations provides sufficient information to estimate zip code level returns. We use these indices to examine the degree to which housing market participants in one major metropolitan statistical area view neighborhoods as substitutes. Using distance defined in terms of geographical proximity, median household income, average educational attainment and racial composition, we find that median household income is the salient variable explaining covariance of neighborhood housing returns. Racial composition and educational attainment, while significant are much less influential and geographical proximity is nearly meaningless. Our methodology has applications to a range of infrequently traded assets, including bonds, commercial real estate and collectibles. The approach may be viewed as an extension of quotnon-parametricquot spatial correlation models. In the non-parametric approach a distance function and decay rate are exogenously specified. In a spatial model one estimates the distance metric and uses statistical rules to obtain the resulting decay rates. The results of our analysis of housing substitutability in the San Francisco Bay area have implications for estimates of the covariance of housing returns within metropolitan areas. In particular, low covariances imply gains to diversification for lenders, equity-holders and tax authorities. RPF - 252. quotPricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach. quot Jacob Boudoukh, Matthew Richardson, Richard Stanton, and Robert F. Whitelaw May 1995 This paper develops a nonparametric, model-free approach to the pricing of mortgage-backed securities (MBS), using multivariate density estimation (MDE) procedures to investigate the relation between MBS prices and interest rates. While the usual methods for valuing MBSs are highly dependent on specific assumptions about interest rates and prepayments, this method will yield consistent results without requiring such assumptions. The MDE estimation suggests that weekly MBS prices from January 1987 to May 1994 can be well described as a function of the level and slope of the term structure. We analyze how this functionaries across MBSs with different coupons and investigate the sensitivity of prices to the two factors. As an application, we sue the estimated relation to hedge the interest rate risk of MBSs. These hedging results compare favorably with other commonly used hedging methods. RPF - 251. quotMortgage Choice: Whats the Pointquot Richard Stanton and Nancy Wallace May 1995 This paper develops a general equilibrium model of mortgage lending, combining self-selection theory with option pricing. We construct a separating equilibrium, in which borrowers offer a menu of prepayable, fixed rate mortgage contracts, differing in their tradeoff between coupon rate and points (prepaid interest). Borrowers select the optimal contract from the menu, revealing their mobility via their choice of loan, and lenders make zero profit on each loan taken out. This equilibrium can only exist if borrowers face frictions, such as refinancing costs. This provides a possible explanation for the prepayment options that are embedded in mortgage contracts, despite the significant deadweight costs associated with refinancing. We also show that the recent proliferation of loans with many different horizons represents an alternative means of persuading borrowers to self-select, with lower deadweight costs. Finally, our model suggests that the menu of contracts available at the time of origination should be an important predictor of future prepayment. Most commonly used prepayment models, which do not take this into account, are therefore misspecified, leading to errors in pricing and hedging mortgages and mortgage-backed securities. 250. quotImplied Probability Distributions: Empirical Analysis. quot Jens Carsten Jackwerth and Mark Rubinstein June 1995 An earlier article, quotImplied Binomial Trees, quot introduced a theoretical model for implying the stochastic process of an underlying asset price from the prices of associated options. This sequel provides details concerning application of the model to the full record of SampP 500 index options transactions from April 2, 1986 through December 31, 1993. Most prominently, it introduces a revised optimization technique for estimating expiration-date risk-neutral probability distributions which is probably theoretically superior and definitely orders of magnitude faster than the approaches outlined in the antecedent paper. This method maximizes the smoothness of the distribution while at the same time insuring that multimodalities are not unrealistically strong. With the exception of the lower left-hand tail of the distribution, alternative optimization specifications typically produce approximately the same implied distributions. Considerable care is taken to specify such parameters as interest rates, dividends, and synchronous index levels, as well as to filter for general arbitrage violations and to use time aggregation to correct for unrealistic persistent jaggedness of implied volatility smiles. The resulting implied probability distributions exhibit changes in skewness as time-to-expiration approaches which are consistent with theoretical predictions. While time patterns of skewness and kurtosis exhibit a discontinuity across the divide of the 1987 market crash, they remain remarkably stable on either side of the divide. Moreover, since the crash, the risk-neutral probability of a four standard deviation decline in the SampP index (-46 percent over a year) is 100 times more likely than would appear to be the case under the assumption of lognormality. 