Séptimas Jornadas de Economía Monetaria e Internacional La Plata, 9 y 10 de mayo de 2002


 Annabel Knight
 1 years ago
 Views:
Transcription
1 Universidad Nacional de La Plaa Sépimas Jornadas de Economía Monearia e Inernacional La Plaa, 9 y 0 de mayo de 2002 The Term Srucure of Counry Risk and Valuaion in Emerging Markes Cruces, Juan José (Universidad de San Andrés), Buscaglia, Marcos (IAE School of Managemen and Business, Universidad Ausral) and Alonso, Joaquín (Mercado Abiero)
2 The Term Srucure of Counry Risk and Valuaion in Emerging Markes Juan José Cruces Marcos Buscaglia Joaquín Alonso Firs draf: January 2002 Absrac Mos praciioners add he counry risk o he discoun rae when valuing projecs in Emerging Markes. In addiion o he problems already poined ou in he lieraure, in his paper we claim ha such pracice leads o a procyclical bias in he valuaion of longerm projecs. The mismach beween he duraion of he projec and he duraion of he mos widely used measure of counry risk, J.P. Morgan s EMBI, leads o an overvaluaion of longerm projecs in good imes (upward sloping defaul risk) and o an undervaluaion of hem when shorerm defaul risk is high (he conrary is rue wih respec o shorerm projecs.) Using sovereign bond daa from five Emerging Markes, we esimae a simple model ha capures mos of he variaion of defaul probabiliies a differen horizons for a given counry a one poin in ime. This model can be used o solve he misesimaion problem. JEL classificaion codes: G5, G3 Keywords: Emerging Economies, Cos of Capial, Defaul Risk Universidad de San Andrés, Vicoria, Province of Buenos Aires, Argenina. address: IAE School of Managemen and Business, Universidad Ausral, Pilar, Province of Buenos Aires, Argenina. Tel.: address: Corresponding auhor. Mercado Abiero, S.A., Buenos Aires, Argenina. address:
3 I. Inroducion Projecs in emerging markes are generally perceived as riskier han oherwise similar projecs in developed counries. These addiional risks include currency inconveribiliy, civil unres, insiuional insabiliy, expropriaion, and widespread corrupion. Emerging markes (henceforh EM) are also more volaile han developed economies: heir business cycles are more inense, and inflaion and currency risks are higher. Several problems have resriced he use among praciioners of he Capial Asse Pricing Model (CAPM) or is inernaional version, he ICAPM 2, o calculae he cos of capial of projecs in EM. Firs, here is no complee agreemen abou he degree of inegraion of EM capial markes o he world marke (see Errunza and Losq, 985, and Bekaer e al., 200). Secondly, local reurns are nonnormal, show significan firsorder auocorrelaion (Bekaer e al., 998), and here are problems of liquidiy and infrequen rading. Finally, as correlaions beween local reurns and inernaional reurns are so low (see Harvey, 995), he cos of capial ha emerges from he use of hese models appears as oo low. These problems have lead praciioners o accoun for he addiional risks by making ad hoc adjusmens o he CAPM. Godfrey and Espinosa (996), for insance, propose o calculae he cos of capial in EM by using E[R i ]= ( R f US + Credi Spread ) + σ i * 0.60 * ( US E[Rm ] R US f ) () σ US where credi spread is he spread beween he yield of a U.S. Dollardenominaed EM sovereign bond and he yield of a comparable U.S. bond, and he erm preceding he las parenhesis is an adjused bea, ha is equivalen o 60% of he raio of he volailiy of he domesic marke o ha of he U.S. marke. 3 Neumeyer and Perri (200) find ha oupu in Argenina, Brazil, Korea, Mexico and Philippines is a leas wice as volaile as i is in Canada. 2 See Adler and Dumas (983). 3 The 60% adjusmen is due o he finding ha 40% of he volailiies of domesic markes are explained by variaions in credi qualiy. 2
4 Alhough here are differen versions of his model (see Pereiro and Galli, 2000, Abuaf and Chu, 994, and Harvey, 2000), all of hem add he counry risk o he U.S. risk free rae in order o define he EM s analog of he U.S. risk free rae. There are few sysemaic surveys of cos of capial esimaion pracices in EM, bu hose available show ha varians of his model are he mos widely used among praciioners. Pereiro and Galli (2000) show ha he vas majoriy of argenine corporaions (including financial and nonfinancial firms) add he counry risk o he US risk free rae. Keck e al. (998) find similar resuls in a survey of Chicago School of Business graduaes. Several objecions have been raised in he lieraure o he addiion of he counry risk o he discoun rae. Firs, he model lacks any sound heoreical foundaion (Harvey, 2000). Second, in mos versions of his model counry risk is double couned, since par of he variabiliy in marke reurns is correlaed wih counry risk (Esrada, 2000). The 60% adjusmen of Godfrey and Espinosa does no solve he problem, as i is compleely adhoc. Third, for inernaionally diversified invesors par of he counry risk is diversifiable, and hence i should no be included in he discoun rae. Fourh, alhough his model gives a unique discoun rae for all projecs, he addiional risks inheren o EM do no have a uniform impac on all firms and projecs (Harvey, 2000). Someimes he counry risk is high because he marke expecs a sharp devaluaion ha would deeriorae he public secor s financial posiion. A devaluaion, however, would benefi some secors (e.g., exporers), and damage ohers (e.g., imporers). 4 In his simple paper, we discuss anoher problem ha he addiion of counry risk in he discoun rae as in equaion () has; namely, ha i implicily assumes ha he defaulrisk erm srucure is fla, leading o a procyclical valuaion of long erm projecs in EM. The counry risk measures mos widely used are he ones given by J.P. Morgan s EMBI and EMBI+. Table I shows ha here is a grea crosscounry variabiliy in he average duraion of he EMBI Global as of Augus For example, an invesor considering wheher o locae an oherwise similar facory in Poland or in Hungary would be using for 4 Some propose o make addiional adjusmens o he discoun rae o reflec his. These adjusmens, however, also lack any sound foundaion. 3
