for Journals by Title or ISSN for Articles by Keywords help

Publisher: Springer-Verlag (Total: 2349 journals)

 Annals of FinanceJournal Prestige (SJR): 0.579 Citation Impact (citeScore): 1Number of Followers: 30      Hybrid journal (It can contain Open Access articles) ISSN (Print) 1614-2454 - ISSN (Online) 1614-2446 Published by Springer-Verlag  [2349 journals]
• Debt financing in private and public firms
• Authors: Kim P. Huynh; Teodora Paligorova; Robert Petrunia
Pages: 465 - 487
Abstract: Using administrative confidential data on the universe of Canadian corporate firms, we compare debt financing choices of private and public firms. Private firms have higher leverage ratios, which are entirely driven by private firms’ stronger reliance on short-term debt. Further, private firms rely more of leverage during economic expansions, while public firms rely on equity financing. Specifically, private firms manage to increase their long-term debt during expansions, while short-term debt is used during downturns. Our findings have implications for a better understanding of the role of asymmetric information in private firms’ capital structure decisions.
PubDate: 2018-11-01
DOI: 10.1007/s10436-018-0323-6
Issue No: Vol. 14, No. 4 (2018)

• On relative performance, remuneration and risk taking of asset managers
• Authors: Emilio Barucci; Gaetano La Bua; Daniele Marazzina
Pages: 517 - 545
Abstract: We analyze the asset management problem when the manager is remunerated through a scheme based on the performance of the fund with respect to a benchmark and his/her choices are driven by a power utility function. We show that it is not the asymmetric-fulcrum type feature of the scheme that makes the difference in preventing excessive risk taking in case of a poor performance. To prevent gambling when the performance deteriorates, it is important not to provide a fixed fee to the asset manager, and that remuneration is sensitive to a very poor relative performance as in the case of a capital stake or of a management fee with flow funds. We provide empirical evidence on the mutual fund industry showing excessive risk taking in case of a very poor performance and limited risk taking in case of overperformance with respect to the benchmark. These results agree with a remuneration scheme including a fixed fee and a cap.
PubDate: 2018-11-01
DOI: 10.1007/s10436-018-0324-5
Issue No: Vol. 14, No. 4 (2018)

• The pricing kernel puzzle: survey and outlook
• Authors: Horatio Cuesdeanu; Jens Carsten Jackwerth
Pages: 289 - 329
Abstract: It has been a while since the literature on the pricing kernel puzzle was summarized in Jackwerth (Option-implied risk-neutral distributions and risk-aversion, The Research Foundation of AIMR, Charlotteville, 2004). That older survey also covered the topic of risk-neutral distributions, which was itself already surveyed in Jackwerth (J Deriv 2:66–82, 1999). Much has happened in those years and estimation of risk-neutral distributions has moved from new and exciting in the last half of the 1990s to becoming a well-understood technology. Thus, the present survey will focus on the pricing kernel puzzle, which was first discussed around 2000. We document the pricing kernel puzzle in several markets and present the latest evidence concerning its (non-)existence. Econometric studies are detailed which test for the pricing kernel puzzle. The present work adds much breadth in terms of economic explanations of the puzzle. New challenges for the field are described in the process.
PubDate: 2018-08-01
DOI: 10.1007/s10436-017-0317-9
Issue No: Vol. 14, No. 3 (2018)

• How does competition affect real earnings management to meet or beat
targets' Evidence from import tariff reductions
• Authors: Alex Young
Pages: 331 - 342
Abstract: Targets provide incentives for earnings management, and a longstanding question is whether earnings management is undertaken opportunistically or to communicate private information about future firm value. To discriminate between these motivations, I follow analytical research showing that an increase in competition through a large decrease in tariffs disciplines managers and better aligns their interests with those of shareholders. Thus, if earnings management reflects managerial opportunism, then an increase in competition will decrease earnings management; and if it signals future performance expectations, then an increase in competition will increase earnings management. Consistent with earnings management indicating managerial opportunism, I show that an increase in competition decreases real earnings management to avoid reporting negative earnings or a negative change in earnings. In addition, by showing that the lessening of trade barriers through import tariff reductions reduces the use of real earnings management to meet or beat earnings targets, I provide evidence on the role of macroeconomic conditions as a determinant of earnings quality.
PubDate: 2018-08-01
DOI: 10.1007/s10436-017-0313-0
Issue No: Vol. 14, No. 3 (2018)