249. quotA Variable Reduction Technique for Pricing Average-Rate Options. quot Hua He and Akihiko Takahashi May 1995 Average-rate options, commonly known as Asian options, are contingent claims whose payoffs depend on the arithmetic average of some underlying index over a fixed time horizon. This paper proposes a new valuation technique, called the variable reduction technique, for average rate options. This method transforms the valuation problem of an average-rate option into an evaluation of a conditional expectation that is determined by a one-dimensional Markov process (as opposed to a two-dimensional Markov process). This variable reduction technique works directly with the arithmetic average and does not encounter approximation errors when volatility of the underlying is relatively large. Further, reducing the dimensionality by one makes pricing more efficient in terms of computing time. The variable reduction technique is applied in a simple Black-Scholes economy in which there is one risky asset and one riskless bond. The paper also discusses application of the technique to average-rate options where the underlying index is an interest rate. Numerical comparisons of different methods are also presented. 248. quotDouble Lookbacks. quot Hua He, William P. Keirstead, and Joachim Rebholz May 1995 A new class of options, double lookbacks, where the payoffs depend on the maximum and/or minimum prices of one or two traded assets is introduced and analyzed. This class of double lookbacks includes calls and puts with the underlying being the difference between the maximum and minimum prices of one asset over a certain period, and calls or puts with the underlying being the difference between the maximum prices of two correlated assets over a certain period. Analytical expressions of the joint probability distribution of the maximum and minimum values of two correlated geometric Brownian motions are derived and used in the valuation of double lookbacks. Numerical results are shown, and prices of double lookbacks are compared to those of standard lookbacks on a single asset. 247. quotAnatomy of an ARM: Index Dynamics and Adjustable Rate Mortgage Valuation. quot (Related topics) Richard Stanton and Nancy Wallace April 1995 This paper analyzes the dynamics of the commonly used indices for Adjustable Rate Mortgages, and systematically compares the effects of their time series properties on adjustable rate mortgage prepayment and value. Our ARM valuation methodology allows us simultaneously to capture the effects of the dynamics of the index, discrete coupon adjustment, and caps and floors. It allows us either to calculate an optimal prepayment strategy for mortgage holders, or to use an empirical prepayment function. We find that the dynamics of the ARM indices, including both their average levels and their speeds of adjustment to interest rate shocks, introduce significant variation in the value of the prepayment option across ARMs. Valuation methodologies that ignore the time series properties of the index with respect to current rates will therefore systematically misprice adjustable rate mortgages. 246. quotEffects of Competition on Bidder Returns. quot Sankar De, Mark Fedenia, and Alexander J. Triantis April 1995 This study offers several new perspectives on the effects of competition in takeover contests on bidder returns. Using a more extensive database than existing studies and employing several different measures of success in a takeover, we find that success in competitive acquisitions decreases shareholder wealth relative to failure and also relative to success in observed single-bidder takeovers. Further, we consider and test a number of hypotheses regarding bidder returns, including hypotheses suggested by the preemptive bidding theory. In general, our results indicate lack of support for the predictions of preemptive bidding theory and for the hypotheses linking the method of payment and the observed level of competition. We also test hypotheses relating to returns across the multiple events in a multiple-bid contest that competition among bidders generates. The results of these tests underscore the importance of timing as well as success of a bid to the bidders subsequent performance. 245. quotOn Revelation of Private Information in Stock Market Economies. quot Marcus Berliant and Sankar De April 1995 The notion that an agent in a given market can infer from the market price the (non-price) information received by other agents, as embodied in the existing studies of revealing rational expectations equilibrium, requires that the agent know the correct functional relationship between the non-price information of all agents and the resulting equilibrium price. This condition is usually restrictive and unsuitable as a description of reality. In this paper we show that this condition is also unnecessary in a stock market economy where producers or firms use their private information in their own optimization programs, k which include stock purchases. Interestingly, this result does not extend to the case of consumers with private information. 