Search

Le secteur du placement a son propre vocabulaire pour decrire les evenements ou les tendances qui le marquent. Par exemple, dans le milieu, on parle de la <>. Ainsi, alors [...]

A new study analyzing the determinants of the London Stock Exchange's cross-section stock returns between 1971 and 1997 finds that portfolio strategies based on low values of market to book value, earning per share, return on equity and market value significantly outperform the index.

Market index return distributional properties are examined using G and H distributions. The market index distribution over a long period of time is modeled as a skewed, elongated (G x H) distribution. The developed estimates of skewness and elongation are inclusive with respect to outliers and they are easy to calculate. There are several implications for portfolio development, pricing model design, and understanding skewness and elongation. Applicable forms of the appropriate distributions are included.

The effects of regulation and firm structure on research and development (R&D) expenditures is examined. A model of firm behavior under a rate of return regulation shows that the key determinants of the firm's level of R&D expenditures will be the extent of the allowed rate of return constraint and the presence or absence of R&D in the firm's rate base. Empirical results are presented which support the theoretical model.

An analysis of pure returns to firm size reveals that they are buffeted by economic forces: Small stocks outperform the market at some times, and underperform at others. Although the payoffs to the size effect are not at all regular to the naked eye, they are predictable within a broader economic framework that incorporates macroeconomic drivers such as interest rates and industrial production. A model that imposes a Bayesian random-walk prior belief on the coefficients of a vector autoregressive model provides the best forecasts of return to size. (Reprinted by permission of the publisher.)

This article tests for an association between security returns and anticipated and unanticipated inflation. Inflation accounting disclosures are used to group securities on the bases of their sensitivity to inflation. Nominal security returns and residual returns are independently regressed on the levels of anticipated and unanticipated inflation using a dummy variable model. Results support previous U.S. findings that investors do not seem to use these accounting disclosures in the selection of securities. The evidence indicates, however, that for firms 'less affected' by inflation, there exists an association between residual returns and anticipated inflation. (Reprinted by permission of the publisher.)

This paper shows how the duration measure of a mixed stream comprising positive and negative flows can be derived, and its property as an index of interest elasticity is illustrated. It is shown that Durand's (1974) measure of the duration of a mixed stream is incorrect. Blocher and Stickney (1979), following Durand, used duration measures, some of which relate to mixed streams, in assessing illiquidity risk in capital budgeting. This aspect of their analysis is suspect. (Reprinted by permission of the publisher.)

The volatility of foreign exchange rates is analyzed in relation to both put and call options for financial futures written in a foreign currency such as the Japanese yen, the British pound, the Canadian dollar, the Swiss franc and the West German mark. The research supports theories related to efficient market hypotheses and put-call parity assumptions. Of the financial futures examined, only the West German options seemed to experience pricing that differed from efficient market theories, and this occurred only during certain time periods studied (when the West German options seemed to be either overvalued or undervalued). For the most part, however, option pricing of foreign currency futures seems to minimize opportunities for arbitrage.

Research into unconditional returns on investments in common stock and variable returns based upon a highly specific set of data yields calculations of the lower bounds of variance for common stock returns. Mathematical analyses of these lower bounds and their counterparts in terms of samples of returns allow the researchers to conclude that common stocks' real returns (returns that have been adjusted to minimize inflationary effects) are not 'irrationally' large, when considered in relation to the market's apparent volatility. It is also noted that the point estimate for the lower bound return variance is larger than the return volatility displayed by the common stocks studied. These conclusions and observances lead to the final point of the research, namely that rationality of common stock returns should be considered.

Under present laws, some regulated industries must charge fixed prices established by government agencies, based on a fair expected rate of return. However, if rate of return regulations were revised to allow firms to charge prices within a defined range (and not to exceed a stipulated maximum price), consumers and investors would benefit. A method of determining price ceilings, which accounts for the effect of the proposed legislation on risk and pricing is developed. The method developed is illustrated with a model that emphasizes the variables of demand, production and uncertainty.

Performance and risk management of investment portfolios are examined for two special cases of portfolios: those that are adequately diversified and those that are concentrated in a single area of investment. Net selectivity is discussed as an investment performance factor and as an index to performance. The examination of net selectivity as a performance factor is limited to investment portfolios that represent most or all of one individual's wealth. Further research on net selectivity as a performance factor is required in areas involving portfolios that represent more than one investor.

The T-model, a new method for estimating stock return, is specified so that total return (T) is a function of return on equity, the price-book ratio and the growth rate of the company. While the formula is a bit more complex than the price-earnings ratio and Gorden-Shapiro models, it offers four general advantages: it accounts for a company's need for equity financing, or conversely, its generation of free cash flow; it is not predicated upon present dividend policy; it does not require postulating either perpetual growth or dividend rates; and while it uses accounting numbers, it is not overly sensitive to their convergence with economic valuations.

In an effort to identify companies with the potential for generating above-average returns, a value-oriented model is developed dependent upon a modified two-stage dividend discount model. The second stage of the model incorporates fundamental investment principles through a built-in comparable formula specified by the Standard and Poor's 500's earnings growth, stock yields, and price-to-earnings ratios.