• A nonparametric quantity-of-quality approach to assessing financial asset
return performance
• Authors: M. Ryan Haley
Pages: 343 - 351
Abstract: This paper adapts two recent developments from the bibliometric literature to the problem of assessing the return performance of a financial asset. The result is a quantity-of-quality metric, which is both nonparametric and moment-free. As such, it offers a nonstandard perspective on the informational patterns in asset returns, and accordingly can complement traditional moment-based asset evaluation methods. The proposed approach is simple to apply, and while moment-free, captures intuitively important aspects of asset performance such as location, upside potential, downside risk, and volatility. It can also be expressed as a reward-to-risk ratio, which serves as a counterpart to the Sharpe ratio. Empirical and simulation results suggest that, relative to the Sharpe ratio, the proposed approach prefers assets with moderately higher means and standard deviations, and more favorable skewness.
PubDate: 2018-08-01
DOI: 10.1007/s10436-018-0319-2
Issue No: Vol. 14, No. 3 (2018)

• What determines the share of non-resident public debt ownership'
Evidence from Euro Area countries
• Authors: João Tovar Jalles
Pages: 379 - 414
Abstract: This paper provides, for the first time, a detailed picture of the composition of public debt by type of holder (foreign vs. domestic) and type of holding institution for a set of 7 Euro Area countries between 1991Q1 and 2015Q4. In addition, it empirically inspects the determinants of nonresident public debt ownership, accounting for both domestic and external factors and paying special attention to the global financial crisis period. Using a previously unexplored dataset and by means of panel and country-specific time series regressions, we find that improved fiscal positions, systemic stress and financial volatility, a strong business cycle position, all increase share of public debt held by non-residents. Also, a higher share of monetary and financial institutions cross-border holdings of sovereign debt issued by the other Euro Area countries was correlated with higher share of public debt held by non-residents. Finally, results are robust to outliers inspection and other sensitivity checks.
PubDate: 2018-08-01
DOI: 10.1007/s10436-018-0321-8
Issue No: Vol. 14, No. 3 (2018)

• Modeling the inconsistency in intertemporal choice: the generalized
Weibull discount function and its extension
• Authors: Salvador Cruz Rambaud; Isabel González Fernández; Viviana Ventre
Pages: 415 - 426
Abstract: The aim of this paper is to obtain the family of the so-called generalized Weibull discount functions, introduced by Takeuchi (Game Econ Behav 71:456–478, 2011), by deforming the q-exponential discount function by means of the Stevens’ “power” law. The obtained discount functions exhibit different degrees of inconsistency and so they can be classified according to the value of their characteristic deforming parameters. Moreover, we extend the construction of the generalized Weibull discount function starting from any discount function instead of the q-exponential discounting. In any case, the value of the parameter $$\theta$$ of these new discount functions is extended from (0, 1] to the union of the intervals $$(-\,\infty ,0) \cup (0,+\,\infty )$$ .
PubDate: 2018-08-01
DOI: 10.1007/s10436-018-0318-3
Issue No: Vol. 14, No. 3 (2018)

• Correction to: Modeling the inconsistency in intertemporal choice: the
generalized Weibull discount function and its extension
• Authors: Salvador Cruz Rambaud; Isabel González Fernández; Viviana Ventre
Pages: 427 - 427
Abstract: In the original publication, the second author’s name was incorrect. The correct name should be Isabel González Fernández.
PubDate: 2018-08-01
DOI: 10.1007/s10436-018-0322-7
Issue No: Vol. 14, No. 3 (2018)

• Semi-nonparametric approximation and index options
• Authors: Julia Jiang; Weidong Tian
Abstract: In an arbitrage-free securities market, all state-contingent claims and the stochastic discount factors can be approximated appropriately by index options with a semi-nonparametric method. These index options are constructed by efficient algorithms and uniform approximation error under these efficient algorithms are derived. This paper suggests a method to examine state-contingent claims and stochastic discount factors using index options in financial market regardless the market is complete or not.
PubDate: 2018-11-12
DOI: 10.1007/s10436-018-0341-4

• Change point dynamics for financial data: an indexed Markov chain approach
• Authors: Guglielmo D’Amico; Ada Lika; Filippo Petroni
Abstract: This paper uses an Indexed Markov Chain to model high frequency price returns of quoted rms. Introducing an Index process permits consideration of endogenous market volatility, and two important stylized facts of financial time series can be taken into account: long memory and volatility clustering. This paper rst proposes a method to optimally determine the state space of the Index process, which is based on a change-point approach for Markov chains. Furthermore, we provide an explicit formula for the probability distribution function of the rst change of state of the Index process. Results are illustrated with an application to intra-day firm prices.
PubDate: 2018-10-13
DOI: 10.1007/s10436-018-0337-0

