Do IPOs outperform Treasury bills?

2021 ◽  
pp. 102610
Author(s):  
Gow-Cheng Huang ◽  
Kartono Liano ◽  
Ming-Shiun Pan
Keyword(s):  
Treasury Bills

scholarly journals A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 1030
Author(s):  
Oscar V. De la Torre-Torres ◽  
Evaristo Galeana-Figueroa ◽  
José Álvarez-García
Keyword(s):  
Markov Switching ◽  
Stock Index ◽  
Portfolio Performance ◽  
Trading Costs ◽  
Weighting Method ◽  
Treasury Bills ◽  
Markov Switching Models ◽  
Switching Models ◽  
Asset Portfolio ◽  
Stock Portfolio

In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the Eurostoxx 50 (ESTOXX50) stock index, we forecasted the smoothed regime-specific probabilities at T + 1 and used them as the weighting method of a diversified portfolio in ESTOXX50 and ESTOSS50 volatility index (VSTOXX) futures. With the estimated smoothed probabilities from 9 July 2009 to 29 September 2020, we simulated the performance of three theoretical investors who paid different trading costs and invested in ESTOXX50 during calm periods (low volatility regime) or VSTOXX futures and the three-month German treasury bills in distressed or highly distressed periods (high and extreme volatility regimes). Our results suggest that diversification benefits hold in the short-term, but if a given investor manages a two-asset portfolio with ESTOXX50 and our simulated portfolios, the stock portfolio’s performance is enhanced significantly, in the long term, with the presence of trading costs. These results are of use to practitioners for algorithmic and active trading applications in ESTOXX50 ETFs and VSTOXX futures.

scholarly journals An Efficient Ascending-Bid Auction for Multiple Objects

2004 ◽  
Vol 94 (5) ◽  
pp. 1452-1475 ◽  
Author(s):  
Lawrence M Ausubel
Keyword(s):  
Privacy Preservation ◽  
Winner's Curse ◽  
Multiple Objects ◽  
Vickrey Auction ◽  
Treasury Bills ◽  
Winner’S Curse ◽  
Sealed Bid ◽  
Interdependent Values ◽  
Private Values ◽  
Current Price

When bidders exhibit multi-unit demands, standard auction methods generally yield inefficient outcomes. This article proposes a new ascending-bid auction for homogeneous goods, such as Treasury bills or telecommunications spectrum. The auctioneer announces a price and bidders respond with quantities. Items are awarded at the current price whenever they are “clinched,” and the price is incremented until the market clears. With private values, this (dynamic) auction yields the same outcome as the (sealed-bid) Vickrey auction, but has advantages of simplicity and privacy preservation. With interdependent values, this auction may retain efficiency, whereas the Vickrey auction suffers from a generalized Winner's Curse.

scholarly journals TREASURY BILLS AND/OR CENTRAL BANK BILLS FOR ABSORBING SURPLUS LIQUIDITY: THE MAIN CONSIDERATIONS

2013 ◽  
Vol 04 (02) ◽  
pp. 1350011
Author(s):  
OBERT NYAWATA
Keyword(s):  
Central Bank ◽  
Banking System ◽  
Central Banks ◽  
Market Development ◽  
Practical Reasons ◽  
Treasury Bills ◽  
Positive Externalities ◽  
Excess Liquidity ◽  
Challenging Question ◽  
Transmission Of Monetary Policy

This paper discusses the challenging question of whether central banks should use Treasury bills or central bank bills for draining excess liquidity in the banking system. While recognizing that there are practical reasons for using central bank bills, the paper argues that Treasury bills are the first best option especially because of the positive externalities for the financial sector and the rest of the economy. However, the main considerations in the choice should be: (i) operational independence for the central bank; (ii) market development; and (iii) the strengthening of the transmission of monetary policy impulses.

scholarly journals Interest Rates and Foreign Investor Activity in Kenya: Evidence from Nairobi Securities Exchange

2020 ◽  
pp. 75-82
Author(s):  
Loice Koskei
Keyword(s):  
Interest Rates ◽  
Inflation Rate ◽  
Time Series Data ◽  
Multiple Regression Model ◽  
Series Data ◽  
Foreign Investor ◽  
National Bureau ◽  
Treasury Bills ◽  
Monthly Data ◽  
Deposit Rate