5 Poland a counry spread corresponding o a duraion of 6 years, whereas in Hungary he would be using a spread associaed wih a duraion of 2.3 years. Using hese defaulrisk measures in he discoun rae o value longerm projecs would bear no addiional problem o he ones menioned above if he defaulrisk erm srucure were fla. Bu, in fac, his is no he case. In good imes, when capial is flowing o EM, risk spreads are low a he shor end of he curve, bu hey are upward sloping. In many insances, moreover, he defaulrisk erm srucure is downward sloping. This usually happens when he marke expecs a defaul in he shor erm. The mismach beween he duraion of he projec and he duraion of he EMBI leads o an overvaluaion of longerm projecs in good imes and o an undervaluaion of hem when defaul risk is high (he conrary is rue wih respec o shor erm projecs.) Figure I.A. illusraes his poin. While in Augus 200 Mexico and Russia had similar spreads on bonds wih shor duraions, Russia s risk was much higher a longer horizons. A mechanical applicaion of equaion () would ignore hese daa, which are readily available from bond markes, and would have led o an undervaluaion of oherwise similar longerm projecs in Mexico relaive o Russia. Using sovereign bond daa from five Emerging Markes, in his paper we esimae a simple model ha capures mos of he variaion of defaul probabiliies a differen horizons for a given counry a one poin in ime. This model can be used o solve he missesimaion problem. The paper proceeds as follows. In Secion II we explain he model we use o esimae he defaulrisk erm srucure in EM sovereign deb markes and discuss he effecs ha a nonfla defaulrisk erm srucure has on he valuaion of projecs. In Secion III we describe he daa used o esimae he model. In Secion IV we presen he esimaion resuls. Secion V concludes. II. The Model Consider a perpeuiy ha promises o pay a coupon of $ c every period (a period represens one year for simpliciy). Le i be he expeced annual rae of reurn on his bond from 4
6 period zero up o period, γ he recovery value condiional on defaul, p he period probabiliy of paymen condiional on previous full paymen, and P he probabiliy of paymen periods from now. Given ha each coupon paymen has crossdefaul provisions wih every successive coupon, P measures he cumulaive probabiliy of no defaul from incepion up o period. Then, we can express he bond s curren value, Bo, as B 0 = = P c + P ( + i ) ( p ) γ (2) where he numeraor gives he expeced receips from he bond in period. For simpliciy, we assume ha he recovery value once here is a defaul on a sovereign bond is zero (i.e., γ = 0 ). This assumpion does no change he main resuls of his paper and avoids unnecessary complicaions in he esimaion. We also posulae ha 5 P p = αp β if = if 2 (3) so we can express B 0 P c = ( + i ) + = ( + 2 β αp c i ) (4) Noe ha his specificaion implies ha no necessarily p = p 2 = p 3 In his paper, we use daa from U.S. Dollardenominaed EM bonds o esimae equaion (3) and illusrae how differen implied values of α and β change he value of invesmen projecs relaive o ha assessed by he sandard pracice. 5 See Merrick (999) and Yawiz (977) for alernaive specificaions. 5
7 II.. Implicaions on Valuaion in EM Consider he case of a firm locaed in an EM whose mos likely oucome is ha i will produce a dividend of $ d (consan) per period forever. The sandard valuaion pracice in EM is o discoun he mos likely oucome (cenral scenario) a a consan discoun rae r ô. ô sands for he duraion of he bond porfolio used o measure he discoun rae as in equaion (). In his case, he value of he firm in our example can be calculaed as d d V ˆ = = ( + r ) (5) = r τ τ We call Vˆ miscalculaed value, for reasons ha will become apparen below. Tradiional finance heory suggess, however, ha we should discoun he expeced free cash flows by heir respecive expeced reurns. Using equaion (3), he rue value, V, of he firm in our example would be pd = + ( ) P d V (6) + f = ( + f ) 2 where f is he expeced reurn of invesing in his firm, and he numeraor gives he expeced dividend each period. In equaion (6), f does no include he counry risk and we can easily assume ha i is consan, bu every erm in is numeraor is lower han he corresponding one in equaion (5) due o he downward risks borne by projecs in EM (see Esrada, 2000). If perperiod defaul probabiliies were consan (i.e., could express V as P p = ), hen we V c d p + f p = (6b) where he subscrip c is added o sress ha a consan probabiliy of defaul is assumed. I is easy o show ha he r ha makes V ˆ =Vc, r c, is given by 6
8 r c + f p p = (7) Suppose now ha he defaulrisk erm srucure is as in equaion (3) 6. In his case he value of he firm, V v,, is 2β d α P V v = p + β (6c) + f + f P where he subscrip v indicaes ha defaul risk per period varies wih duraion. Again, for any value of á and â here is a value of r, r v, ha makes V ˆ =Vv. I is given by + f r v = (7b) 2β αp p + β + f P Tha is, when he defaulrisk erm srucure is nonfla, he mismach beween he duraion of he projec and he duraion of he bond porfolio used o measure he discoun rae as in equaion () inroduces a mispricing error, m, given by rc for τ = V r v v m = = V rτ forτ 2 rv (8) In Appendix I we show for = α = τ ha if > ( β <) β, hen r r r < r ). 7 v > c ( v c 6 Noe ha we are using he informaion given by counry risk in order o assess he probabiliy of receiving he mos likely dividend. The usual criicisms o his pracice have been oulined in Secion. Here we only wan o poin ou he problems originaed by implicily assuming a fla defaulrisk erm srucure. See Robichek and Myers (966) and Chen (967) for an old debae abou he effecs on discoun raes of alernaive assumpions abou he resoluion of uncerainy over ime. 7
9 III. The Daa We colleced effecive annual ask yields and duraions of nonguaraneed U.S. Dollardenominaed EM sovereign bonds (ypically called global bonds ). Daa are from Bloomberg for he las rading day of each monh since Sepember 995 unil December 200. Also included are comparable U.S. Treasury yields, which are aken as he risk free rae. The sample was narrowed o hose emerging counries which had daa for more han one bond a any poin hroughou he sample: Argenina, Brazil, Colombia, Ecuador, Mexico, Poland, Russia, Thailand, Turkey, and Venezuela. Since we focus on yields spaced oneyear appar saring one year from he beginning of each period, we furher narrowed he sample o counries whose shorer raded bond had a duraion greaer han 365 days. This resriced our sample o Argenina, Colombia, Mexico, Russia and Turkey. Appendix I liss he characerisics of all he included bonds. 8 Because he aim of his paper is o illusrae he effec of differen yield curve shapes on valuaion, we resriced our aenion o hree monhs ha seemed represenaive: April 997, January 2000 and Augus 200. Figure I repors he yield curves for he sample considered, which were consruced by linear inerpolaion of he available daa. Neverheless, plos of all he yield curves available are posed a hp://www.udesa.edu.ar/cruces/coc/yield_curves.pdf. We focused on effecive yields a inervals of one year up o where he available daa permied. From he no arbirage condiion beween year and and +year spo yield we 7 From he no arbirage condiion and our model of probabiliy of paymen [equaion (3)] we can deduce, for τ 2, ha r τ τ β α P τ β P + f =. α 8 The only bond ha is parially guaraneed is Russia99, which had debenures as collaeral. If he bond were sripped, he nonguaraneed par of he bond should have a greaer duraion and a higher yield, so he April 997 Russian yield curve would have had an even greaer downward slope han ha repored in Figure I.C. 8
