Determinants of credit default swap spread, the effect of the financial crisis in the us markets

The purpose of this study is to define what determinants affect the Credit spread. There are two theoretical frameworks to study this: structural models and reduced form models. Structural models indicate that the main determinants are company leverage, volatility and risk-free interest rate, and other market and firm-specific variables. The purpose is to determine which of these theoretical determinants can explain the CDS spread and also how these theoretical determinants are affected by the financial crisis in 2007. The data is collected from 30 companies in the US Markets, mainly S&P Large Cap. The sample time-frame is 31.1.2004 – 31.12.2009. Empirical studies indicate that structural models can explain the CDS spreads well. Also, there were significant differences between bear and bull markets. The main determinants explaining CDS spreads were leverage and volatility. The other determinants were significant, depending on the sample period. However, these other variables did not explain the spread consistently.

IFRS 2 Osakeperusteiset maksut – ylimmän johdon osakeperusteisen palkitsemisjärjestelmien käyttöä selittävät tekijät

Työn tarkoituksena on selvittää, mitkä tekijät vaikuttavat IFRS 2 - standardin mukaisen osakeperusteisen palkitsemisen käyttöön ja sen yleisyyteen sekä mitkä tekijät selittävät IFRS 2 -standardin mukaisen osakeperusteisen palkitsemisen osuutta koko henkilöstökuluista tutkimuksessa esiintyvissä OMX-Nordic pörssin listatuissa Suomen ja Ruotsin large cap - yrityksissä. Työn empiirinen tutkimus toteutetaan laadullisella tutkimuksella, jossa lisäksi käytetään hyväksi regressioanalyysin tuloksia vahvistamaan tutkimuksessa muodostettuja ennakko-oletuksia. Tutkimuksesta kävi ilmi, että IFRS 2 -standardin mukaisen osakeperusteisen palkitsemisen käyttöä selittävät toimitusjohtajan ikä, yrityksen koko sekä yrityksen tutkimus- ja kehitystoiminta. Osakeperusteisen palkitsemisen osuutta yrityksen koko henkilöstökuluista puolestaan selittävät yrityksen velkaantuneisuus, palkitsemistapa sekä toimialan riskisyys.

Alhaisen volatiliteetin sekä korkean idiosynkraattisen riskin anomaliat Suomen osakemarkkinoilla institutionaalisen sijoittajan näkökulmasta

Alhaisen volatiliteetin anomalian mukaan sijoittajan on mahdollista saada korkeaa tuottoa alhaisella riskillä, mikä on sijoitusstrategina mielenkiintoinen, koska modernin rahoitusteorian mukaan korkeat tuotot saavutetaan vain riskiä kasvattamalla. Tässä tutkielmassa selvitettiin alhaisen volatiliteetin ja korkean idiosynkraattisen riskin anomalioiden olemassaoloa Suomen osakemarkkinoilla sekä institutionaalisen sijoittajan mahdollisuuksia hyödyntää tutkittuja anomalioita. Tutkimusaineisto large cap -osakkeilla vuosilta 2000-2013 osoittaa, että sijoittamalla alhaisen volatiliteetin osakkeisiin sijoittaja on pystynyt voittamaan absoluuttisella tuotolla mitattuna OMXH CAP-indeksin, muttei saavuttamaan riskikorjattuja ylituottoja. Alhaisen volatiliteetin osakkeiden suoriutumista on selitetty useilla tekijöillä kuten sijoittajien irrationaalisella käyttäytymisellä näiden suosiessa korkean volatiliteetin osakkeita painaen alas samalla näiden tuottopotentiaalia. Toiseksi, alhaisen volatiliteetin yrityksillä on vahvat fundamentit, joiden myötä liikevoitto sekä tulos pysyvät vahvoina, joka näkyy puolestaan hyvinä osaketuottoina. Lisäksi, institutionaaliselle sijoittajalle muodostuu esteitä sijoittaa vain alhaisen volatiliteetin osakkeisiin, mikä osaltaan estää anomalian pois pyyhkiytymisen. Idiosynkraattisen riskin anomaliaa ei voitu todentaa käytettäessä FF3-mallin residuaaleja. Anomaliaa tutkittiin historiallista sekä EGARCH-mallilla ennustettua idiosynkraattista riskiä käyttäen.

Irtisanomisilmoitusten vaikutukset suomalaisten suuryritysten markkina-arvoihin

The objective of the thesis is to examine the market reaction of Finnish large-cap stocks to layoff announcements, using the event study methodology to gain insight in to whether the reaction is positive or negative, and whether it has changed over the years since the last studies were conducted. Another aim is also to examine whether the market reaction has changed during the times of the financial crisis, when the number of layoffs in Finland has been unusually high. The data consists of 128 publicly announced layoff announcements during the eight years from January 2006 to January 2014. The average market reaction to layoff announcements during different time periods within the overall sample was studied based on abnormal returns indicated by the event study methodology. The earlier research suggest that the overall market reaction to layoff announcements is negative. An overwhelming majority of these studies were conducted in the 1990s based on 80’s data. The market reaction found in this study was slightly positive, although the result was not statistically significant. The market reaction has decreased during the years of the financial crisis, but this result too, is not statistically significant.

