The US Treasury market is vulnerable to stress

2021 ◽  
Keyword(s):  
Financial Market ◽  
Securities Market ◽  
Price Expectations ◽  
Content Type ◽  
Market Participants ◽  
The Us ◽  
Policy Conflicts ◽  
Treasury Market ◽  
Near Term ◽  
Corrective Intervention

Significance The US Treasuries securities market is the world's largest and most liquid financial market, and is relied on by market participants as a basis to price other risks. However, on several occasions in recent years, it has exhibited unusual behaviour under stress and required corrective intervention by the US Federal Reserve (Fed). Impacts The rebound remains vulnerable to COVID-19 spread, and the ongoing need for supportive measures will stoke policy conflicts for some time. The firmer link between policy and price expectations means that miscommunication may be more disruptive than in the 2013 ‘taper tantrum’. The Fed tapering of bond purchases over the near term could trigger interest rate rises, testing the resilience of the Treasury market.

scholarly journals Leading properties of GDT auctions for dairy prices

2020 ◽  
Vol 122 (7) ◽  
pp. 2303-2328
Author(s):  
Jakub Olipra
Keyword(s):  
Milk Powder ◽  
Price Transmission ◽  
Price Expectations ◽  
Content Type ◽  
Vector Error Correction ◽  
Vector Error ◽  
Setting Process ◽  
Dairy Markets ◽  
The Us ◽  
Vector Error Correction Models

PurposeProfessionals from the dairy sector commonly believe that the results of Global Dairy Trade (GDT) auctions are a good leading indicator for prices of dairy commodities. The purpose of this paper is to test that hypothesis for prices of key dairy commodities (skimmed milk powder (SMP), whole milk powder (WMP), butter and cheddar) in the main dairy markets (the US, EU and Oceania).Design/methodology/approachThe leading properties of the GDT auctions are investigated using vector error correction models (VECM).FindingsThe results show that prices at GDT auctions may be treated as a benchmark for global prices of WMP and SMP as they affect prices in all considered markets. However, in case of EU market the relationship with the GDT is bidirectional. GDT prices reveal some leading properties also in cheddar market, however price relationships in this market are much more complex. In case of butter market, GDT can be regarded as a benchmark only for Oceania.Practical implicationsThe results of this paper improve knowledge on price transmission in dairy markets, show the role of the GDT auctions in the price setting process, and thus may help professionals from the dairy sector to formulate their price expectations more precisely.Originality/valueDespite the fact that many professionals from the dairy sector treat GDT auctions as a benchmark, so far their leading properties have not been scientifically proven.

Noisy information and stock market returns

2016 ◽  
Vol 33 (3) ◽  
pp. 338-358 ◽  
Author(s):  
Gang Li
Keyword(s):  
Growth Rate ◽  
Financial Market ◽  
Stock Return ◽  
Equity Premium ◽  
Average Risk ◽  
Return Volatility ◽  
Content Type ◽  
Stock Return Volatility ◽  
Noisy Information ◽  
The Us

Purpose This paper aims to study whether noisy public information that investors receive about the expected aggregate dividend growth rate can help better understand the large average equity premium and stock return volatility in the US financial market. Design/methodology/approach This paper considers a dynamic asset pricing model with a representative agent, who cannot observe the expected growth rate of dividends and must learn its value by using noisy information. In addition, this paper presents a simple model for noisy information calibration. Findings With a coefficient of relative risk aversion below 10 and the time impatience parameter between 0 and 1, the calibrated model is able to yield an average risk-free interest rate, equity premium and stock return volatility that are close to the stylized facts in the US financial market. Originality/value First, this paper presents a different equilibrium model with a simple “catching up with the Joneses” preference and noisy information. Second, this paper develops a simple calibration procedure to calibrate the information process to study whether the calibrated model can help explain the large average equity premium and stock return volatility in the US financial market data.