Interest rates play a key role in attracting foreign investor activity in the country. This study investigated the effect of interest rates on foreign investor activity at Nairobi Securities Exchange in Kenya. Monthly data was collected from Nairobi Securities Exchange, Central Bank of Kenya and Kenya National Bureau of Statistics. Time series data for eleven year period spanning from January 2009 to December 2019 was used.  The multiple regression model results disclosed that interest rates as measured by lending rate had a positive and statistically significant effect on foreign investor. Inflation rate results had a negatively but statistically significant effect on foreign investor. The results for exchange rate had a negative but statistically insignificant effect on foreign investor activity. The deposit rate results indicated a negative and statistically significant effect on foreign investor activity implying that commercial banks deposit rate has an effect on foreign investor activity. The results for 91-day treasury bills specified a positive and non-statistically insignificant relationship with foreign investor activity pointing that for 91- day treasury bills do not affect the foreign investor activity at Nairobi securities exchange in Kenya.

Globalization of Financial Risks and Evaluation of Common Stocks

2014 ◽  
pp. 231-240
Author(s):  
Dilaysu Cinar
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Global Economy ◽  
Cash Flows ◽  
Financial Risks ◽  
Treasury Bills ◽  
Government Bonds ◽  
Common Stocks ◽  
Management Policies ◽  
Globalization Strategy

Risk can be defined as uncertainty about the events that will occur in the future. Risks are encountered in all areas of life, and become more important when it comes to financial markets. Risk in financial markets is defined as investment securities. If the investment vehicle is government bonds or treasury bills, they are considered to be free of risk. Because of the sudden changes in exchange rates in the process of globalization or fluctuations in interest rates influencing the cash flows of companies, most companies consider hedging as a viable part of the globalization strategy. Risk management policies to ease problems and disasters, which may arise from the use of instruments. The stock market serves as a bridge between economic activity and finance under favor of functions such as reducing the risk of investment, and it meets the capital needs for companies. For this reason, the development of stock markets plays an important role for the global economy and finance. Thus, the aim of this chapter is to introduce financial risks and their effect on common stocks.

Treasury Bills

1972 ◽  
pp. 91-101
Author(s):  
Paul Einzig
Keyword(s):  
Treasury Bills

scholarly journals Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly

2015 ◽  
Vol 105 (5) ◽  
pp. 315-320 ◽  
Author(s):  
Malcolm Baker ◽  
Jeffrey Wurgler
Keyword(s):  
Capital Structure ◽  
Stock Returns ◽  
Cost Of Capital ◽  
Weighted Average ◽  
Capital Requirements ◽  
Structure Theory ◽  
Treasury Bills ◽  
Percentage Point Increase ◽  
Point Increase ◽  
The Cost

Traditional capital structure theory predicts that reducing banks' leverage reduces the risk and cost of equity but does not change the weighted average cost of capital, and thus the rates for borrowers. We confirm that the equity of better-capitalized banks has lower beta and idiosyncratic risk. However, over the last 40 years, lower risk banks have not had lower costs of equity (lower stock returns), consistent with a stock market anomaly previously documented in other samples. A calibration suggests that a binding ten percentage point increase in Tier 1 capital to risk-weighted assets could double banks' risk premia over Treasury bills.

scholarly journals Gold shares or krugerrands: Which is the better investment?

1986 ◽  
Vol 17 (2) ◽  
pp. 49-55
Author(s):  
J. F. Affleck-Graves ◽  
G. D.I. Barr
Keyword(s):  
South African ◽  
Stock Exchange ◽  
Risk Level ◽  
Market Theory ◽  
Treasury Bills ◽  
The Past ◽  
Johannesburg Stock Exchange ◽  
Markowitz Portfolio ◽  
Capital Market Theory ◽  
Portfolio Selection Model

In this study we examine the performance of krugerrands vis-à-vis gold shares on the Johannesburg Stock Exchange over the period 1980 - 1983. Using the Markowitz portfolio selection model and Sharpe's capital market theory we are able to demonstrate that over the past few years, krugerrands have produced sub-optimal returns for the South African investor. This follows because in each year the investor would have been better off in some combination of gold shares and treasury bills rather than in krugerrands, no matter what risk level he chose. Furthermore, even in the naive case where the investor merely buys the gold share index, krugerrands are shown to be an inferior investment.

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