The impact of real estate on the mixed-asset portfolio in periods of financial stress

The case for holding real estate in the mixed-asset portfolio is typically made on its stabilising effect as a result of its diversification benefits. However, portfolio diversification often fails when it is most needed, i.e. during periods of financial stress. In these periods, the variability of returns for most asset classes increases thus reducing the stabilising effect of a diversified portfolio. This paper applies the approach of Chow et al (1999) to the US domestic mixed-asset portfolio to establish whether real estate, represented by REITs, is especially useful in times of financial stress. To this end monthly returns data on five assets classes: large cap stocks, small cap stocks, long dated government bonds, cash (T-Bills) and real estate (REITs) are evaluated over the period January 1972 to December 2001. The results indicate that the inclusion of REITs in the mixed-asset portfolio can lead to increases or decreases in returns depending on the asset class replaced and whether the period is one of calm or stress. However, the inclusion of REITs invariably leads to reductions in portfolio risk that are greater than any loss in return, especially in periods of financial stress. In other words, REITs acts as a stabilising force on the mixed-asset portfolio when it is most needed, i.e. in periods of financial stress.

Construção de carteiras com diferentes estratégias : um estudo com ações brasileiras no período de 1996 a 2007

Esse estudo tem como objetivo construir diversas carteiras com estratégias de investimento (investment styles) em ações baseadas em diferentes critérios quantitativos com o intuito de descobrir quais estratégias prevalecem sobre as outras em termos de retorno e risco da carteira no período de 1996 a 2007 no mercado brasileiro. A construção das carteiras é realizada para todas as empresas listadas na Bovespa no período citado. Há evidências de que a estratégia de valor preço/lucro (value PE) apresentou a melhor consistência nos resultados estatísticos, análise do índice Sharpe e na análise de rendimento entre as carteiras estudadas.

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda lina do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda linha do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda linha do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

A catalog of HI-selected galaxies from the south celestial cap region of sky

The first deep catalog of the H I Parkes All Sky Survey (HIPASS) is presented, covering the south celestial cap (SCC) region. The SCC area is similar to2400 deg(2) and covers delta < -62&DEG;. The average rms noise for the survey is 13 mJy beam(-1). Five hundred thirty-six galaxies have been cataloged according to their neutral hydrogen content, including 114 galaxies that have no previous cataloged optical counterpart. This is the largest sample of galaxies from a blind H I survey to date. Most galaxies in optically unobscured regions of sky have a visible optical counterpart; however, there is a small population of low-velocity H I clouds without visible optical counterparts whose origins and significance are unclear. The rms accuracy of the HIPASS positions is found to be 1.'9. The H I mass range of galaxies detected is from &SIM;10(6) to &SIM;10(11) M-.. There are a large number of late-type spiral galaxies in the SCC sample (66%), compared with 30% for optically selected galaxies from the same region in the NASA Extragalactic Database. The average ratio of H I mass to B luminosity of the sample increases according to optical type, from 1.8 M-./L-. for early types to 3.2 M-./L-. for late-type galaxies. The H I-detected galaxies tend to follow the large-scale structure traced by galaxies found in optical surveys. From the number of galaxies detected in this region of sky, we predict the full HIPASS catalog will contain &SIM;5000 galaxies, to a peak flux density limit of &SIM;39 mJy (3 σ), although this may be a conservative estimate as two large voids are present in the region. The H I mass function for this catalog is presented in a subsequent paper.

Search and bargaining in large markets with homogeneous traders

We study pair-wise decentralized trade in dynamic markets with homogeneous, non-atomic, buyers and sellers that wish to exchange one unit. Pairs of traders are randomly matched and bargaining a price under rules that offer the freedom to quit the match at any time. Market equilbria, prices and trades over time, are characterized. The asymptotic behavior of prices and trades as frictions (search costs and impatience) vanish, and the conditions for (non) convergence to walrasian prices are explored. As a side product of independent interest, we present a self-contained theory of non-cooperative bargaining with two-sided, time-varying, outside options.

Free triples, large indifference classes and the majority rule

We present a new domain of preferences under which the majority relation is always quasi-transitive and thus Condorcet winners always exist. We model situations where a set of individuals must choose one individual in the group. Agents are connected through some relationship that can be interpreted as expressing neighborhood, and which is formalized by a graph. Our restriction on preferences is as follows: each agent can freely rank his immediate neighbors, but then he is indifferent between each neighbor and all other agents that this neighbor "leads to". Hence, agents can be highly perceptive regarding their neighbors, while being insensitive to the differences between these and other agents which are further removed from them. We show quasi-transitivity of the majority relation when the graph expressing the neighborhood relation is a tree. We also discuss a further restriction allowing to extend the result for more general graphs. Finally, we compare the proposed restriction with others in the literature, to conclude that it is independent of any previously discussed domain restriction.

Large deviation for BSDE with subdifferential operator

In this paper we prove that the solution of a backward stochastic differential equation, which involves a subdifferential operator and associated to a family of reflecting diffusion processes, converges to the solution of a deterministic backward equation and satisfes a large deviation principle.