10 compued he forward oneyear yield saring a ime for each counry (see Table II). For a bond ha carries no sysemaic risk, and assuming ha recovery condiional on defaul is zero [i.e. γ = 0 in (2)], he probabiliy of full paymen for period resuls from, ( r, ) = + i p, + (9) where r , is he oneyear risky forward rae saring in year  and i is he comparable risk free rae. When = boh raes are spo raes and p is he probabiliy of full paymen, while for >, boh raes are forward raes and p is he probabiliy of full paymen condiional on full paymen up o ime . Table I repors, for each counry, p, he cumulaive probabiliy of full paymen ha would resul from assuming α = β =, o and including ime implici in bond prices, P. P, and he probabiliy of full paymen from ime zero up Table II shows ha while on some occasions P P, i is ofen he case ha hey differ subsanially. As an example of our poin, Figure I.A repors ha Argenina has a negaively sloping yield curve. This ranslaes in a cummulaive probabiliy of full paymen up o year 0 implici in bond prices of 0.3 (Table II.A), which is much higher han wha would resul from compounding for en years he firs period probabiliy of full paymen (0.6). The converse is rue for Colombia, which has a seep yield curve in Augus 200. IV. Esimaion Resuls and heir Implicaions on Valuaion in EM IV.. Esimaion Resuls Wih hese daa in hand, we esimaed he empirical analog of equaion (3), β P = α P + e = 2,..., T (0) separaely for each counry and for each ime period, by nonlinear leas squares. The raionale behind separae esimaion is ha he yield curves in Figure I change dramaically across ime and counries so ha he efficiency gain resuling from join esimaion of he parameers would come a he expense of assuming a model wih consan parameers ha 9
11 is clearly inadequae. This shorcoming could be avoided by he use of condiioning informaion so ha alpha and bea depend on lagged insrumens. While ha is an ineresing approach ha we propose o explore in fuure research, i would lead us ino yield curve modelling, an issue beyond he scope of his paper. Table III repors he resuls of esimaing (0), and shows ha i provides a good fi o he sequence of defaul probabiliies implici in bond prices. All parameer signs agree wih he inuiion ha when sovereign spreads are upward sloping β s are greaer han one, and conversely when hey are decreasing. I is noeworhy ha all parameer esimaes are saisically significanly differen from one he mainained hypohesis in he sandard pracice refleced in equaion (5). Since β is he parameer ha affecs he cummulaive probabiliy of full paymen as ime passes, i is he one ha changes he mos as he economic environmen changes: from a minimum of abou 0.5 as counries approach defaul (Argenina in Augus 200 and Russia in April 997) o abou 5 when he yield curve seeps up. IV.2. Implicaions for Valuaion in Emerging Markes Table IV repors he main findings of his paper. For a range of parameer values ha are consisen wih he empirical esimaes of alpha, bea, P, and for values of i ha are consisen wih real reurns on longerm bonds, we show r v from (7b), he mispricing raio for τ = as in (8), V / V ˆ, and he duraion of a consan free cash flow projec. The op and boom panels only differ by he value of he riskfree rae (i). For 95 percen probabiliy of full paymen during he firs year, he shorerm risky rae is 9 percen when i is 4 percen and i jumps o 2 when i equals 6. When β is less han one, he shorerm sovereign spread is much higher han is longerm counerpar and he rue value of a longerm projec can be up o 54 percen higher han he value esimaed using a oneyear discoun rae and assuming a fla yield curve. On he conrary, when β is larger han one, he real value can be only onehird of he miscalculaed value. For a given β, higher values of α raise he rue value relaive o is esimaed one since higher α s raise expeced dividends. 0
12 Naurally, when he yield curve seeps up, he consan discoun rae ha would make he value of he projec from (5) equal o ha of (6) is much higher han he shor erm rae. V. Conclusions and Furher Research Several problems have resriced praciioners from using he CAPM in order o esimae discoun raes in Emerging Markes, and have led hem o accoun for he addiional risks of EM by adding he counry risk o he discoun rae. In his paper we claim ha such pracice does no make an efficien use of he informaion given by sovereign deb markes. In paricular, i does no accoun for he fac ha he defaulrisk erm srucure is nonfla, being upward sloping in good imes, and downward sloping when he shorerm defaul risk is high. The mismach beween he duraion of he projec and he duraion of he mos widely used measures of counry risk, J.P. Morgan s EMBI, leads o an overvaluaion of longerm projecs in good imes and o an undervaluaion of hem when defaul risk is high (he conrary is rue wih respec o shor erm projecs.) In his paper, using daa from five EM, we esimae a simple model of he erm srucure of defaulrisk and derive is implicaions on valuaion. We find ha by implicily assuming ha he erm srucure of defaul risk is fla, mispricing errors in he range of plus or minus 50 percen can be made for reasonable parameer values. This mispricing can be avoided by using daa ha are readily available from bond markes. To enrich he analysis, fuure research should be direced o he inclusion of recovery values and he use of condiioning informaion in a model of defaulrisk erm srucure.