The reliability of valuation model results is not constant across firms. Some firms report better or more complete data than others, and financial analysts adjust model results to account for these factors on an ad hoc or intuitive basis. What is needed is the development of a quantitative scale reflecting the impact of judgment errors or model inapplicability on excess returns. This scale would be applied on a firm by firm basis, to adjust results for idiosyncratic problems.

A method for estimating the real economic rate of return for large industrial companies is developed. Research results show that the economic rate of return and the accounting rate of returns often differ by a wide margin. Results also show that the inflation-adjusted economic rate of return for most companies has been declining over the past two decades.

The profitability of recent insider trading in Canada is examined. Results indicate that during a stock market upturn, directors and bank directors accrued irregular gains. Results also show that during a stock market down turn, owners and bank directors who sold their own company's stock received more than the risk-adjusted rates of return. Abnormal gains have continued despite increased penalties for insider trading.

The variance rate of return of common stocks on the New York stock exchange is examined. A nonstationary rate of return is observed for the majority of the sample. The results indicate that: there is a 100% median change over an 18 month period. Results also show that as the interval between estimates is shortened, the degree of change declines, and the extent of common directional change of the variance rates of different stocks declines. Additionally, the stock's trading frequency does not seem to be related to the size and direction of change.

The effects of the length of the differencing interval on the skewness and kurtosis of securities returns are examined. Hawawini's previous analysis of the 'intervaling effect' is in error because he only considered log returns. The current research also analyzes the effect of intervaling on kurtosis and skewness among 'simple' returns. Results indicate that the differencing interval length has a major effect on skewness and kurtosis, and different effects on 'simple' and log returns.

Although conventional portfolio insurance can virtually guarantee a minimal level of return, its ability to capture upside moves in the underlying equity market is less predictable. Over 240 annual periods, an insured portfolio with a zero floor cost roughly as much on the upside (in terms of shortfall below market returns) as it saved on the downside (in terms of excess returns above the market). Although the insured portfolio did protect against dramatic drops in market value (such as losses of 20 to 40 per cent), the evidence does not indicate that over the long run a dynamically balanced insured portfolio can outperform a portfolio holding a static mix of, say, equity and Treasury bills. (Reprinted by permission of the publisher.)

Research indicates that the introduction of capital gains taxes in Great Britain in Apr 1965 also introduced stock market and stock return seasonality on the London Stock Exchange (LSE). The LSE had not evidenced seasonality effects prior to the establishment of capital gains taxes. The seasonality effects are most noticeable in Jan and Apr. The Apr-occurring seasonal effects are consistent with tax-loss-selling hypotheses, making the seasonality attributable to the introduction of a capital gains tax. Paradoxically, the Jan-occurring seasonal effects are not explainable in this way. The research also indicates that hypotheses related to stock market behaviors occurring outside the US cannot be used to explain US stock market phenomena, and vice versa.

A valuation assignment involving leased fee interests subject to long-term ground leases initially produced two general views on appropriate rates of return. Accepting these views as reasonable suppositions, available market data were examined for supporting evidence. The resulting analysis strongly supports a connection between long-term Treasury yields and rates of return on long-term leased fee interests. Specific characteristics of this relationship - including its apparent rationale - are described and discussed. Reflection on the course of this particular assignment prompted consideration of an overview of the general character of appropriate and supportable appraisal methodology. (Reprinted by permission of the publisher.)

The relationship between market power and the betas and alphas of regulated electric utilities. Beta and alpha instability is recognized by estimating the nonstationary parameter market model. This estimation is calculated in a one-step procedure that uses econometric methods and cross-sectional time-series data.

The anomaly of standardized unexpected earnings (SUEs) in stock portfolios is examined. The size effect is tested as a possible explanation for SUEs, but it is shown that size and SUE are independent anomalies. Serial correlation of SUEs may offer a more plausible explanation of the SUE effect. The results indicate that more than half of post-announcement responses to current quarter earnings may be pre-announcement adjustments to the next quarter's earnings.

Evidence suggests that the U.S. capital markets are not efficient, leading to a greater rate of return for investors that use certain public information. A major case is E.F. Hutton, whose advice has indeed produced an above-average rate of return for its clients, negating the Efficient Market Hypothesis. Research uses the tapes of the Center for Research in Security Prices and the Cumulative Average Prediction Error for 200 days of trading ending 90 days before and 181 trading days after the time E.F. Hutton advised its clients. Results indicate that it is worth the money to listen to E.F. Hutton, since those stocks strongly recommended by Hutton did perform well.

An errors-in-variables analysis is performed on a panel data set from Norwegian manufacturing firms for the period 1975-1982 to examine 'The increasing returns to scale puzzle' for labor inputs. This is done by examining the response of the input of white-collar and blue-collar workers and blue-collar work hours to permanent changes in output. Results indicate that 'the increasing returns to scale puzzle' remains for labor also when focusing on the response to permanent changes. However, output response indicates constant returns to scale for materials. These findings suggest a non-homotheticity in production technology.