Abstract: Institutional Portfolio Restrictions, Diverse Investor Opportunity Sets, and Securities Market Equilibrium

1977 ◽  
Vol 12 (4) ◽  
pp. 637-637 ◽  
Author(s):  
David W. Glenn
Keyword(s):  
Securities Market ◽  
Securities Markets ◽  
Expected Return ◽  
Market Prices ◽  
Risky Assets ◽  
Opportunity Sets ◽  
Market Portfolio ◽  
Risk Dimensions ◽  
The Impact ◽  
Two Parameter

This paper utilizes a two-parameter model of segmented securities markets to develop equilibrium implications concerning the impact of statutory investment restrictions upon the market prices and allocation of risky securities. The distinguishing feature of the model is the existence of a subset of securities common to the opportunities of all investors and therefore said to “span” the investor population. These common opportunities are shown to permit intersubset security transactions which integrate the various market segments and lead to the following theorem and tendency concerning equilibrium prices and portfolios:Theorem: In the absence of active barriers against short positions, the equilibrium expected return for any security spanning the investor population is an exact linear function of its contribution to total market risk, irrespective of the number of distinct investor segments that may exist.Tendency: The economic characteristics of the equilibrium risky portfolio for any investor, irrespective of the market segment to which he or she may belong, will approximate the characteristics of the market portfolio of all risky assets in the economy in all relevant risk dimensions.

Intertemporal Relation Between The Expected Return And Risk: An Evaluation Of Emerging Market

2013 ◽  
Vol 29 (3) ◽  
pp. 809 ◽  
Author(s):  
Zhongyi Xiao ◽  
Peng Zhao
Keyword(s):  
Risk Premium ◽  
Emerging Market ◽  
Multivariate Garch ◽  
Capital Asset Pricing ◽  
Font Size ◽  
Expected Return ◽  
Cross Sectional ◽  
Risky Assets ◽  
Market Portfolio

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; line-height: 11.5pt; layout-grid-mode: char; mso-layout-grid-align: none; mso-line-height-rule: exactly; tab-stops: 266.7pt;" class="MsoNormal"><span style="color: black; font-family: &quot;Times New Roman&quot;,&quot;serif&quot;; font-size: 10pt; mso-themecolor: text1;">This paper explores the intertemporal relationship between the expected return and risk in Chinese exchange market. We investigate the characterization of time-series variation in conditional variance and capture the cross-sectional correlation among equity portfolios by incorporating multivariate GARCH-M model with dynamic conditional covariance (DCC). Restricting the slope to be the same across risky assets, the risk-return coefficient is estimated to be positive and highly significant. In addition, the estimates of portfolio-specific slopes provide evidence to support the robustness across different portfolio formations. Our findings, in the Intertemporal Capital Asset Pricing Model (ICAPM) framework, reveal that the risk premium induced by the conditional covariation of equity portfolio with the market portfolio remain positive after controlling for risk premia induced by conditional covariation with Fama French benchmark factors (HML and SMB). The SMB factor might provide a significant predictive power to hedge against market risk. However, four indices of alternative investments are not consistently priced in the ICAPM framework.</span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

Understanding the Impact of Securities Markets Reform on the Economy of Brazil

2014 ◽  
pp. 339-349
Author(s):  
Deboshree Banerji ◽  
Rituparna Das
Keyword(s):  
Global Economy ◽  
Developing Economies ◽  
The Other ◽  
Securities Market ◽  
Securities Markets ◽  
The Past ◽  
The World ◽  
International Standing ◽  
The Impact ◽  
Insight Into

The economic strength of a country depicts the international standing of a nation and also reflects the significance of the country in moulding the trends of the global economy equally. The Brazilian economy, like many developing economies, has many facets that have developed and matured with time. The Brazilian securities market has undergone much change over the past decade. The reforms that started with the implementation of the “Plano Real” have accelerated the Brazilian market and economy exponentially, thus making the economy one of the major investment destinations, with some calling it the “next superpower.” The fact that the Brazilian economy is a commodities-dominated economy has led the authors to probe into the various nuances related to the securities markets of Brazil, leading to this chapter through which we get a glimpse into the reforms in the securities market and the effect it has on the country as well as the world. The chapter meanders through the development of the Brazilian economy and provides insight into the heart of the Brazilian economy, thereby discussing the effect of the reforms on the economy of the country, how the same strikes the global economy, and the lessons that the country can learn from the other BRICS counterparts, through which it can consolidate its position.