244. quotOptimal Cash Management for Investment Funds. quot Hayne Leland and Gregory Connor March 1995 We consider the question of how much cash should be held by an investment fund for transactions purposes. Cash is needed to meet redemptions and rights offerings it is generated by dividends and contributions. It is assumed the cumulative cash flow follows a random walk, perhaps with a drift. If transactions costs were zero, it would be optimal to keep zero cash balances, since cash reduces expected return and adds to tracking error. But keeping cash balances at zero would be very expensive in the presence of transactions costs, since random walks have infinite variation. The optimal cash policy requires a no trade interval . If cash balances are within this interval, no transfers between cash and portfolio securities takes place. If cash falls beneath zero, securities should be sold to return the cash balance to zero. If cash exceeds L, cash should be invested in the portfolio to reduce the cash balance to L. We derive closed form solutions for L, and show how this responds to changes in transactions costs and other parameters of cash flows and portfolio returns. Finally, a closed form estimate of expected turnover associated with optimal strategies is derived. 243. quotForeign Exchange Volume: Sound and Fury Signifying Nothing. quot Richard K. Lyons January 1995 This paper examines whether currency trading volume is informative, and under what circumstances. Specifically, we use transactions data to test whether trades occurring when trading intensity is high are more informative -- dollar for dollar -- than trades occurring when intensity is low. Theory admits both possibilities, depending primarily on the posited information structure. We present what we call a hot-potato model of currency trading, which explains why low-intensity trades might be more informative. In the model, the wave of inventory-management trading among dealers following innovations in order flow generates an inverse relationship between intensity and information content. Empirically, low-intensity trades are more informative, supporting the hot-potato hypothesis. 242. quotExplaining Forward Exchange Bias. Intraday. quot Richard K. Lyons and Andrew K. Rose January 1995 Intraday interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the central banks interest rate defense. In equilibrium, however, buyers of the vulnerable currency must be compensated on average with an intraday capital gain as long as no devaluation occurs. That is, currencies under attack should typically appreciate intraday. Using data on intraday exchange rate changes within the EMS, we find this prediction is borne out. 241. quotOn the Accounting Valuation of Employee Stock Options. quot Mark Rubinstein December 1994 In its exposure draft, quotAccounting for Stock-based Compensation, quot FASB proposes that either the Black-Scholes or binomial option pricing model be used to expense employee stock options, and that the value of these options be measured on their grant date with typically modest ex-post adjustment. This brings the accounting profession squarely up against the Scylla of imposing too narrow a set of rules that will force many firms to misstate considerably the value of their stock options and the Charybdis of granting considerable latitude which will increase non-comparability across financial statements of otherwise similar firms. This, of course, is a common tradeoff afflicting many rules for external financial accounting. It is not my intention to take a position on this issue, but merely to point out the inherent dangers in navigating between these twin perils. To examine this question, this paper develops a binomial valuation model which simultaneously takes into consideration the most significant differences between standard call options and employee stock options: longer maturity, delayed vesting, forfeiture, non-transferability, dilution, and taxes. The final model requires 16 input variables: stock price on grant date, stock volatility, stock payout rate, stock expected return, interest rate, option striking price, option years-to-expiration, option years-to-vesting, expected employee forfeiture rate, minimum and maximum forfeiture rate multipliers, employees non-option wealth per owned option, employees risk aversion, employees tax rate, percentage dilution, and number of steps in the binomial tree. Many of these variables are difficult to estimate. Indeed, a firm seeking to overvalue its option might report values almost double those reported by an otherwise similar firm seeking to undervalue its options. The alternatives of expensing minimum (zero-volatility) option values, whether at grant or vesting date, can easily be gamed by slightly redefining employee stock option contracts, and therefore would not accomplish FASBs goals. As an alternative, FASB could give more careful consideration to exercise date accounting, under which an expense is recognized at the time of exercise equal to the exercise value of the option. This would achieve the long sought external accounting goal of realizing stock options as compensation, while at the same time minimizing the potential for the revised accounting rules to motivate gaming behavior or non-comparable statements. 