13 Figure I. Yields on U.S. DollarDenominaed Sovereign Bonds Yield (% poins) Figure I.A. Augus 200 Turkey Duraion Argenina USA Russia Colombia Mexico Yield (% poins) Figure I.B. January 2000 Argenina Colombia USA Mexico Duraion Yield (% poins) Figure I.C. April 997 Russia Argenina Colombia USA Duraion
14 Table I: Average Duraion of Counry Componens of JP Morgan's EMBI Global Index Counry Duraion Algeria 3.05 Argenina 4.3 Brazil 4.94 Bulgaria 4.59 Chile 6.20 China 4.56 Colombia 5.40 Coe d'ivore 6.20 Croaia 3.80 Ecuador 5.90 Hungary 2.33 Lebanon 2.30 Malaysia 4.93 Mexico 4.93 Morocco 3.24 Nigeria.92 Panama 6.56 Peru 7.02 Philippines 7.4 Poland 6.0 Russia 5.78 Souh Africa 6.53 Souh Korea 3.79 Thailand 4.98 Turkey 5.95 Ukraine 2.59 Venezuela 4.5 Mean 4.77 Sandard Deviaion.52 Source: J.P. Morgan (2000)
15 Table II.A: Sovereign Raes and Implied Defaul Probabiliies  Augus 200 USA Argenina Colombia Mexico Forward Forward p P P Forward p P P Forward p P P Russia Forward p P Turkey P Forward p P P Noe: Based on closing prices from end of Augus 200of dollardenominaed sovereign bonds, aken from Bloomberg. The raes for he firs year are spo raes while for subsequen years hey are forward one year raes implied by he linearly inerpolaed yield curves of each counry assuming ha recovery value condiional on defaul is zero and ha EM bonds carry no sysemaic risk. Given crossdefaul provisions, he cummulaive probabiliy ha paymens in year will be honored in full and on ime is he produc of he probabiliy ha all paymens be made in like manner up o and including year. For Argenina in =6 in Table II.A is forward rae was lower han he risk free rae we assumed ha his was due o measuremen error and declared p6=.
16 Table II.B: Sovereign Raes and Implied Defaul Probabiliies  January 2000 USA Argenina Colombia Mexico Forward Forward p P P Forward p P P Forward p P P
17 Table II.C: Sovereign Raes and Implied Defaul Probabiliies  April 997 USA Argenina Colombia Russia Forward Forward p P P Forward p P P Forward p P P
18 Table III: Esimaes of Alpa and Bea for Differen Samples β P = α P + e = 2,..., T Augus 200 T α β R 2 Argenina (0.026) (0.034) Colombia (0.037) (0.26) Mexico (0.007) (0.07) Russia (0.006) (0.04) Turkey (0.006) (0.02) January 2000 T α β R 2 Argenina (0.023) (0.4) Colombia (0.004) (0.3) Mexico (0.007) (0.4) April 997 T α β R 2 Argenina (0.02) (0.23) Colombia (0.003) (0.8) Russia Minimum Maximum Esimaed by nonlinear leas squares. Approximae Sd. Errors in parenheses. Since only wo observaions of P are available for Russia in April 997, we logged he model and solved for he wo unknowns. No saisics are involved in ha paricular case.
19 Table IV: Raio of Correcly o Miscalculaed Value for Differen Parameer Specificaions Assumpions: i = 4% P = 0.95 r = 9% α Row β Conen r v V =V ha 8% 0% 2% 5% 22% 3% 50% V /V ha Dur. Proj r v V =V ha 7% 8% 9% 2% 8% 27% 44% V /V ha Dur. Proj r v V =V ha 6% 8% 9% % 7% 25% 4% V /V ha Dur. Proj Assumpions: i = 6% P = 0.95 r = 2% α Row β Conen r v V =V ha % 3% 4% 7% 24% 34% 52% V /V ha Dur. Proj r v V =V ha 9% 0% 2% 4% 20% 29% 46% V /V ha Dur. Proj r v V =V ha 8% 0% % 3% 9% 27% 44% V /V ha Dur. Proj
20 Appendix I Le = α = τ for simpliciy. We wan o show ha if > ( β <) Assume, by conradicion, ha β > bu r. This would imply ha v r c β, hen r > r r < r ). v c ( v c r v r c p + f + = 2 P + β f p + f + = 2 P + f For every, he erm beween parenhesis on he lef hand side is bigger han he β corresponding erm on he righ hand side if and only if P P, which is a conradicion.
21 Appendix II: Characerisics of he Bonds Used Argenina Colombia Coupon Mauriy Code ISIN Coupon Mauriy Code ISIN 8.25% 5Oc97 (Arg97) XS % May98 (Col98) USP2874AE % Nov99 (Arg99) US0404AJ99 8% 4Jun0 (Col0) US9532NAA % 23Feb0 (Arg0) US0404AK62 7.5% Mar02 (Col02) US9532NAE % 20Dec03 (Arg03) US0404AH % 5Feb03 (Col03) US95325AH80 % 4Dec05 (Arg05) US0404BA % 9Mar04 (Col04) US95325AP07 % 9Oc06 (Arg06) US0404AN % 5Feb07 (Col07) US95325AK0.75% 7Apr09 (Arg09) US0404BE % Apr08 (Col08) US95325AM75.375% 5Mar0 (Arg0) US0404FC9 9.75% 23Apr09 (Col09) US95325AR62.75% 5Jun5 (Arg5) US0404GA27.75% 25Feb20 (Col20) US95325AU9.375% 30Jan7 (Arg7) US0404AR6 2.25% 25Feb9 (Arg9) US0404BC38 2% Feb20 (Arg20) US0404FB9 Coupon Mauriy Code ISIN 9.75% 9Sep27 (Arg27) US0404AV % 6Feb0 (Mex0) US593048AV % 2Jul30 (Arg30) US0404GB00 8.5% 5Sep02 (Mex02) US593048AQ % 9Jun8 (Arg8) US0404GG % 6Apr05 (Mex05) US9086QAB4 2% 9Jun3 (Arg3) US0404GH % 5Jan07 (Mex07) US593048BB6 0% 5Mar02 (LETE 90) ARARGE % 2Mar08 (Mex08) US593048BF % 7Feb09 (Mex09) US593048BG58 Turkey 9.875% Feb0 (Mex0) US9086QAD07 Coupon Mauriy Code ISIN.375% 5Sep6 (Mex6) US593048BA % 5Oc98 (Tur98) XS % 5May26 (Mex26) US593048AX % 5Jun99 (Tur99) US90023AC4 0% 23May02 (Tur02) XS % 2May03 (Tur03) XS Coupon Mauriy Code ISIN.875% 5Nov04 (Tur04) US90023AK66 3% 4May99 (Rus99) RU % 23Feb05 (Tur05) XS % 27Nov0 (Rus0) XS % 9Sep07 (Tur07) XS % 0Jun03 (Rus03) USX74344CZ % 5Jun09 (Tur09) US90023AJ % 24Jul05 (Rus05) XS % 5Jun0 (Tur0) US90047AB5 8.25% 3Mar0 (Rus0) XS % 5Jan30 (Tur30) US90023AL40 % 24Jul8 (Rus8) XS % 3Mar30 (Rus30) XS * ISIN is he Inernaional Securiies Idenificaion Number. Mexico Russia