Regulatory changes for redesigned securities markets with distributed ledger technology

2020 ◽  
Vol 35 ◽  
Author(s):  
Muthukkumarasamy Thuvarakan
Keyword(s):  
Information Disclosure ◽  
Regulatory Compliance ◽  
Securities Market ◽  
Securities Markets ◽  
Payment Systems ◽  
Regulatory Changes ◽  
Distributed Ledger ◽  
Distributed Ledger Technology ◽  
Potential Applications ◽  
The Impact

Abstract Distributed ledger technology (DLT) is regarded as a revolutionary solution that offers immutability, transparency, trust, and efficiency while ‘transcending law and regulation’. One of the potential applications of DLT is in the securities market. Share registration, settlement, regulatory compliance, information disclosure, payment systems, and market service requirements can be redesigned with the use of DLT. This paper will examine the impact that such changes will have on legal theories and governance, while also discussing the effects on enforcement techniques. In addition, general blockchain-legal issues will be critically analyzed in the context of securities markets.

Assessing Impact of Freshwater Lake Ecosystem on Residential Property Prices using Hedonic Property Pricing approach: Evidence from Vellayanilake of Kerala

2020 ◽  
pp. 125-130
Keyword(s):  
Economic Effect ◽  
Lake Ecosystem ◽  
Aesthetic Value ◽  
Market Prices ◽  
Scenic Beauty ◽  
Property Prices ◽  
Property Price ◽  
Valuation Technique ◽  
Hedonic Property ◽  
The Impact

ABSTRACT The ecosystem services provided by wetlands can be direct or indirect. The direct services can be mostly valued through market prices, but the indirect service like aesthetic beauty and its impact on property prices surrounding the natural resource cannot be directly measured. To single out the economic effect of particular amenity which influenced the land property prices, the advanced valuation technique Hedonic property pricing was most popularly used. In this study, it was attempted to assess using the hedonic property pricing technique, the impact of the presence of the freshwater body, the Vellayani Lake on land property prices surrounding it. The results revealed that the marginal implicit price of getting one cent of land with lake view evaluated at mean property price of Rs. 2,44250 was Rs.79171. The total aesthetic value of land with the scenic beauty of the lake was Rs. 275.92 crores.

scholarly journals Effect of Storage Conditions on Storability and Antioxidant Potential of Pears cv. ‘Conference’

Agriculture ◽  
2021 ◽  
Vol 11 (6) ◽  
pp. 545
Author(s):  
Grzegorz P. Łysiak ◽  
Krzysztof Rutkowski ◽  
Dorota Walkowiak-Tomczak
Keyword(s):  
Mass Loss ◽  
Strong Influence ◽  
Storage Conditions ◽  
Quality Parameters ◽  
Soluble Solids ◽  
Controlled Atmosphere ◽  
Postharvest Diseases ◽  
Market Prices ◽  
Long Period ◽  
The Impact

