Download or read book Regression Discontinuity and the Price Effects of Stock Market Indexing written by Yen-cheng Chang and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner identification. Stocks are assigned to indices based on their end-of-May market capitalizations. Stocks ranked just below 1000 are in the Russell 2000. The indices are value-weighted so these stocks receive index buying whereas those just above 1000 have close to none. Using this random assignment, we find price effects for both additions and deletions.
Download or read book Regression Discontinuity and the Price Effects of Stock Market Indexing written by Yen-cheng Chang and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner identification. Stocks are assigned to indices based on their end-of-May market capitalizations. Stocks ranked just below 1000 are in the Russell 2000. The indices are value-weighted so these stocks receive index buying whereas those just above 1000 have close to none. Using this random assignment, we find price effects for both additions and deletions.
Download or read book Regression Discontinuity and the Price Effects of Stock Market written by Yen-Chen Chang and published by . This book was released on 2013 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regression Discontinuity and the Price Effects of Stock Market Indexing written by Yen-Cheng Chang and published by . This book was released on 2015 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Russell 1000 and 2000 stock indices comprise the first 1000 and next 2000 largest firms ranked by market capitalization. Small changes in the capitalizations of firms ranked near 1000 move them between these indices. Because the indices are value-weighted, more money tracks the largest stocks in the Russell 2000 than the smallest in the Russell 1000. Using this discontinuity, we find that additions to the Russell 2000 result in price increases and deletions in price declines. We then identify time trends in indexing effects and the types of funds that provide liquidity to indexers.
Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Price Effect of Passive Investing on Stock Markets written by Matthias Bryner and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The strong shift from active to passive investing during the last decade confirmed the attractiveness of this investment style to investors. However passive investing may also lead to undesirable market distortions, if stocks are no longer bought based on their fundamentals but because they are part of an index. In this paper we address this concern by analysing the stock returns of companies that are added to and deleted from the popular Russell 2000 Index from 2007 to 2017. The use of a regression discontinuity design, which was first apply by Chang, Hong and Liskovich (2014)in the context of index reconstitution, allows for clean identification of price effects at the index cut-off. For companies that are added to the Russell 2000 Index we find no significant price effects, whereas for companies that are deleted from the index we find significant price effects until around 2014, which afterwards diminished. To conclude, this paper refutes the hypothesis that the increased amounts of passive investment led to increased price distortions. On the contrary, markets seem to have become more efficient during this period.
Download or read book Corporate Governance Strengthening Latin American Corporate Governance The Role of Institutional Investors written by OECD and published by OECD Publishing. This book was released on 2011-07-01 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report reflects long-term, in-depth discussion and debate by participants in the Latin American Roundtable on Corporate Governance.
Download or read book Quantitative analysis of large stock market crashes written by Victor Odour and published by GRIN Verlag. This book was released on 2014-02-05 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Document from the year 2011 in the subject Business economics - Investment and Finance, grade: A, California State University, East Bay, language: English, abstract: The objective of this study is to structure a dependable model to forecast the timing of entry and exit from the stock markets by using multivariate linear regression analysis. The study uses major macroeconomic indicators such CPI, PPI, GDP, MEI as independent variables and the S&P 500 index value as the dependent variable. The sample consists of 30 years of monthly data. This study includes four different loss scenarios in the S&P 500 index value and analyzes the data to see if the losses can be absorbed or if further losses will occur. This report discusses the practical implications of using regression analysis and how it is used to predict the market movements. This paper concludes that our regression model can help an investor to anticipate market movements and thus make appropriate buy and sell decisions.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Matthew Effect in the Market written by Yuan Tian and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Options Markets on the Underlying Markets written by Brenden James Mason and published by . This book was released on 2018 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in applied financial economics. The unifying theme is the use of financial regulation as quasi-experiments to understand the interrelationship between derivatives and the underlying assets. The first two essays use different quasi-experimental econometric techniques to answer the same research question: how does option listing affect the return volatility of the underlying stock? This question is difficult to answer empirically because being listed on an options exchange is not random. Volatility is one of the dimensions along which the options exchanges make their listing decisions. This selection bias confounds any causal effect that option listing may have. What is more, the options exchanges may list along unobservable dimensions. Such omitted variable bias can also confound any causal effect of option listing. My first essay overcomes these two biases by exploiting the exogenous variation in option listing that is created by the SEC-imposed option listing standards. Specifically, the SEC mandates that a stock must meet certain criteria in the underlying market before it can trade on an options exchange. For example, a stock needs to trade a total of 2.4 million shares over the previous 12 months before it can be listed. Since 2.4 million is an arbitrary number, stocks that are "just above" the 2.4 million threshold will be identical to stocks that are "just below" it, the sole difference being their probability of option listing. Accordingly, I use the 2.4 million threshold as an instrument for option listing in a fuzzy regression discontinuity design. I find that option listing causes a modest decrease in underlying volatility, a result that corroborates many previous empirical studies. My second essay attempts to estimate the effect of option listing for stocks that are "far away from" the 2.4 million threshold. I overcome the aforementioned omitted variable bias by fully exploiting the panel nature of the data. I control for the unobserved heterogeneity across stocks by implementing a two-way fixed effects model. Unlike most previous studies, I control for individual-level fixed effects at the firm level rather than at the industry level. My results show that option listing is associated with a decrease in volatility. Importantly, these results are only statistically significant in a model with firm-level fixed effects; they are insignificant with industry-level fixed effects. My third essay is a policy evaluation of the SEC's Penny Pilot Program, a mandated decrease of the option tick size for various equity options classes. Several financial professionals claimed that this decrease would drive institutional investors out of the exchange-traded options market, channeling them into the opaque, over-the-counter (OTC) options market. I empirically test an implication of this hypothesis: if institutional investors have fled the exchange-traded options market for the OTC market, then it may take longer for information to be impounded into a stock's price. Using the `price delay' measure of Hou and Moskowitz (2005), I test whether stocks become less price efficient as a result of being included in the Penny Pilot Program. I perform this test using firm-level fixed effects on all classes that were included in the program. I confirm these results with synthetic control experiments for the classes included in Phase I of the Penny Pilot Program. Generally, I find no change in price efficiency of the underlying stocks, which suggests that the decrease in option tick size did not materially erode the price discovery that takes place in the exchange-traded equity options market. I also find evidence that the decrease in option tick size caused an increase in short selling for the piloted stocks.
