PurposeThis study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging ...facilities to uncertainty indices of cryptocurrencies.Design/methodology/approachThe authors employed the methodology of Baur and McDermott (2010) and AGDCC-GARCH model to measure the hedge and safe-haven characteristics of three bond markets (BBGT, SPGB and SKUK) for three uncertainty indexes of cryptocurrencies (UCRPR, UCRPO and ICEA).FindingsThe authors find that bond markets are neither hedge nor safe havens except for SKUK which is a safe haven investment for cryptocurrency indices and offers substantial diversification during the periods of economic fragility. In addition, the hedge effectiveness of SPGB outperforms other bonds during crisis periods and provides sufficient diversification potential for cryptocurrency indices.Practical implicationsThe findings are important for policymakers, regulatory bodies, financial firms and investors in assessing hedge and safe haven characteristics of bond markets against cryptocurrency indices.Originality/valueEmploying the novel methodology of AGDCC-GARCH with three different bond markets and three uncertainty indices of cryptocurrencies, the current study adds to the existing strand of literature in terms of quantifying hedge and safe-haven attributes of bond markets for cryptocurrency uncertainty indexes.
Mortgage Risk and the Yield Curve Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea ...
The Review of financial studies,
05/2016, Letnik:
29, Številka:
5
Journal Article
Recenzirano
Odprti dostop
We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate supply shocks resulting from changes in MBS duration into ...a parsimonious equilibrium dynamic term structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory in nature; and (3) MBS convexity increases interest rate volatility, and this effect has a hump-shaped term structure.
Trading as Gambling Dorn, Anne Jones; Dorn, Daniel; Sengmueller, Paul
Management science,
10/2015, Letnik:
61, Številka:
10
Journal Article
Recenzirano
This paper offers evidence from three different samples consistent with investors substituting between playing the lottery and gambling in financial markets. In the United States, increases in the ...jackpots of the multistate lotteries Powerball and Mega Millions are associated with significant reductions in small trade participation in the stock market. California-based discount brokerage clients and German discount brokerage clients are significantly less likely to trade during weeks with larger lottery prizes in the California and German lotteries, respectively. Variation in lottery prizes affects speculative trading in more lottery-like securities such as individual stocks and options, but not trading in bonds and mutual funds. Trading that is likely associated with long-term savings motives, such as trading in retirement accounts, does not respond to lottery jackpots, either. The negative relation between trading activity and jackpots is stronger for individuals who are more likely to play the lottery.
This paper was accepted by Brad Barber, finance.
CoCo issuance and bank fragility Avdjiev, Stefan; Bogdanova, Bilyana; Bolton, Patrick ...
Journal of financial economics,
12/2020, Letnik:
138, Številka:
3
Journal Article
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Odprti dostop
The promise of contingent convertible capital securities (CoCos) as a ”bail-in” solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects ...in practice. We undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: (1) the propensity to issue a CoCo is higher for larger and better capitalized banks; (2) CoCo issues result in a statistically significant decline in issuers’ CDS spread, indicating that they generate risk-reduction benefits and lower costs of debt (this is especially true for CoCos that convert into equity, have mechanical triggers, and are classified as Additional Tier 1 instruments); (3) CoCos with only discretionary triggers do not have a significant impact on CDS spreads; and (4) CoCo issues have no statistically significant impact on stock prices, except for principal write-down CoCos with a high trigger level, which have a positive effect.
The Need for Sarbanes-Oxley Park, James J
The Business Lawyer,
06/2023, Letnik:
78, Številka:
3
Journal Article, Trade Publication Article
Recenzirano
One view of the Sarbanes-Oxley Act of 2002 is that it was an overreaction to a handful of rogue actors at companies that filed for bankruptcy after the collapse of the internet bubble. If that was ...the case, the statute's mandates may have been unnecessary for most public companies. This article argues that Sarbanes-Oxley is instead best understood as a reaction to two waves of accounting-based securities frauds. The first wave happened years before the scandals at Enron and WorldCom and prompted extensive rulemaking by stock exchanges and the SEC. Congressional action was necessary after the second wave of securities fraud to supplement these earlier measures. The driving force behind both waves was the increasing pressure to meet quarterly projections that characterizes modern valuation. Sarbanes-Oxley is an appropriate structural response to this pressure.
Purpose This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like ...COVID-19.Design/methodology/approach The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021.Findings The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier.Research limitations/implications The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies.Originality/value The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment.
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a ...cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future.
On the Timing and Pricing of Dividends van Binsbergen, Jules; Brandt, Michael; Koijen, Ralph
The American economic review,
06/2012, Letnik:
102, Številka:
4
Journal Article
Recenzirano
Odprti dostop
We present evidence on the term structure of the equity premium. We recover prices of dividend strips, which are short-term assets that pay dividends on the stock index every period up to period T ...and nothing thereafter. It is short-term relative to the index because the index pays dividends in perpetuity. We find that expected returns, Sharpe ratios, and volatilities on short-term assets are higher than on the index, while their CAPM betas are below one. Short-term assets are more volatile than their realizations, leading to excess volatility and return predictability. Our findings are inconsistent with many leading theories. PUBLICATION ABSTRACT
We explore risk preference elicitation when subjects choose directly from an exogenously specified set of lotteries. Our choice tasks differ incrementally, e.g., from choosing between two lotteries ...to selecting a portfolio from a continuous set of bundled Arrow securities, and from text to spatial presentation. Each subject completes multiple instances of five different tasks, and responses for each task are summarized in parametric (CRRA) and non-parametric (normalized risk premium) measures of risk preference. Variation in task attributes explains much of the observed wide variation in elicited preferences and in correlations across task pairs.
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