Late pear cultivars, such as ‘Conference’, can be stored for a long period if kept in good storage conditions. A three-year study (2011–2013) compared the impact of six-month storage using four technologies—normal atmosphere, normal atmosphere + 1-methylcyclopropene (1-MCP), controlled atmosphere, and controlled atmosphere + 1-MCP—on the quality parameters of ‘Conference’ pears, such as mass loss, firmness, total soluble solids, acidity, antioxidant capacity, and the incidence of diseases and disorders. Additionally, the study analysed different storage conditions in terms of profitability, based on the market prices for pears in the seasons during which the pears were stored. The storage conditions had a very strong influence on the fruit quality parameters, and were found to affect most visibly the mass loss and the incidence of postharvest diseases and disorders. The storage of ‘Conference’ pears for 180 days in normal atmosphere is not economically viable, even if the fruit is subjected to 1-MCP treatment; at the same time, it is profitable to store ‘Conference’ pears in controlled atmosphere for the same period, no matter whether 1-MCP was applied or not.

scholarly journals Grading Investment Diversification Options in Presence of Non-Historical Financial Information

Mathematics ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 692
Author(s):  
Clara Calvo ◽  
Carlos Ivorra ◽  
Vicente Liern ◽  
Blanca Pérez-Gladish
Keyword(s):  
Risk Measure ◽  
Statistical Information ◽  
Expected Returns ◽  
Financial Assets ◽  
Expected Return ◽  
Additional Information ◽  
Subjective Risk ◽  
The Impact ◽  
Statistical Risk ◽  
Reduction Index

Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owned by the investor. To address this problem, we introduce an indicator, the historical reduction index, measuring the expected reduction of the expected return due to a given set of diversification constraints. We show that it can be used to grade the impact of each possible set of diversification constraints. Hence, the investor can choose from this gradation, the set better fitting his subjective risk-aversion level.

scholarly journals Light a lamp and look at the stock market

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Radeef Chundakkadan
Keyword(s):  
Stock Market ◽  
Financial Distress ◽  
Investor Sentiment ◽  
Downside Risk ◽  
Bond Yields ◽  
Risky Assets ◽  
Market Participants ◽  
Market Return ◽  
The Impact

AbstractIn this study, we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown. This event happened across the country, and millions of people participated in it. We link this event to the stock market through investor sentiment and misattribution bias. We find a 9% hike in the market return on the post-event day. The effect is heterogeneous in terms of beta, downside risk, volatility, and financial distress. We also find an increase (decrease) in long-term bond yields (price), which together suggests that market participants demanded risky assets in the post-event day.

scholarly journals Multi-Period Portfolio Optimization with Investor Views under Regime Switching

2020 ◽  
Vol 14 (1) ◽  
pp. 3
Author(s):  
Razvan Oprisor ◽  
Roy Kwon
Keyword(s):  
Regime Switching ◽  
Portfolio Allocation ◽  
Ease Of Use ◽  
Future Research ◽  
Expected Return ◽  
Asset Return ◽  
Market Portfolio ◽  
New Information ◽  
Trading Model ◽  
Portfolio Managers

We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive design that incorporates the latest asset return regimes to quantitatively solve managers’ question: how certain should one be that a given investment view is occurring? First, we describe a framework for multi-period portfolio allocation formulated as a convex optimization problem that trades off expected return, risk and transaction costs. Using a framework borrowed from model predictive control introduced by Boyd et al., we employ optimization to plan a sequence of trades using forecasts of future quantities, only the first set being executed. Multi-period trading lends itself to dynamic readjustment of the portfolio when gaining new information. Second, we use the Black-Litterman model to combine investment views specified in a simple linear combination based format with the market portfolio. A data-driven method to adjust the confidence in the manager’s views by comparing them to dynamically updated regime-switching forecasts is proposed. Our contribution is to incorporate both multi-period trading and interpretable investment views into one framework and offer a novel method of using regime-switching to determine each view’s confidence. This method replaces portfolio managers’ need to provide estimated confidence levels for their views, substituting them with a dynamic quantitative approach. The framework is reactive, tractable and tested on 15 years of daily historical data. In a numerical example, this method’s benefits are found to deliver higher excess returns for the same degree of risk in both the case when an investment view proves to be correct, but, more notably, also the case when a view proves to be incorrect. To facilitate ease of use and future research, we also developed an open-source software library that replicates our results.

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