Download or read book A Non Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2002-01-15 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: For 50 years, financial experts have regarded the movements of markets as a random walk, and this hypothesis has become a cornerstone of modern financial economics. Lo and MacKinlay put the random walk hypothesis to the test in this volume, which elegantly integrates their most important articles.
Download or read book Price Effects of Stock Repurchasing written by Terry E. Dielman and published by . This book was released on 1979 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Boombustology written by Vikram Mansharamani and published by John Wiley & Sons. This book was released on 2019-05-07 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new, fully-updated edition of the respected guide to understanding financial extremes, evaluating investment opportunities, and identifying future bubbles Now in its second edition, Boombustology is an authoritative, up-to-date guide on the history of booms, busts, and financial cycles. Engaging and accessible, this popular book helps investors, policymakers, and analysts navigate the radical uncertainty that plagues today’s uncertain investing and economic environment. Author Vikram Mansharamani, an experienced global equity investor and prominent Harvard University lecturer, presents his multi-disciplinary framework for identifying financial bubbles before they burst. Moving beyond the typical view of booms and busts as primarily economic occurrences, this innovative book offers a multidisciplinary approach that utilizes microeconomic, macroeconomic, psychological, political, and biological lenses to spot unsustainable dynamics. It gives the reader insights into the dynamics that cause soaring financial markets to crash. Cases studies range from the 17th Century Dutch tulip mania to the more recent US housing collapse. The numerous cross-currents driving today’s markets—trade wars, inverted yield curves, currency wars, economic slowdowns, dangerous debt dynamics, populism, nationalism, as well as the general uncertainties in the global economy—demand that investors, policymakers, and analysts be on the lookout for a forthcoming recession, market correction, or worse. An essential resource for anyone interested in financial markets, the second edition of Boombustology: Adopts multiple lenses to understand the dynamics of booms, busts, bubbles, manias, crashes Utilizes the common characteristics of past bubbles to assist in identifying future financial extremes Presents a set of practical indicators that point to a financial bubble, enabling readers to gauge the likelihood of an unsustainable boom Offers two new chapters that analyze the long-term prospects for Indian markets and the distortions being caused by the passive investing boom Includes a new foreword by James Grant, legendary editor of Grant's Interest Rate Observer A comprehensive exploration of how bubbles form and why they burst, Boombustology, 2nd Edition is packed with a wealth of new and updated information for individual and institutional investors, academics, students, policymakers, risk-managers, and corporate managers alike.
Download or read book Advances in the Practice of Public Investment Management written by Narayan Bulusu and published by Springer. This book was released on 2018-07-28 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the latest advances in the theory and practice of public investment management. It includes the most up-to-date developments in the implementation of public asset management – including multiple contributions on portfolio allocation in varying interest-rate and credit-risk environments. Other highlights include implementation, performance attribution and governance issues surrounding reserves management, portfolio construction techniques appropriate for public investors and an in-depth discussion of the challenges to achieving international diversification.
Download or read book The Causal Effects of Short Selling Bans written by Alan D. Crane and published by . This book was released on 2017 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify the causal effects of short-selling bans on stock prices using regression discontinuity (RD). We exploit three threshold-based rules that determine a stock's short-selling eligibility on the Hong Kong Stock Exchange. Short-selling bans affect short-selling volume at all thresholds. Despite this, bans do not affect price levels. Stock returns, volatility, and crash risk are not different for banned vs. unrestricted stocks when appropriate counterfactual stocks are used to measure a ban's effects. Our findings suggest that short-selling bans are not as costly as previously argued, but are ineffective at reducing volatility or buttressing prices.
Download or read book That Doesn t Work Anymore written by Robert S. Kricheff and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic measures and concepts like GDP, inflation, business cycles and supply chains that were created decades ago are being disrupted and altered by technology. These changes affect asset values, interest rates, stock valuations, barriers to entry, as well as regression and correlation analysis. That Doesn’t Work Anymore discusses how to adapt traditional data to these changes and outlines ways to use newer and better tools that help you make good investment and business decisions. The book's short pragmatic chapters grouped by topic with research and real-life anecdotes delve into how technological and societal developments have changed the meaning and value of traditional economic data-points, predictive tools, and business concepts. Robert S. Kricheff provides specifics on new and more valuable data sources as well as better methods for applying the information to investing, business, and even your career.