22 References Abuaf, Niso, and Quyen Chu (994), The Execuive s Guide o Inernaional Capial Budgeing: 994 Updae, Salomon Brohers. Adler, Michael and Bernard Dumas (983), Inernaional Porfolio Choice and Corporaion Finance: A Synhesis, The Journal of Finance, Vol. XXXVIII, No. 3. Bekaer, Geer, Campbell Harvey, and Robin Lumsdaine (200), Daing he Inegraion of World Equiy Markes, mimeo. Bekaer, Geer, Claude Erb, Campbell Harvey and Tadas Viskana (998), Disribuional Characerisics of Emerging Markes Reurns and Asse Allocaion, The Journal of Porfolio Managemen. Chen, HoungYhi (967), Valuaion under Uncerainy, Journal of Financial and Quaniaive Analysis, Volume 2, Issue 3, pp Errunza, Vihang and Eienne Losq (985), Inernaional Asse Pricing under Mild Segmenaion: Theory and Tes, The Journal of Finance, Vol. XL, No., pp Esrada, Javier (2000), The Cos of Equiy in Emerging Markes: A Downside Risk Approach, Emerging Markes Quarerly, 4 (Fall 2000), pp Godfrey, Sephen and Ramón Espinosa (996), A Pracical Approach To Calculaing Coss of Equiy for Invesmens in Emerging Markes, Journal of Applied Corporae Finance, Fall. Harvey, Campbell (995), Predicable Risk and Reurns in Emerging Markes, The Review of Financial Sudies, Fall, Vol. 8, No. 3. Harvey, Campbell (2000), The Inernaional Cos of Capial and Risk Calculaor (ICCRC), mimeo. J.P. Morgan (2000), Emerging Markes Bond Index Monior, Augus. Keck, Tom, Eric Levengood, and Al Longfield (998), Using Discouned Cash Flow Analysis in an Inernaional Seing: A Survey of Issues in Modeling he Cos of Capial, Journal of Applied Corporae Finance, Fall. Merrick, John Jr. (999), Crisis Dynamics of Implied Defaul Recovery Raios: Evidence from Russia and Argenina, mimeo. Neumeyer, Pablo and Fabrizio Perri (200), Business Cycles in Emerging Economies: The Role of Ineres Raes, mimeo. Pereiro, Luis and María Galli (2000), La Deerminación del Coso de Capial en la Valuación de Empresas de Capial Cerrado: una Guía Prácica, Working Paper (2000), Cenro de Invesigación en Finanzas, UTDT. Robichek, Alexander and Sewar Myers (966), Concepual Problems in he Use of Risk Adjused Discoun Raes, The Journal of Finance, December, pp
23 Yawiz, Jess (977), An Analiical Model of Ineres Rae Differenials and Differen Defaul Recoveries, Journal of Financial and Quaniaive Analysis, Sepember, pp
A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation
A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion
More informationMorningstar Investor Return
Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion
More informationDuration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.
Graduae School of Business Adminisraion Universiy of Virginia UVAF38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised
More informationThe Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas
The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he
More informationPrincipal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.
Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one
More informationChapter 8: Regression with Lagged Explanatory Variables
Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One
More informationEstimating TimeVarying Equity Risk Premium The Japanese Stock Market 19802012
Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing TimeVarying Equiy Risk Premium The Japanese Sock Marke 19802012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA
More informationThe Interest Rate Risk of Mortgage Loan Portfolio of Banks
The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions
More informationJournal Of Business & Economics Research September 2005 Volume 3, Number 9
Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy YiKang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo
More informationChapter 9 Bond Prices and Yield
Chaper 9 Bond Prices and Yield Deb Classes: Paymen ype A securiy obligaing issuer o pay ineress and principal o he holder on specified daes, Coupon rae or ineres rae, e.g. 4%, 5 3/4%, ec. Face, par value
More informationBALANCE OF PAYMENTS. First quarter 2008. Balance of payments
BALANCE OF PAYMENTS DATE: 20080530 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se
More information4. International Parity Conditions
4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency
More informationPROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE
Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees
More informationOption PutCall Parity Relations When the Underlying Security Pays Dividends
Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 22523 Opion Puall Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,
More informationHedging with Forwards and Futures
Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buyside of a forward/fuures
More informationMarkit Excess Return Credit Indices Guide for price based indices
Marki Excess Reurn Credi Indices Guide for price based indices Sepember 2011 Marki Excess Reurn Credi Indices Guide for price based indices Conens Inroducion...3 Index Calculaion Mehodology...4 Semiannual
More informationSkewness and Kurtosis Adjusted BlackScholes Model: A Note on Hedging Performance
Finance Leers, 003, (5), 6 Skewness and Kurosis Adjused BlackScholes Model: A Noe on Hedging Performance Sami Vähämaa * Universiy of Vaasa, Finland Absrac his aricle invesigaes he dela hedging performance
More informationTerm Structure of Prices of Asian Options
Term Srucure of Prices of Asian Opions Jirô Akahori, Tsuomu Mikami, Kenji Yasuomi and Teruo Yokoa Dep. of Mahemaical Sciences, Risumeikan Universiy 111 Nojihigashi, Kusasu, Shiga 5258577, Japan Email:
More informationRisk Modelling of Collateralised Lending
Risk Modelling of Collaeralised Lending Dae: 4112008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies
More informationMeasuring macroeconomic volatility Applications to export revenue data, 19702005
FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a
More informationWhy Did the Demand for Cash Decrease Recently in Korea?
Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in
More informationChapter 6: Business Valuation (Income Approach)
Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he
More informationMarket Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand
36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,
More informationINTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES
INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchangeraded ineres rae fuures and heir opions are described. The fuure opions include hose paying
More informationI. Basic Concepts (Ch. 14)
(Ch. 14) A. Real vs. Financial Asses (Ch 1.2) Real asses (buildings, machinery, ec.) appear on he asse side of he balance shee. Financial asses (bonds, socks) appear on boh sides of he balance shee. Creaing
More informationPrice elasticity of demand for crude oil: estimates for 23 countries
Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh
More information11/6/2013. Chapter 14: Dynamic ADAS. Introduction. Introduction. Keeping track of time. The model s elements
Inroducion Chaper 14: Dynamic DS dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuingedge
More informationIndividual Health Insurance April 30, 2008 Pages 167170
Individual Healh Insurance April 30, 2008 Pages 167170 We have received feedback ha his secion of he e is confusing because some of he defined noaion is inconsisen wih comparable life insurance reserve
More informationWorking Paper No. 482. Net Intergenerational Transfers from an Increase in Social Security Benefits
Working Paper No. 482 Ne Inergeneraional Transfers from an Increase in Social Securiy Benefis By Li Gan Texas A&M and NBER Guan Gong Shanghai Universiy of Finance and Economics Michael Hurd RAND Corporaion
More informationInvestor sentiment of lottery stock evidence from the Taiwan stock market
Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 YuMin Wang (Taiwan) ChunAn Li (Taiwan) ChiaFei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This
More informationPricing Single Name Credit Derivatives
Pricing Single Name Credi Derivaives Vladimir Finkelsein 7h Annual CAP Workshop on Mahemaical Finance Columbia Universiy, New York December 1, 2 Ouline Realiies of he CDS marke Pricing Credi Defaul Swaps
More informationRelationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**
Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia
More informationThe Grantor Retained Annuity Trust (GRAT)
WEALTH ADVISORY Esae Planning Sraegies for closelyheld, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business
More informationSupplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect RiskTaking?
Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec RiskTaking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF
More informationThe Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of
Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world
More informationCredit Index Options: the noarmageddon pricing measure and the role of correlation after the subprime crisis
Second Conference on The Mahemaics of Credi Risk, Princeon May 2324, 2008 Credi Index Opions: he noarmageddon pricing measure and he role of correlaion afer he subprime crisis Damiano Brigo  Join work
More informationPresent Value Methodology
Presen Value Mehodology Econ 422 Invesmen, Capial & Finance Universiy of Washingon Eric Zivo Las updaed: April 11, 2010 Presen Value Concep Wealh in Fisher Model: W = Y 0 + Y 1 /(1+r) The consumer/producer
More informationThe yield curve, and spot and forward interest rates Moorad Choudhry
he yield curve, and spo and forward ineres raes Moorad Choudhry In his primer we consider he zerocoupon or spo ineres rae and he forward rae. We also look a he yield curve. Invesors consider a bond yield
More informationChapter 6 Interest Rates and Bond Valuation
Chaper 6 Ineres Raes and Bond Valuaion Definiion and Descripion of Bonds Longerm debloosely, bonds wih a mauriy of one year or more Shorerm debless han a year o mauriy, also called unfunded deb Bondsricly
More informationDOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR
Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios
More informationDYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS
DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper
More informationEvidence from the Stock Market
UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke YangCheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., ZhongShan Norh Rd., Taipe Taiwan EMail ralphyclu1@gmail.com,
More informationThe role of risk measures choice in ranking real estate funds: evidence from the Italian market
XIX Inernaional Tor Vergaa Conference on Money, Banking and Finance The role of risk measures choice in ranking real esae funds: evidence from he Ialian marke Claudio Giannoi, Universiy LUM Jean Monne
More informationTHE FIRM'S INVESTMENT DECISION UNDER CERTAINTY: CAPITAL BUDGETING AND RANKING OF NEW INVESTMENT PROJECTS
VII. THE FIRM'S INVESTMENT DECISION UNDER CERTAINTY: CAPITAL BUDGETING AND RANKING OF NEW INVESTMENT PROJECTS The mos imporan decisions for a firm's managemen are is invesmen decisions. While i is surely
More informationSegmentation, Probability of Default and Basel II Capital Measures. for Credit Card Portfolios
Segmenaion, Probabiliy of Defaul and Basel II Capial Measures for Credi Card Porfolios Draf: Aug 3, 2007 *Work compleed while a Federal Reserve Bank of Philadelphia Dennis Ash Federal Reserve Bank of Philadelphia
More informationRationales of Mortgage Insurance Premium Structures
JOURNAL OF REAL ESTATE RESEARCH Raionales of Morgage Insurance Premium Srucures Barry Dennis* Chionglong Kuo* Tyler T. Yang* Absrac. This sudy examines he raionales for he design of morgage insurance premium
More informationContrarian insider trading and earnings management around seasoned equity offerings; SEOs
Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in
More informationDefault Risk in Equity Returns
Defaul Risk in Equiy Reurns MRI VSSLOU and YUHNG XING * BSTRCT This is he firs sudy ha uses Meron s (1974) opion pricing model o compue defaul measures for individual firms and assess he effec of defaul
More informationMeasuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry
Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan
More informationLongRun Stock Returns: Participating in the Real Economy
LongRun Sock Reurns: Paricipaing in he Real Economy Roger G. Ibboson and Peng Chen In he sudy repored here, we esimaed he forwardlooking longerm equiy risk premium by exrapolaing he way i has paricipaed
More informationTable of contents Chapter 1 Interest rates and factors Chapter 2 Level annuities Chapter 3 Varying annuities
Table of conens Chaper 1 Ineres raes and facors 1 1.1 Ineres 2 1.2 Simple ineres 4 1.3 Compound ineres 6 1.4 Accumulaed value 10 1.5 Presen value 11 1.6 Rae of discoun 13 1.7 Consan force of ineres 17
More informationFlighttoLiquidity and Global Equity Returns
FlighoLiquidiy and Global Equiy Reurns Ruslan Goyenko and Sergei Sarkissian * Firs draf: November 2007 This draf: May 2008 * The auhors are from he Faculy of Managemen, McGill Universiy, Monreal, QC
More informationRevisions to Nonfarm Payroll Employment: 1964 to 2011
Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm
More informationTHE PERFORMANCE OF OPTION PRICING MODELS ON HEDGING EXOTIC OPTIONS
HE PERFORMANE OF OPION PRIING MODEL ON HEDGING EXOI OPION Firs Draf: May 5 003 his Version Oc. 30 003 ommens are welcome Absrac his paper examines he empirical performance of various opion pricing models
More informationAppendix D Flexibility Factor/Margin of Choice Desktop Research
Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\22348900\4
More informationThe Determinants of Corporate Bond Yield Spreads in South Africa: FirmSpecific or Driven by Sovereign Risk?