240. quotBond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk. quot Hayne Leland November 1994 This paper examines the value of debt subject to default risk in a continuous time framework. By considering debt with regular principal repayments (e. g. through a sinking fund), we are able to examine bonds with arbitrary maturity while retaining a time-homogeneous environment. This extends Lelands 1994 earlier closed-form results to a much richer class of possible debt structures. We examine the term structure of yield spreads and find that a rise in interest rates will reduce yield spreads of current debt issues. It may tilt the term structure as well. Duration is also affected by default risk. The traditional Macaulay duration measure overstates effective duration, which for junk bonds may even be negative. While short term debt does not exploit tax benefits as completely as does long term debt, it is more likely to provide incentive compatibility between debt holders and equity holders. The agency costs of asset substitution are minimized when firms use shorter term debt. Optimal capital structure depends upon debt maturity. Optimal leverage ratios are smaller, and maximal firm values are less, when short term debt is used. The yield spread at the optimal leverage ratio increases with debt maturity. 239. quotGains from Diversifying into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic Investment Model. quot Robert R. Grauer and Nils H. Hakansson October 1994 This paper compares the investment policies and returns for portfolios of stocks and bonds with and without up to three categories of real estate. Both a domestic and a global setting are examined, with and without the possibility of leverage. The portfolios were generated via the dynamic investment model on the basis of the empirical probability assessment approach applied to past (joint) realizations of returns, both with and without correction for smoothing in the real estate data series. Our principal findings are: 1) the gains from adding real estate on a semi-passive (equal-weighted) basis to portfolios of either U. S. or global financial assets were relatively modest in contrast, 2) the gains from adding real estate to the universe of U. S. financial assets under an active strategy were rather large (in some cases highly statistically significant), especially for the very risk-averse strategies 3) the gains from adding (U. S.) real estate to a universe of global financial assets under an active strategy were mixed, although generally favorable for the highly risk - averse strategies 4) correcting for second-moment smoothing in the real estate returns series had a relatively small impact for the more risk-tolerant strategies and 5) there was some evidence that de-smoothing resulted in improved probability estimates. 238. quotOptions on Leveraged Equity with Default Risk. quot Klaus Bjerre Toft July 1994 In this paper, I derive option pricing formulas for call and put options written on leveraged equity in an economy with corporate taxes and bankruptcy costs. The firm can be forced into bankruptcy by breaching a net-worth covenant, or it may declare bankruptcy when it is optimal for equity holders to do so. Consequently, option values and sensitivities depend on structural variables such as the corporate tax rate, the firms coupon payments, and the firm value at which bankruptcy is declared. The derived formulas for calls and puts on equity with default risk simplify to Black-Scholes type formulas for down-and-out barrier options if bankruptcy is declared as soon as the value of the firms assets equals the after-tax value of the promised coupon payments on the debt. If the capital structure contains no debt, the pricing results simplify to Black-Scholes formulas for call and put options. The model developed in this paper relates implied Black-Scholes volatility for equity options to structural characteristics such as leverage and the debts protective covenants. Options priced by the proposed model are characterized by Black-Scholes implied volatilities which are decreasing in striking price. Moreover, equity options on firms with protected debt have more pronounced volatility skews than options on firms with unprotected debt. Finally, I show how to evaluate the term structure of default spreads for corporate interest-only strips. 237. quotExact Formulas for Expected Hedging Error and Transactions Costs in Option Replication. quot Klaus Bjerre Toft July 1994 In this paper, I derive exact formulas for expected hedging error and transactions costs in option replication for the Black-Scholes economy with exogenously fixed trading points. I derive the formulas using two different volatilities which allow the hedger to use a transactions costs adjusted volatility to determine the hedge portfolio. The expected hedging error is written in an easily recognized form. The four terms in the expectation can be interpreted as terms from Black and Scholes (1973) formula with adjusted parameters. This interpretation holds for all future hedging periods even though the expectation is conditional on the stock price at the time of the hedging schemes initiation. I also derive an approximation of the expected transactions costs. This approximation has a simple interpretation: for each of the future hedging periods, the