• Extreme-strike asymptotics for general Gaussian stochastic volatility
models
• Authors: Archil Gulisashvili; Frederi Viens; Xin Zhang
Abstract: We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen–Loève expansion for the integrated variance, and using sharp estimates of the density of a general second-chaos variable, we derive asymptotics for the asset price density for large or small values of the variable, and study the wing behavior of the implied volatility in these models. Our main result provides explicit expressions for the first three terms in the expansion of the implied volatility, based on three basic spectral-type statistics of the Gaussian process: the top eigenvalue of its covariance operator, the multiplicity of this eigenvalue, and the $$L^{2}$$ norm of the projection of the mean function on the top eigenspace. Numerical illustrations using the Stein–Stein and fractional Stein–Stein models are presented, including strategies for parameter calibration.
PubDate: 2018-10-01
DOI: 10.1007/s10436-018-0338-z

• A switching self-exciting jump diffusion process for stock prices
• Authors: Donatien Hainaut; Franck Moraux
Abstract: This study proposes a new Markov switching process with clustering effects. In this approach, a hidden Markov chain with a finite number of states modulates the parameters of a self-excited jump process combined to a geometric Brownian motion. Each regime corresponds to a particular economic cycle determining the expected return, the diffusion coefficient and the long-run frequency of clustered jumps. We study first the theoretical properties of this process and we propose a sequential Monte-Carlo method to filter the hidden state variables. We next develop a Markov Chain Monte-Carlo procedure to fit the model to the S&P 500. We find that self-exciting jumps occur mainly during economic recession and nearly disappear in periods of economic growth. Finally, we analyse the impact of such a jump clustering on implied volatilities of European options.
PubDate: 2018-09-29
DOI: 10.1007/s10436-018-0340-5

• Optimal demand in a mispriced asymmetric
• Authors: Winston Buckley; Sandun Perera
Abstract: We employ a simple numerical scheme to compute optimal portfolios and utilities of informed and uninformed investors in a mispriced Carr–Geman–Madan–Yor (CGMY) Lévy market under information asymmetry using instantaneous centralized moments of returns (ICMR). We also investigate the impact on investors’ demand for stocks and indices at different levels of asymmetric information, mispricing, investment horizon, jump intensity, and volatility. Our simulations not only confirm that uninformed expected demand falls as information asymmetry increases but also offer strong evidence that informed expected demand behaves in a similar manner. In particular, expected demand of informed investors falls whenever information asymmetry exceeds 50%. The investor that demands more of the risky asset maintains that position over the entire investment horizon at each level of mispricing and information asymmetry. The absolute difference in expected demand between the uninformed and informed investors increases with the investment horizon, but decreases with the level of information asymmetry.
PubDate: 2018-09-20
DOI: 10.1007/s10436-018-0335-2

• Correction to: Analysis of the SRISK measure and its application to the
• Authors: Thomas F. Coleman; Alex LaPlante; Alexey Rubtsov
Abstract: In the original publication, Table 6 was incorrect. The correct version of Table 6 is given for your reading. The original article has been corrected
PubDate: 2018-09-15
DOI: 10.1007/s10436-018-0332-5

• Implied liquidity risk premia in option markets
• Authors: Florence Guillaume; Gero Junike; Peter Leoni; Wim Schoutens
Abstract: The theory of conic finance replaces the classical one-price model by a two-price model by determining bid and ask prices for future terminal cash flows in a consistent manner. In this framework, we derive closed-form solutions for bid and ask prices of plain vanilla European options, when the density of the log-returns is log-concave. Assuming that log-returns are normally or Laplace distributed, we apply the results to a time-series of real market data and compute an implied liquidity risk premium to describe the bid–ask spread. We compare this approach to the classical attempt of describing the spread by quoting Black–Scholes implied bid and ask volatilities and demonstrate that the new approach characterize liquidity over time significantly better.
PubDate: 2018-09-14
DOI: 10.1007/s10436-018-0339-y

