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on Financial Markets |
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Issue of 2019‒03‒18
seven papers chosen by |
| By: | Karpouzis, Efstathios; Bouras, Chris; Kanas, Angelos |
| Abstract: | We construct a novel hand-collected large data set of 205 U.S. hedge funds and 1031 activist events over the period 2005-2013, which records both the Schedule 13D filing date and the voicing date, and explore the role of voicing in value creation. We employ alternative inferential statistical approaches, including parametric, non-parametric, and heteroscedasticity-robust tests along with bootstrapping. We reveal that the voice date is important in creating short-term firm value, and provide strong evidence that voicing is associated with positive abnormal returns. These abnormal returns are approximately 1.11%, and are higher than the abnormal returns around the Schedule13D date by approximately 64%. There is also evidence of positive voice abnormal returns for voicing events which lead Schedule 13D events. The results are robust to models of abnormal returns allowing for leverage effects, and to alternative inferential statistical procedures. These findings suggest that voicing leads to information revelation, with implications for U.S. stock market arbitrage and the regulation for hedge fund activism information disclosure. |
| Keywords: | We construct a novel hand-collected large data set of 205 U.S. hedge funds and 1031 activist events over the period 2005-2013, which records both the Schedule 13D filing date and the voicing date, and explore the role of voicing in value creation. We employ alternative inferential statistical approaches, including parametric, non-parametric, and heteroscedasticity-robust tests along with bootstrapping. We reveal that the voice date is important in creating short-term firm value, and provide strong evidence that voicing is associated with positive abnormal returns. These abnormal returns are approximately 1.11%, and are higher than the abnormal returns around the Schedule13D date by approximately 64%. There is also evidence of positive voice abnormal returns for voicing events which lead Schedule 13D events. The results are robust to models of abnormal returns allowing for leverage effects, and to alternative inferential statistical procedures. These findings suggest that voicing leads to information revelation, with implications for U.S. stock market arbitrage and the regulation for hedge fund activism information disclosure. |
| JEL: | G14 G23 G3 |
| Date: | 2019–03–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:92576&r=all |
| By: | Pablo A. Guerron-Quintana (Boston College and Espol); Ryo Jinnai (Hitotsubashi University) |
| Abstract: | In models of financial frictions, stock market booms tend to follow adverse liquidity shocks. This finding is clearly at odds with the data. We demonstrate that this counterfactual result is specific to real business cycle models with exogenous growth. Once we allow for both endogenous productivity and growth, this puzzling price dynamics easily disappear. Intuitively, the gloomy economic-growth outlook following the adverse liquidity shocks generates a predictable and negative long-run component in dividend growth, leading to the collapse of equity prices. |
| Date: | 2019–03–13 |
| URL: | http://d.repec.org/n?u=RePEc:boj:bojwps:wp19e04&r=all |
| By: | Zura Kakushadze; Willie Yu |
| Abstract: | We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is significant and discuss it in the context of liquidity considerations as well as its implications for cryptoasset trading. |
| Date: | 2019–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1903.06033&r=all |
| By: | Guglielmo Maria Caporale; Luis A. Gil-Alana; Kefei You |
| Abstract: | This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China stock market crash on the pattern of stock market co-movement. The main findings are the following. All stock indices exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China, except between Indonesia and China in the case of the financial sector. The 2007-8 global financial crisis and the 2015 Chinese stock market plunge weakened the linkages between the ASEAN five and both China and the US. The implications of these results for market participants and policy makers are discussed. |
| Keywords: | Asian stock markets, financial integration, fractional integration, fractional cointegration |
| JEL: | C22 C32 G11 G15 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_7537&r=all |
| By: | Abramov, Alexander (Абрамов, Александр) (The Russian Presidential Academy of National Economy and Public Administration); Radygin, Alexander (Радыгин, Александр) (The Russian Presidential Academy of National Economy and Public Administration); Chernova, Maria (Чернова, Мария) (The Russian Presidential Academy of National Economy and Public Administration) |
| Abstract: | Analysis of open-ended mutual investment bond funds held for the period 2011-2018. The choice of benchmarks is complicated by a small number of indices and short intervals of their calculation by suppliers of indices. To assess the effectiveness of portfolios, two approaches were used: one-factor model (analogue of CAPM) and a multi-factor model (analogue of Carhart and Fam-French models). The multifactor model, along with the market premium, includes factors representing the market risk of equity, the risk of duration and the risk of default. The stock market factor is an indicator of general economic conditions, and other risk factors are risks in the bond market. Most of the premiums for the studied risk factors are significantly different from zero. For all premiums, high volatility and variability of signs in separate periods means the manifestation of the main feature of factor strategies - the need to follow them for a long time. |
| Date: | 2019–02 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:wpaper:021929&r=all |
| By: | Rituparna Sen; Manavthi S |
| Abstract: | Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of other markets are also observed in Indian market, there are significant deviations in three main aspects, namely leverage, asymmetry and autocorrelation. Leverage and asymmetry are both reversed making this a more promising market to invest in. While significant autocorrelation observed in the returns points towards market inefficiency, the increased predictive power is better for investors. |
| Date: | 2019–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1903.05322&r=all |
| By: | Elasrag, Hussein |
| Abstract: | This paper focuses on analyzing the innovative technology “Blockchain” and the potential of blockchain-based applications for Islamic finance. The main objectives were to define how blockchain can change the Islamic finance industry. The paper discussed the various interesting applications of blockchain in Islamic finance that can bring different benefits. The paper also shed light on the challenges facing Applying Blockchains for Islamic finance . |
| Keywords: | blockchain, Islamic finance,waqf,zakat,Smart Sukuk ,Takaful |
| JEL: | G2 I3 Z12 |
| Date: | 2019–03–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:92676&r=all |