The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to Dec...The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.展开更多
Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetar...Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.展开更多
Based on the methods of financial analysis, the direct earnings in mergers and acquisition M&A, profit or loss from stock price fluctuation, influence on the earning per stock(EPS) and revenue growth after M&A...Based on the methods of financial analysis, the direct earnings in mergers and acquisition M&A, profit or loss from stock price fluctuation, influence on the earning per stock(EPS) and revenue growth after M&A were analyzed in detail. And several quantitative models were established in relevant part accordingly. It can be useful to improve the present low efficiency in the M&A performance in Chinese capital market.展开更多
There is an extensive branch of literature that examines the success of Altman＇s Z-score in predicting bankruptcy or financial distress. The goal of this research paper is to investigate the stock price performance o...There is an extensive branch of literature that examines the success of Altman＇s Z-score in predicting bankruptcy or financial distress. The goal of this research paper is to investigate the stock price performance of firms that exhibit a large probability of bankruptcy according to the model of Airman. Regardless of the validity of Airman＇s Z-score, we utilize a new empirical design that relates stock price movements to Altman＇s Z-score. We focus and examine, through the methodology of panel data, whether stocks that have a high probability of bankruptcy underperform stocks with a low probability of bankruptcy or if there are differences in the way the markets react to the financial health of the sample firms.展开更多
The soccer teams of the World Cup wear the jerseys manufactured by Taiwan Residents textile companies which are the contractors of such brand corporations as Nike and Adidas. Because Taiwan Residents textile companies...The soccer teams of the World Cup wear the jerseys manufactured by Taiwan Residents textile companies which are the contractors of such brand corporations as Nike and Adidas. Because Taiwan Residents textile companies suffer water pollution events, this study verifies the market reactions to the two announcements of water pollution events from 2014 to 2015. The two events are as follows： first, Greenpeace International enabled 38 scientists to announce the ban on fluoride in Madrid; second, Greenpeace International has detected fluoride residues from the water in remote mountainous areas of Europe and concluded that Taiwan Residents jerseys composed of fluoride pollute the rivers or snows. The findings of the research indicate that the announcement of the ban on fluoride induces negative abnormal returns because fluoride is the main materials for Taiwan Residents jerseys. Most importantly, the announcement of the water pollution in Europe from Taiwan Residents manufactured jerseys induces negative abnormal returns. Both of the two events enable the stock investors scared about the decrease of future profit and market share for Taiwan Residents textile corporations. Consequently, investors sell the stocks of these corporations, inducing the negative abnormal returns during the announcement of water pollution of Taiwan Residents jerseys. Water polluted issues are critical of firm values.展开更多
This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in...This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.展开更多
基金Project(71071166)supported by the National Natural Science Foundation of China
文摘The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.
文摘Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.
文摘Based on the methods of financial analysis, the direct earnings in mergers and acquisition M&A, profit or loss from stock price fluctuation, influence on the earning per stock(EPS) and revenue growth after M&A were analyzed in detail. And several quantitative models were established in relevant part accordingly. It can be useful to improve the present low efficiency in the M&A performance in Chinese capital market.
文摘There is an extensive branch of literature that examines the success of Altman＇s Z-score in predicting bankruptcy or financial distress. The goal of this research paper is to investigate the stock price performance of firms that exhibit a large probability of bankruptcy according to the model of Airman. Regardless of the validity of Airman＇s Z-score, we utilize a new empirical design that relates stock price movements to Altman＇s Z-score. We focus and examine, through the methodology of panel data, whether stocks that have a high probability of bankruptcy underperform stocks with a low probability of bankruptcy or if there are differences in the way the markets react to the financial health of the sample firms.
文摘The soccer teams of the World Cup wear the jerseys manufactured by Taiwan Residents textile companies which are the contractors of such brand corporations as Nike and Adidas. Because Taiwan Residents textile companies suffer water pollution events, this study verifies the market reactions to the two announcements of water pollution events from 2014 to 2015. The two events are as follows： first, Greenpeace International enabled 38 scientists to announce the ban on fluoride in Madrid; second, Greenpeace International has detected fluoride residues from the water in remote mountainous areas of Europe and concluded that Taiwan Residents jerseys composed of fluoride pollute the rivers or snows. The findings of the research indicate that the announcement of the ban on fluoride induces negative abnormal returns because fluoride is the main materials for Taiwan Residents jerseys. Most importantly, the announcement of the water pollution in Europe from Taiwan Residents manufactured jerseys induces negative abnormal returns. Both of the two events enable the stock investors scared about the decrease of future profit and market share for Taiwan Residents textile corporations. Consequently, investors sell the stocks of these corporations, inducing the negative abnormal returns during the announcement of water pollution of Taiwan Residents jerseys. Water polluted issues are critical of firm values.
基金supported by the Humanities and Social Science Research Youth Foundation of Ministry of Education of China under Grant No.11YJC790006Center for Research of Regulation and Policy of Zhejiang Province of China under Grant No.13JDGZ03YB+1 种基金the project of National Statistical Science of China under Grant No.2013LY125the Higher School Science and Technology Development Foundation of Tianjin of China under Grant No.20100821
文摘This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.
