LSQ13fn: A type II-Plateau supernova with a possibly low metallicity progenitor that breaks the standardised candle relation∗

We present optical imaging and spectroscopy of supernova (SN) LSQ13fn, a type II supernova with several hitherto-unseen properties. Although it initially showed strong symmetric spectral emission features attributable to He ii, N iii, and C iii, reminiscent of some interacting SNe, it transitioned into an object that would fall more naturally under a type II-Plateau (IIP) classification. However, its spectral evolution revealed several unusual properties: metal lines appeared later than expected, were weak, and some species were conspicuous by their absence. Furthermore, the line velocities were found to be lower than expected given the plateau brightness, breaking the SN IIP standardised candle method for distance estimates. We found that, in combination with a short phase of early-time ejecta-circumstellar material interaction, metal-poor ejecta, and a large progenitor radius could reasonably account for the observed behaviour. Comparisons with synthetic model spectra of SNe IIP of a given progenitor mass would imply a progenitor star metallicity as low as 0.1 Z_⊙. LSQ13fn highlights the diversity of SNe II and the many competing physical effects that come into play towards the final stages of massive star evolution immediately preceding core-collapse.

Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

The benefits of diversification from international real estate securities are generally well established. However, the drivers of international real estate securities returns are insufficiently understood. We jointly examine the empirical implications of three major international asset pricing models that account for broad macroeconomic risk factors. In addition, we develop the hypothesis that an indicator of mispriced credit is significant in explaining the time series variation in international real estate securities returns. We employ the returns generated by a large sample of firms from 20 countries over the period 1999 to 2011 to test our hypothesis. We find support for the predictions of the major international asset pricing models. We also find evidence in favour of our hypothesised link between local credit conditions and the performance of international real estate securities.

Leverage, Volatile Future Earnings Growth and Expected Stock Returns

We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage and, because the market for earnings is incomplete, reduces the earnings-risk sensitivity of the default option. Ceteris paribus, a levered firm with low (high) earnings growth is more sensitive to the first (second) of these effects thus generating higher (lower) expected returns. We demonstrate this by modeling equity as an Asian-style call option on net earnings and find significant empirical support for our hypotheses.

Accounting Earnings Announcements, Institutional Investor Concentration, and Common Stock Returns

[Excerpt] This study examines the relation between the level of institutional investor ownership and the magnitude of security price variability at quarterly earnings announcement dates. Prior research consistently documents a negative association between firm size and announcement-date return variability. One explanation for this finding is that as more timely, alternative information becomes available on large firms prior to an announcement date, their security prices become informative, thereby reducing the information content of the earnings announcement. Large firms are closely followed by institutional investors. These investors dedicate substantial resources to information search. Therefore, the link between size and information production may be attributable to the influence of institutional investors on the information production process. Because institutional trades can also affect security prices, however, the precise impact of institutional following on the variability of prices at quarterly earnings dates is not evident.

Tender offers in South America: Are abnormal returns really high?

Diferentes estudios realizados en mercados de capital desarrollados han revelado tasas de retorno positivas inusuales de por lo menos 15% durante la fecha de anuncio de la oferta pública de adquisición de acciones. Aunque casi no se han llevado a cabo estudios sobre los mercados bursátiles en Sudamérica, algunos estudios han reportado tasas de retorno positivas inusuales en un rango del 25% al 50%, las cuales están relacionadas con el anuncio de la primera oferta de adquisición. En el presente estudio, se argumenta que las tasas de retorno positivas inusuales estimadas en los mercados emergentes son altas porque los estudios se han basado en un mercado de capitales totalmente segmentado aplicando el modelo de mercado y utilizando un índice del mercado bursátil local. Al considerar la integración parcial entre los cinco mercados emergentes en Sudamérica, se demuestra que efectivamente existen tasas de retorno positivas inusuales antes, durante y después de la fecha de anuncio de la primera oferta de adquisición. Sin embargo, el retorno positivo inusual asociado a la fecha del anuncio se encuentra en el orden del 8%. Utilizando un modelo de mercado que considere la integración parcial y el riesgo a la baja, se obtiene una tasa de retorno inusual ligeramente mayor. Estos resultados señalan una menor tasa de retorno positiva inusual en la muestra de las empresas sudamericanas incluidas en el estudio.