Disconnect will grow between Fed policy and yields

2018 ◽  
Keyword(s):  
Yield Curve ◽  
Content Type ◽  
Volatility Index ◽  
Bond Yield ◽  
Downward Pressure ◽  
The Us ◽  
Us Government ◽  
European Banks ◽  
Near Term ◽  
Price Distortions

Subject US market dynamics. Significance The flattening of the US government bond yield curve -- the process in which yields on short-dated bonds converge with, or exceed, those on long-dated debt -- is fuelling debate about monetary policy and the outlook for global growth, especially US growth given the determination of the Federal Reserve (Fed) to raise rates steadily. Financial markets fear the Fed is being overly hawkish, but price distortions and technical factors appear to be driving the flattening more than economic weakness. Impacts The VIX volatility index, Wall Street’s 'fear' gauge, is signalling near-term stability. The Bank of Japan’s July policy tweaking led to the sharpest 10-year bond yield rise in two years, highlighting fears of stimulus ending. The Fed is raising rates, but China is loosening policy to boost GDP amid rising trade costs, putting downward pressure on the renminbi. Turkish borrowers owe European banks nearly 170 billion dollars, half to Spain and over 35 billion dollars to France, worrying the ECB.

Blockchain adoption will grow amid bitcoin volatility

2018 ◽  
Keyword(s):  
Financial Market ◽  
Hedge Funds ◽  
Stock Exchange ◽  
Equity Markets ◽  
Market Volatility ◽  
Seminal Paper ◽  
Content Type ◽  
The Us ◽  
Market Capitalisation ◽  
Swiss Stock Exchange

Subject Crypto market dynamics. Significance The market capitalisation of cryptocurrencies fell to below 250 billion dollars on April 6 from a record high of 827 billion on January 7. Greater regulation, coupled with more volatile global equity markets and the April 15 US tax filing deadline had prompted substantial cryptocurrency selling. However, the valuation has since recovered to more than 325 billion dollars, supported by the US deadline passing, a seminal paper on April 10 by Blossom Finance declaring bitcoin investment allowable under Sharia law and, most importantly, interest in uses for blockchain continuing to grow. Impacts Many crypto hedge funds have shut, many ICOs have failed and this will continue, but among the blockchain firms there will be big successes. The Swiss stock exchange plans to launch a cryptocurrency version of the Swiss franc; Switzerland will expand as an ICO hub. The rise in financial market volatility since February will intensify and persist as global trade tensions are increasing.

COVID-19 will transform commercial property dynamics

2020 ◽  
Keyword(s):  
Financial System ◽  
Price Expectations ◽  
Content Type ◽  
Commercial Property ◽  
Social Distancing ◽  
The Us

Significance Retail and hotel properties are bearing the brunt of the collapse in demand due to the imposition of lockdowns and social distancing measures. Impacts The massive injections of liquidity into the financial system are creating a disconnect between buyers’ and sellers’ price expectations. Occupier demand and transaction volumes have suffered but rental yields have not risen sharply, mainly because of ample liquidity. The number of hotels changing hands has fallen sharply in the US market, reflecting illiquidity and the damage from COVID-19 lockdowns.

Investor reaction to the audit engagement partner disclosure rule

2021 ◽  
Vol 36 (1) ◽  
pp. 167-190
Author(s):  
Hyungshin Park
Keyword(s):  
Audit Quality ◽  
Transition Period ◽  
Audit Fees ◽  
High Quality ◽  
Audit Risk ◽  
Content Type ◽  
Market Participants ◽  
Partner Disclosure ◽  
Public Company ◽  
The Us

Purpose This paper aims to examine whether investors perceive the adoption of Public Company Accounting Oversight Board (PCAOB) Rule 3211, which mandates disclosure of the identity of audit engagement partners for the US-listed companies, as providing net benefits to the companies. Design/methodology/approach This study identifies 33 events leading up to the adoption of the PCAOB rule and examines the market reaction around these events. Findings The author finds positive abnormal market-wide returns in response to events that increase the likelihood of adopting the mandate. These positive returns are relatively stronger among companies with higher audit risk and companies with high-quality auditors. Practical implications The results of this study indicate that market participants expect that the overall benefits from the audit engagement partner disclosure rule outweigh the associated costs for average firms and in particular for firms with high audit risk and high-quality auditors. Originality/value Prior studies document mixed evidence on the net effects of PCAOB Rule 3211 on audit quality and audit fees, potentially because of the short post-rule adoption period and the weak effect of the rule on audit quality and audit fees during the transition period. The author complements these studies by providing the first evidence on the way that the stock market reacts to events that change the likelihood of the adoption of the audit engagement partner disclosure mandate.