The Deerminans of Corporae Bond Yield Spreads in Souh Africa: FirmSpecific or Driven by Sovereign Risk? Marin Grandes (DELTA, ENS/EHESS, Paris) Marcel Peer (Inernaional Moneary Fund) 1 Firs version: November
More informationLiquidity, Default, Taxes and Yields on Municipal Bonds
Finance and Economics Discussion Series Divisions of Research & Saisics and Moneary Affairs Federal Reserve Board, Washingon, D.C. Liquidiy, Defaul, axes and Yields on Municipal Bonds Junbo Wang, Chunchi
More informationStock Market Liquidity and the Macroeconomy: Evidence from Japan
WP/05/6 Sock Marke Liquidiy and he Macroeconomy: Evidence from Japan Woon Gyu Choi and David Cook 2005 Inernaional Moneary Fund WP/05/6 IMF Working Paper IMF Insiue Sock Marke Liquidiy and he Macroeconomy:
More informationLEASING VERSUSBUYING
LEASNG VERSUSBUYNG Conribued by James D. Blum and LeRoy D. Brooks Assisan Professors of Business Adminisraion Deparmen of Business Adminisraion Universiy of Delaware Newark, Delaware The auhors discuss
More informationEquities: Positions and Portfolio Returns
Foundaions of Finance: Equiies: osiions and orfolio Reurns rof. Alex Shapiro Lecure oes 4b Equiies: osiions and orfolio Reurns I. Readings and Suggesed racice roblems II. Sock Transacions Involving Credi
More informationAnalysis of Pricing and Efficiency Control Strategy between Internet Retailer and Conventional Retailer
Recen Advances in Business Managemen and Markeing Analysis of Pricing and Efficiency Conrol Sraegy beween Inerne Reailer and Convenional Reailer HYUG RAE CHO 1, SUG MOO BAE and JOG HU PARK 3 Deparmen of
More informationChapter 1.6 Financial Management
Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1
More informationThe Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees.
The Impac of Surplus Disribuion on he Risk Exposure of Wih Profi Life Insurance Policies Including Ineres Rae Guaranees Alexander Kling 1 Insiu für Finanz und Akuarwissenschafen, Helmholzsraße 22, 89081
More informationFifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance
Fifh Quaniaive Impac Sudy of Solvency II (QIS 5) Naional guidance on valuaion of echnical provisions for German SLT healh insurance Conens 1 Inroducion... 2 2 Calculaion of besesimae provisions... 3 2.1
More informationAn Empirical Study on Capital Structure and Financing Decision Evidences from East Asian Tigers
An Empirical Sudy on Capial Srucure and Financing Decision Evidences from Eas Asian Tigers Dr. JungLieh Hsiao and ChingYu Hsu, Naional Taipei Universiy, Taiwan Dr. KuangHua Hsu, Chaoyang Universiy
More informationOne dictionary: Native language  English/English  native language or English  English
Faculy of Social Sciences School of Business Corporae Finance Examinaion December 03 English Dae: Monday 09 December, 03 Time: 4 hours/ 9:003:00 Toal number of pages including he cover page: 5 Toal number
More informationDynamic Option Adjusted Spread and the Value of Mortgage Backed Securities
Dynamic Opion Adjused Spread and he Value of Morgage Backed Securiies Mario Cerrao, Abdelmadjid Djennad Universiy of Glasgow Deparmen of Economics 27 January 2008 Absrac We exend a reduced form model for
More informationGUIDE GOVERNING SMI RISK CONTROL INDICES
GUIDE GOVERNING SMI RISK CONTROL IND ICES SIX Swiss Exchange Ld 04/2012 i C O N T E N T S 1. Index srucure... 1 1.1 Concep... 1 1.2 General principles... 1 1.3 Index Commission... 1 1.4 Review of index
More informationThe Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees
1 The Impac of Surplus Disribuion on he Risk Exposure of Wih Profi Life Insurance Policies Including Ineres Rae Guaranees Alexander Kling Insiu für Finanz und Akuarwissenschafen, Helmholzsraße 22, 89081
More informationThe Interaction of Guarantees, Surplus Distribution, and Asset Allocation in With Profit Life Insurance Policies
1 The Ineracion of Guaranees, Surplus Disribuion, and Asse Allocaion in Wih Profi Life Insurance Policies Alexander Kling * Insiu für Finanz und Akuarwissenschafen, Helmholzsr. 22, 89081 Ulm, Germany
More informationINVESTMENT GUARANTEES IN UNITLINKED LIFE INSURANCE PRODUCTS: COMPARING COST AND PERFORMANCE
INVESMEN UARANEES IN UNILINKED LIFE INSURANCE PRODUCS: COMPARIN COS AND PERFORMANCE NADINE AZER HAO SCHMEISER WORKIN PAPERS ON RISK MANAEMEN AND INSURANCE NO. 4 EDIED BY HAO SCHMEISER CHAIR FOR RISK MANAEMEN
More informationYale ICF Working Paper No. 0044 March 2002
Yale ICF Working Paper No. 0044 March 2002 STOCK MARKET RETURNS IN THE LONG RUN: PARTICIPATING IN THE REAL ECONOMY Roger G. Ibboson Yale School of Managemen Peng Chen Ibboson Associaes, Inc. This paper
More informationBidask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation
Bidask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bidask
More informationFactors Affecting Initial Enrollment Intensity: PartTime versus FullTime Enrollment
acors Affecing Iniial Enrollmen Inensiy: artime versus ulltime Enrollmen By Leslie S. Sraon Associae rofessor Dennis M. O Toole Associae rofessor James N. Wezel rofessor Deparmen of Economics Virginia
More informationReal Return Bonds, Inflation Expectations, and the BreakEven Inflation Rate Ian Christensen, Frédéric Dion, and Christopher Reid
Bank of Canada Banque du Canada Working Paper 200443 / Documen de ravail 200443 Real Reurn Bonds, Inflaion Expecaions, and he BreakEven Inflaion Rae by Ian Chrisensen, Frédéric Dion, and Chrisopher
More informationMACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR
MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry
More informationFORWARD AND FUTURES CONTRACTS
Page1 C H A P T E R 2 FORWARD AND FUTURES CONTRACTS 2.1 INTRODUCTION The main purpose of forward and fuures conracs is he managemen of risk. The exposure o risk as a resul of ransacing in he spo marke
More informationARCH 2013.1 Proceedings
Aricle from: ARCH 213.1 Proceedings Augus 14, 212 Ghislain Leveille, Emmanuel Hamel A renewal model for medical malpracice Ghislain Léveillé École d acuaria Universié Laval, Québec, Canada 47h ARC Conference
More informationReturn Calculation of U.S. Treasury Constant Maturity Indices
Reurn Calculaion of US Treasur Consan Mauri Indices Morningsar Mehodolog Paper Sepeber 30 008 008 Morningsar Inc All righs reserved The inforaion in his docuen is he proper of Morningsar Inc Reproducion
More informationDoes Option Trading Have a Pervasive Impact on Underlying Stock Prices? *
Does Opion Trading Have a Pervasive Impac on Underlying Sock Prices? * Neil D. Pearson Universiy of Illinois a UrbanaChampaign Allen M. Poeshman Universiy of Illinois a UrbanaChampaign Joshua Whie Universiy
More informationDNB W o r k i n g P a p e r. Stock market performance and pension fund investment policy: rebalancing, free f loat, or market timing?