Returns to shareholder activism: Evidence from a clinical study of the hermes UK focus fund

This article reports a unique analysis of private engagements by an activist fund. It is based on data made available to us by Hermes, the fund manager owned by the British Telecom Pension Scheme, on engagements with management in companies targeted by its UK Focus Fund. In contrast with most previous studies of activism, we report that the fund executes shareholder activism predominantly through private interventions that would be unobservable in studies purely relying on public information. The fund substantially outperforms benchmarks and we estimate that abnormal returns are largely associated with engagements rather than stock picking. © The Author 2008.

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

unpublished

Multijurisdictional fisheries performance reporting: How Australia’s nationally standardised approach to assessing stock status compares

Australian marine wild-capture fisheries are managed by eight separate jurisdictions. Traditionally, fishery status reports have been produced separately by most of these jurisdictions, assessing the fish stocks they manage, and reporting on the effectiveness of their fisheries management. However, the format, the type of stock status assessments, the thresholds and terminology used to describe stock status and the classification frameworks have varied over time and among jurisdictions. These differences complicate efforts to understand stock status on a national scale. They also create potential misunderstanding among the wider community about how to interpret information on the status of fish stocks, and the fisheries management and science processes more generally. This is especially true when considering stocks that are shared across two or more jurisdictional boundaries. A standardised approach was developed in 2011 leading to production of the first national Status of key Australian fish stocks reports in 2012, followed by a second edition in 2014 (www.fish.gov.au). Production of these reports was the first step towards a broader national approach to reporting on the performance of Australian fisheries for target species and for wider ecosystem and socioeconomic consequences. This paper outlines the challenges associated with moving towards national performance reporting for target fish stocks and Australia’s successes so far. It also outlines the challenges ahead, in particular those relating to reporting more broadly on the status of entire fisheries. Comparisons are drawn between Australia and New Zealand and more broadly between Australia and other countries.

A holistic attempt to predicating excess aftermarket returns of IPOs over a 90-day period post IPO

Double Degree

Economic growth and public and private investment returns

We study the macroeconomic effects of public and private investment in 17 OECD economies through a VAR analysis with annual data from 1960 to 2014. From impulse response functions we find that public investment had a positive growth effect in most countries, and a contractionary effect in Finland, UK, Sweden, Japan, and Canada. Public investment led to private investment crowding out in Belgium, Ireland, Finland, Canada, Sweden, the UK and crowding-in effects in the rest of the countries. Private investment has a positive growth effect in all countries; crowds-out (crowds-in) public investment in Belgium and Sweden (in the rest of the countries). The partial rates of return of public and private investment are mostly positive.

Size anomalies in EU bank stock returns

Mestrado em Finanças

Reviewing the hedge funds literature II:hedge funds' returns and risk management characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.

Standardised tobacco packaging:a health policy case study of corporate conflict expansion and adaptation

Objectives: To investigate opposition to standardised tobacco packaging in the UK. To increase understanding of how transnational corporations are adapting to changes in their access to policymakers precipitated by Article 5.3 of the Framework Convention on Tobacco Control (FCTC). Design: Case study web-based documentary analysis, using NVivo V.10. Examination of relationships between opponents of standardised packaging and transnational tobacco companies (TTCs) and of the volume, nature, transparency and timing of their activities. Setting: UK standardised packaging policy debate 2011-2013. Participants: Organisations selected on basis of opposition to, or facilitation thereof, standardised tobacco packaging in the UK; 422 associated documents. Results: Excluding tobacco manufacturing and packaging companies (n=12), 109 organisations were involved in opposing standardised packaging, 82 (75%) of which had a financial relationship with 1 or more TTC. These 82 organisations (43 actively opposing the measure, 39 facilitating opposition) were responsible for 60% of the 404 activities identified, including the majority of public communications and research production. TTCs were directly responsible for 28% of total activities, predominantly direct lobbying, but also financially underwrote third party research, communication, mass recruitment and lobbying. Active organisations rarely reported any financial relationship with TTCs when undertaking opposition activities. Conclusions: The multifaceted opposition to standardised packaging was primarily undertaken by third parties with financial relationships with major tobacco manufacturers. Low levels of transparency regarding these links created a misleading impression of diverse and widespread opposition. Countries should strengthen implementation of Article 5.3 of the FCTC by systematically requiring conflict of interest declarations from all organisations participating in political or media debates on tobacco control.

Recent advances in explaining hedge fund returns:implicit factors and exposures

We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.