• Optimal risk-averse timing of an asset sale: trending versus
mean-reverting price dynamics
• Authors: Tim Leung; Zheng Wang
Abstract: This paper studies the optimal risk-averse timing to sell a risky asset. The investor’s risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price— the geometric Brownian motion and exponential Ornstein–Uhlenbeck models—to account for, respectively, the trending and mean-reverting price dynamics. In all cases, we derive the optimal thresholds and certainty equivalents to sell the asset, and compare them across models and utilities, with emphasis on their dependence on asset price, risk aversion, and quantity. We find that the timing option may render the investor’s value function and certainty equivalent non-concave in price. Numerical results are provided to illustrate the investor’s strategies and the premium associated with optimally timing to sell.
PubDate: 2018-09-11
DOI: 10.1007/s10436-018-0336-1

• Inconspicuousness and obfuscation: how large shareholders dynamically
manipulate output and information for trading purposes
• Authors: Bart Taub
Abstract: I model a large shareholder who can affect firm fundamentals. I demonstrate that the large shareholder amplifies the component of his private information that is unforecastable by uninformed traders and thus alters the fundamental value of the firm to facilitate his trading profits: he obfuscates. I then construct a continuous time dynamic version of the model using Fourier transform methods. In the dynamic model, the large shareholder does not just simply amplify the unforecastable part of the fundamental: he also alters its stochastic structure. The model thus marries market microstructure with real resource allocation. There are two consequences: (i) the large shareholder induces the fundamental value of the firm to more closely mimic the noise traders, and (ii) market liquidity is reduced.
PubDate: 2018-08-23
DOI: 10.1007/s10436-018-0334-3

• Endogenous heterogeneity in duopoly with deterministic one-way spillovers
• Authors: Adriana Gama; Isabelle Maret; Virginie Masson
Abstract: This paper examines the standard symmetric two-period R&D duopoly model, but with a deterministic one-way spillover structure. Though the two firms are ex-ante identical, one obtains a unique pair of asymmetric equilibria of R&D investments, leading to inter-firm heterogeneity in the industry, in R&D roles as well as in unit costs. We analyze the impact of a change in the spillover parameter and R&D costs on firms’ levels of R&D and profits. We find that higher spillovers need not lead to lower R&D investments for both firms. In addition, equilibrium profits may improve due to the presence of spillovers, and it may be advantageous to be the R&D imitator rather than the R&D innovator.
PubDate: 2018-08-21
DOI: 10.1007/s10436-018-0329-0

• Option pricing under fast-varying and rough stochastic volatility
• Authors: Josselin Garnier; Knut Sølna
Abstract: Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the origin. Another classic stylistic feature often assumed for the volatility is that it is mean reverting. In this paper it is shown that the price impact of a rapidly mean reverting rough volatility model coincides with that associated with fast mean reverting Markov stochastic volatility models. This reconciles the empirical observation of rough volatility paths with the good fit of the implied volatility surface to models of fast mean reverting Markov volatilities. Moreover, the result conforms with recent numerical results regarding rough stochastic volatility models. It extends the scope of models for which the asymptotic results of fast mean reverting Markov volatilities are valid. The paper concludes with a general discussion of fractional volatility asymptotics and their interrelation. The regimes discussed there include fast and slow volatility factors with strong or small volatility fluctuations and with the limits not commuting in general. The notion of a characteristic term structure exponent is introduced, this exponent governs the implied volatility term structure in the various asymptotic regimes.
PubDate: 2018-06-08
DOI: 10.1007/s10436-018-0325-4

• Analysis of the SRISK measure and its application to the Canadian banking
and insurance industries
• Authors: Thomas F. Coleman; Alex LaPlante; Alexey Rubtsov
Abstract: In this paper, we analyse, modify, and apply one of the most widely used measures of systemic risk, SRISK, developed by Brownlees and Engle (in Rev Financ Stud 30:48–79, 2016). The measure is defined as the expected capital shortfall of a firm conditional on a prolonged market decline. We argue that segregated funds, also known as separate accounts in the US, should be excluded from actuarial liabilities when SRISK is calculated for insurance companies. We also demonstrate the importance of careful analysis of accounting standards when specifying the prudential capital ratio used in SRISK methodology. Based on the proposed adjustments to SRISK, we assess the systemic risk of the Canadian banking and insurance industries. It is shown that in its current implementation, the SRISK methodology substantially overestimates the systemic risk of Canadian insurance companies.
PubDate: 2018-06-06
DOI: 10.1007/s10436-018-0326-3

JournalTOCs
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
Email: journaltocs@hw.ac.uk
Tel: +00 44 (0)131 4513762
Fax: +00 44 (0)131 4513327

Home (Search)
Subjects A-Z
Publishers A-Z
Customise
APIs