DNB Working Paper No. 154 / November 2007 Jacob Bikker, Dirk Broeders and Jan de Dreu DNB W o r k i n g P a p e r Sock marke performance and pension fund invesmen policy: rebalancing, free f loa, or marke
More informationImpact of scripless trading on business practices of Subbrokers.
Impac of scripless rading on business pracices of Subbrokers. For furher deails, please conac: Mr. T. Koshy Vice Presiden Naional Securiies Deposiory Ld. Tradeworld, 5 h Floor, Kamala Mills Compound,
More informationGOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA
Journal of Applied Economics, Vol. IV, No. (Nov 001), 31337 GOOD NEWS, BAD NEWS AND GARCH EFFECTS 313 GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA CRAIG A. DEPKEN II * The Universiy of Texas
More informationPortfolio Risk and Investment Horizon of Institutional Investors
Porfolio Risk and Invesmen Horizon of Insiuional Invesors PingWen Sun Inernaional Insiue for Financial Sudies Jiangxi Universiy of Finance and Economics Nanchang, Jiangxi, China hogsun@yahoo.com.w ChienTing
More informationSURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES
Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,
More informationDevelopment Centre RESEARCH MEMORANDUM. Banking sector output measurement in the euro area a modified approach. Antonio Colangelo and Robert Inklaar
Universiy of Groningen Groningen Growh and Developmen Cenre Banking secor oupu measuremen in he euro area a modified approach Research Memorandum GD117 Anonio Colangelo and Rober Inklaar RESEARCH MEMORANDUM
More informationII.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal
Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.
More informationDeterminants of Bank Longterm Lending Behavior in the Central African Economic and Monetary Community (CEMAC)
Review of Economics & Finance Submied on 05/Jan./2012 Aricle ID: 1923752920120210708 Consan, Fouopi Djiogap and Augusin Ngomsi Deerminans of Bank Longerm Lending Behavior in he Cenral African Economic
More informationHow does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability
How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and mediumsized firms by conrolling for unobservable
More informationWhy does the correlation between stock and bond returns vary over time?
Why does he correlaion beween sock and bond reurns vary over ime? Magnus Andersson a,*, Elizavea Krylova b,**, Sami Vähämaa c,*** a European Cenral Bank, Capial Markes and Financial Srucure Division b
More informationAnticipating the future from the past: the valuation implication of mergers and acquisitions 1
Anicipaing he fuure from he pas: he valuaion implicaion of mergers and acquisiions 1 Ning Zhang Deparmen of Accouning, Fuqua School of Business Duke Universiy June, 2012 Preliminary and commens welcome
More informationBetting Against Beta
Being Agains Bea Andrea Frazzini and Lasse H. Pedersen * This draf: Sepember 13, 2010 Absrac. We presen a model in which some invesors are prohibied from using leverage and oher invesors leverage is limied
More informationMarketmakers supply and pricing of financial market liquidity
Economics Leers 76 (00) 53 58 www.elsevier.com/ locae/ econbase Markemakers supply and pricing of financial marke liquidiy Pu Shen a,b, *, Ross M. Sarr a Research Deparmen, Federal Reserve Bank of Kansas
More informationABSTRACT KEYWORDS. Term structure, duration, uncertain cash flow, variable rates of return JEL codes: C33, E43 1. INTRODUCTION
THE VALUATION AND HEDGING OF VARIABLE RATE SAVINGS ACCOUNTS BY FRANK DE JONG 1 AND JACCO WIELHOUWER ABSTRACT Variable rae savings accouns have wo main feaures. The ineres rae paid on he accoun is variable
More informationHow Useful are the Various Volatility Estimators for Improving GARCHbased Volatility Forecasts? Evidence from the Nasdaq100 Stock Index
Inernaional Journal of Economics and Financial Issues Vol. 4, No. 3, 04, pp.65656 ISSN: 46438 www.econjournals.com How Useful are he Various Volailiy Esimaors for Improving GARCHbased Volailiy Forecass?
More informationAN INVESTIGATION INTO THE LINKAGES BETWEEN EURO AND STERLING SWAP SPREADS. Somnath Chatterjee* Department of Economics University of Glasgow
AN INVESTIGATION INTO THE LINKAGES BETWEEN EURO AND STERLING SWAP SPREADS Somnah Chaerjee* Deparmen of Economics Universiy of Glasgow January, 2005 Absrac This paper examines he causal relaionship beween
More informationBetting Against Beta
Being Agains Bea Andrea Frazzini and Lasse Heje Pedersen * This draf: May 10, 2013 Absrac. We presen a model wih leverage and margin consrains ha vary across invesors and ime. We find evidence consisen
More informationImplied Equity Duration: A New Measure of Equity Risk *
Implied Equiy Duraion: A New Measure of Equiy Risk * Paricia M. Dechow The Carleon H. Griffin Deloie & Touche LLP Collegiae Professor of Accouning, Universiy of Michigan Business School Richard G. Sloan
More informationTHE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES
Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 117 THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu Absrac Using Hasbrouck
More information