SEC’s disclosure effectiveness initiative reshapes MD&A disclosure requirements

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Richard J. Parrino
Keyword(s):  
Design Methodology ◽  
Securities And Exchange Commission ◽  
Financial Information ◽  
Content Type ◽  
Market Participants ◽  
Financial Condition ◽  
Disclosure Requirements ◽  
Depth Analysis ◽  
The Us ◽  
Financial Disclosures

Purpose This article examines rule amendments issued by the US Securities and Exchange Commission in November 2020, as part of the SEC’s ongoing “disclosure effectiveness initiative”, that revise in significant respects the requirements for financial disclosures presented in SEC filings as Management’s Discussion and Analysis of Financial Condition and Results of Operations. Design/methodology/approach This article provides an in-depth analysis of the rule amendments in the context of contrasting perspectives expressed by the SEC, individual SEC Commissioners who dissented from adoption of the amendments, and market participants regarding the merits of the SEC’s movement away from prescriptive disclosure requirements towards a more principles-based approach to disclosure. Findings Although the SEC’s rules have long reflected a mix of principles-based and prescriptive disclosure elements, the principles-based emphasis in this latest stage of the SEC’s disclosure modernization project accords the managements of filing companies greater latitude to determine whether financial information is material to investors and how such information should be presented. Originality/value This article provides expert guidance on a major new SEC disclosure development from an experienced securities lawyer.

scholarly journals Evolution of Professional Participants in Russian Securities Market

2019 ◽  
Vol 29 (3) ◽  
pp. 416-424
Author(s):  
Irina Alekseeva ◽  
Ksenia Ovchinnikova
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Public Involvement ◽  
Scientific Literature ◽  
Regulatory Framework ◽  
Securities Market ◽  
Sharp Decline ◽  
Investment Activity ◽  
Market Participants ◽  
Domestic Stock

The securities market is one of the most important segments of the financial market of any state. The development of the Russian securities market can be judged on the basis of the development of its participants, their evolution. An analysis of today’s economic scientific literature shows an insufficient coverage of the evolution of professional participants in the domestic stock market. The article considers the changes in the composition of professional participants of the securities market, analyzes the regulatory framework that have given rise to these changes. It brings forth the reasons for the changes and expectations of financial market participants from the changes, presents the dynamics of the number of over the period of 2008–2018. The article reveals a sharp decline in the number of professional participants, determines the causes of this trend. It places an emphasis on the significance of including the investment advisors in the ranks of professional participants of the securities market in order to increase public involvement in the investment activity.

scholarly journals Influence of speculative operations on the investment capital: Anempirical analysis of capital markets

2021 ◽  
Vol 234 ◽  
pp. 00084
Author(s):  
Anna Slobodianyk ◽  
George Abuselidze
Keyword(s):  
Financial Market ◽  
Significant Role ◽  
Capital Market ◽  
Crucial Role ◽  
Stock Exchange ◽  
Securities Market ◽  
Economic Agents ◽  
Market Participants ◽  
Existence And Stability ◽  
Investment Capital

The article is devoted to substantiation of significance of speculative operations and follows the goal to study their condition and development. The purpose of this article is to reveal the essence of the speculative component of the movement of investment capital in stock exchange. It is substantiated that existence and stability of the securities market plays a significant role in development of financial market, which in turn becomes a key element in the mechanism of economy. The authors emphasize that the liquid market continues to function even with a large number of economic agents while price fluctuation of securities have a little change. It has been established that speculation can be carried out on the stock exchange both using cash and in futures transactions. However, operating with cash transactions has fewer combinations and in general less profitable, thus the main arena of speculators becomes the market of future transactions. It has been proven that speculative profits are possible during both “bullish games” and in shorting’s, thus becoming an important tool for additional attraction of investments. Consequently, speculations have a crucial role in achieving a balance between capital market participants.

Puerto Rico debt deal could hasten economic recovery

2021 ◽  
Keyword(s):  
House Of Representatives ◽  
Congressional Elections ◽  
Deep Uncertainty ◽  
Political Issue ◽  
Content Type ◽  
Service Contracts ◽  
The Us ◽  
Business Confidence ◽  
Near Term ◽  
Heavy Damage

Significance This provides a 25-year debt servicing schedule, but leaves suppliers with unpaid public service contracts as the main losers. Puerto Rico’s finances will be under renewed scrutiny this week as the US House of Representatives holds hearings on two different bills that would offer a path to statehood. Impacts After a period of deep uncertainty, the debt settlement should help near-term business confidence rebound. Washington’s interest is linked to next year’s congressional elections, as Puerto Rico’s future is a political issue in Florida. The island’s infrastructure has suffered heavy damage recently, but the debt settlement should provide a framework for recovery.

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