approximate expected transactions costs incurred at the end of each hedging period are proportional to the options gamma with adjusted parameters, multiplied by the squared expected value of the underlying asset. For the risk neutral economy with no volatility adjustment, I show that present values of the approximate expected transactions costs are identical for each of the future hedging intervals. Moreover, I illustrate that the approximation to the expected transactions costs is accurate except for hedging periods close to the maturity of the contingent claim. Here, the exact expectation tends to be larger than the approximation, even though the expectation is taken only with knowledge of the initial stock price. Finally, I derive an approximation of the variance of the hedging schemes cash-flow (the hedging error minus the transactions costs) for each of the future hedging periods. This approximation facilitates evaluation of the tradeoff between cost and variance of the replication strategy. 236. quotDynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets. quot Domenico Cuoco and Hua H138 June 1994 This paper constructs a representative agent supporting the equilibrium allocation in event-tree economies with time-additive preferences and possibly incomplete securities markets. If the equilibrium allocation is Pareto optimal, this construction gives the usual linear welfare function. Otherwise, the representative agents utility function is state-dependent, even when individual agents have state-independent utilities and homogeneous beliefs. The existence of a representative agent allows us to provide a characterization of equilibria which does not rely on the derivation of the agents intertemporal demand functions for consumption and investment. More specifically, it allows us to transform the dynamic general equilibrium problem into a static one, and is therefore especially well suited for numerical computation of equilibria in economies with incomplete financial markets. 235. quotMarket Structure and Liquidity on the Tokyo Stock Exchange. quot Bruce N. Lehmann and David M. Modest March 1994 Most equity market mechanisms have designated market makers who provide continuous liquidity. This is not the case on one of the largest and most active stock markets in the world: the Tokyo Stock Exchange (TSE). Its designated intermediaries are merely order clerks called saitori, who log limit orders in a public limit order book and match incoming market orders against them in accordance with strict rules based on price, time, and size priority. On the TSE, orders from the investor public, not from designated market makers, bridge temporal fluctuations in the demand for liquidity. In this paper, we study the chui and tokubetsu kehai (warning and special quote) mechanisms of the TSE. Since no designated market maker stands ready to absorb transient order flow variation, these procedures provide for flagging possibly transient order imbalances and for routinely halting trade to attract orders when particular kinds of order imbalances occur. Such mechanisms always trade the benefits of attracting more liquidity to the marketplace against the cost of impeding the price discovery process and the immediacy of execution. We establish several facts about the impact of these mechanisms on market liquidity. Investors seldom trip the trading halt mechanisms of the TSE and, when they do, they usually execute all or part of their order at the warning quote, a price known in advance. Traders are more likely to trigger indicative quote dissemination and temporary trading halts when the market is relatively volatile, particularly around the morning open and after delayed opens. The volume of trade is similar when orders do and do not result in trading halts, an economically sensible result since the ex ante limit order books should be identical. Substantially larger trades and special quote trading halts (which provide for price discovery through orderly quote changes), a result that is also intuitively plausible. What is perhaps surprising is not that these result accord with intuition but rather that they conform to it so well. 234. quotTrading and Liquidity on the Tokyo Stock Exchange: A Birds Eye View. quot Bruce N. Lehmann and David M. Modest April 1994 The trading mechanism for equities on the Tokyo Stock Exchange (TSE) stands in sharp contrast to the primary mechanisms used to trade stocks in the United States. In the U. S. exchange-designated specialists have affirmative obligations to provide continuous liquidity to the market. Specialists offer simultaneous and tight quotes to both buy and sell and supply sufficient liquidity to limit the magnitude of price changes between consecutive transactions. In contradistinction, the TSE has no exchange-designated liquidity suppliers. Instead, liquidity is provided through a public limit order book and liquidity is organized through restrictions on maximum price changes between trades which serve to slow down trading. In this paper, we examine the efficacy of the TSEs trading mechanisms at providing liquidity. Our analysis is based on a complete record of transactions and best-bid and best-offer quotes for most stocks in the First Section of the TSE over a period of 26 months. We study the size of the bid-ask spread and its cross - sectional and intertemporal stability intertemporal patterns in returns, volatility, volume, trade size, and the frequency of trades and market depth based on the response of quotes to trades and the frequency of trading halts and warning quotes. 233. quotCorporate Debt Value, Bond Covenants, and Optimal Capital Structure. quot Hayne E. Leland January 1994 This paper examines corporate debt values and capital structure in a unified analytical framework. It derives closed form results for the value of long-term risky debt and yield spreads, and for optimal capital structure, when firm asset value follows a diffusion process with constant volatility. Debt values and optimal leverage are explicitly linked to firm risk, taxes, bankruptcy costs, riskfree interest rates, payout rates, and bond covenants. The results elucidate the different behavior of junk bonds vs. investment grade bonds, and aspects of asset substitution, debt repurchase, and debt renegotiation. 232. quotImplied Binomial Trees. quot Mark Rubinstein January 1994 Despite its success, the Black-Scholes formula has become increasingly unreliable over time in the very markets where one would expect it to be most accurate. In addition, attempts by financial economists to extract probabilistic information from option prices have been puny in comparison to what is clearly possible. This paper develops a new method for inferring risk-neutral probabilities (or state - contingent prices) from the simultaneously observed prices of European options. These probabilities are then used to infer a unique fully specified recombining binomial tree that is consistent with these probabilities (and hence consistent with all the observed option prices). If specified exogenously, the model can also accommodate local interest rates and underlying asset payout rates which are general functions of the concurrent underlying asset price and time. In a 200 step lattice, for example, there are a total of 60,301 unknowns: 40,200 potentially different move sizes, 20,100 potentially different move probabilities, and 1 interest rate to be determined from 60,301 independent equations, many of which are non-linear in the unknowns. Despite this, a backwards recursive solution procedure exists which is only slightly more time-consuming than for a standard binomial tree with given constant move sizes and move probabilities. Moreover, closed-form expressions exist for the values and hedging parameters of European options maturing with or before the end of the tree. The tree can also be used to value and hedge American and several types of exotic options. Interpreted in terms of continuous-time diffusion processes, the model here assumes that the drift and local volatility are at most functions of the underlying asset price and time. But instead of beginning with a parameterization of these functions (as in previous research), the model derives these functions endogenously to fit current option prices. As a result, it can be thought of as an attempt to exhaust the potential for single state-variable path-independent diffusion processes to rectify problems with the Black - Scholes formula that arise in practice. 231. quotOptimal Transparency in a Dealership Market with an Application to Foreign Exchange. quot Richard K. Lyons September 1993 This paper addresses the issue of optimal transparency in a multiple-dealer market. In particular, we examine the question: Would risk-averse dealers prefer ex-ante that signed order flow were observable We answer this question with the solution to a mechanism design problem. The resulting incentive-efficient mechanism is one in which signed order flow is not observable. Rather, dealers prefer a slower pace of price discovery because it induces additional risk-sharing. Specifically, slower price discovery permits additional trading with customers prior to revelation this reduces the variance of unavoidable position disturbances, thereby reducing the marketmaking risk inherent in price discovery. We then apply the framework to the spot foreign exchange market in order to understand better the current degree of transparency in that market. 230. quotTests of Microstructural Hypotheses in the Foreign Exchange Market. quot Richard K. Lyons August 1993 This paper introduces a three-part transactions dataset to test various microstructural hypotheses about the spot foreign exchange market. In particular, we test for effects of trading volume on quoted prices through the two channels stressed in the literature: the information channel and the inventory-control channel. We find that trades have both a strong information effect and a strong inventory-control effect, providing support for both strands of microstructure theory. The bulk of equity-market studies also find an information effect however, these studies typically interpret this as evidence of inside information. Since there are no insiders in the foreign exchange market, this finding suggests a broader conception of the information environment, at least in this context. 229. quotThe Economic Functions of Derivatives: An Academicians Point of View. quot David Pyle July 1993 The question of the economic functions of derivatives has been widely discussed in the financial economics literature. In this paper, I focus on the sources of economic efficiency gains from the use of derivatives. These sources include helping to complete capital markets, lowering transaction costs, and reducing agency costs. Many of these functions can be obtained by using primary securities so an important question is what characteristics of derivatives account for their enhanced efficiency and utility relative to the assets that underlie them. Three characteristics are identified and discussed: 1) the dependence of derivative value on changes in the value of underlying assets, 2) the positive dependence of some derivative values on asset volatility, and 3) the non-linear payoffs provided by some derivatives. 228. quotDifferential Information and Dynamic Behavior of Stock Trading Volume. quot Hua He and Jiang Wang May 1993 We develop a multi-period model of stock trading in which investors receive differential information concerning the underlying value of the stock. Investors trade competitively in the market based on their own private information and the information revealed by the market clearing prices as well as other public news. By showing that the hierarchy of expectations (i. e. forecasting the forecasts of others) is a closed system, we resolve the infinite regress problem that is common to intertemporal models with differential information and derive a rational expectations equilibrium. We analyze the dynamic behavior of equilibrium trading volume. In particular, we examine how trading volume is related to the information flow to the market and how investors trading reveals their private information. 227. quotThe U. S. Savings and Loan Crisis. quot David H. Pyle April 1993 226. quotLong-Term Debt Value, Bond Covenants, and Optimal Capital Structure. quot Hayne Leland February 1993 225. quotLiquidation Costs and Risk-Based Bank Capital. quot Helena M. Mullins and David H. Pyle January 1993. Bank capital rules which do not recognize audit costs, liquidation costs and portfolio diversification can seriously underestimate actuarially fair capital requirements. If depositors do not have access to low cost alternatives, the effect of higher requirements can be imposed on them. Otherwise, they need absorb only costs associated with minimum-risk, minimum-cost assets. If borrowers have direct access to financial markets or can borrow from uninsured, less highly levered institutions, insured banks facing a fair risk-based capital requirement and fixed premium cannot attract them. A schedule of required capital and insurance premium pairs would allow banks to retain investment flexibility. Top of PageEgyptian Exchange: Organizational Structure, Trading System, Indices Economic Factors Osama Wagdi Modern University for Technology and Information (MTI) Scientific Journal of Economic and Commerce, Ain Shams University, vol.4. Abstract: In 2/7/2008, Cairo Stock Exchange and Alexandria Stock Exchange are merger under new name this name is Egyptian Exchange (EGX) today Egyptian Exchange (EGX) has 4 equity indices (EGX100, EGX70, EGX30 and EGX20 and 12 sectors indices. EGX trading system has evolved over the last ten years, we find that in application same day trading, margin and development of disclosure rules, but it needs to implementation short-selling and derivatives. Finally, from analysis EGX30 data and some of Economic Factors between 2003 for 2010, the study found significant Positive relationship between EGX30 return with foreign direct investment and tourism (at 1 level), but significant negative relationship with exchange rate (at 1 level) and unemployment rate (at 5 level). As for inflation did not have a correlation with EGX30, the inflation is suffers from government intervention in Market mechanisms, especially prices of bread. Number of Pages in PDF File: 16 Keywords: EGX, Egyptian Exchange, Cairo Alexandria Stock Exchange, indices, trading system, Economic Factors, exchange rate, inflation, FDI, Egypt. JEL Classification: G10 Date posted: April 4, 2014 Last revised: October 16, 2014 Suggested Citation Wagdi, Osama, Egyptian Exchange: Organizational Structure, Trading System, Indices Economic Factors (April 2, 2014). Scientific Journal of Economic and Commerce, Ain Shams University, vol.4. Available at SSRN: ssrn/abstract2419539 Contact Information Osama Wagdi (Contact Author) Modern University for Technology and Information (MTI) ( email )
Einführung in die Phantom Stock und SARs Obwohl die Belohnung von Mitarbeitern mit Unternehmensbestand bietet zahlreiche Vorteile für Arbeitnehmer und Arbeitgeber gibt es Zeiten, wenn entweder rechtliche Bedenken oder die Unfähigkeit, zusätzliche Aktien oder verschieben teilweise Kontrolle über das Unternehmen an einen Mitarbeiter kann dazu führen, dass Unternehmen zu Verwenden Sie eine alternative Form der Entschädigung, die keine Ausgabe von Aktien erforderlich macht. Phantom Stock Pläne und Stock Appreciation Rights (SARs) sind zwei Arten von Aktienplänen, die nicht wirklich Lager überhaupt, aber immer noch belohnen Mitarbeiter mit Entschädigung, die an die companys Aktienperformance gebunden ist. Phantom Stock Auch bekannt als Schattenbestand, diese Art von Aktienplan zahlt einen Geldpreis an einen Mitarbeiter, der eine festgelegte Anzahl oder Anteil der Aktien der Gesellschaft entspricht der aktuelle Aktienkurs. Die Höhe der Auszeichnung wird in der Regel in Form von hypothetische...
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