scholarly journals Long‐term government debt and household portfolio composition

10.3982/qe836 ◽  
2019 ◽  
Vol 10 (3) ◽  
pp. 1109-1151 ◽  
Author(s):  
Andreas Tischbirek
Keyword(s):  
Stock Returns ◽  
Portfolio Choice ◽  
Participation Rate ◽  
Government Debt ◽  
Short Term ◽  
Distribution Of Wealth ◽  
Consumer Finances ◽  
Household Portfolio ◽  
Debt Market

Formal dynamic analyses of household portfolio choice in the literature focus on holdings of equity and a risk‐free asset or bonds of different maturities, neglecting the interdependence of the decisions to invest in equity, short‐term and long‐term bonds made by households. Data from the Survey of Consumer Finances is used to derive stylized facts about participation in the long‐term government‐debt market and conditional portfolio shares. To explain the mechanisms underlying these facts, I draw on a life‐cycle model in which investors have access to three financial assets—equity, long‐term debt, and a riskless short‐term bond—and are exposed to uninsurable idiosyncratic risk through nonfinancial income as well as aggregate risk through the asset returns. An application shows that the low Treasury returns observed in the US between 2009 and 2013 have quantitatively significant yet transitory effects on the composition of household portfolios. In combination with the observed rise in stock returns, they lead to persistent changes in the participation rate, the conditional portfolio shares, and the distribution of wealth.

scholarly journals Short-Term Exuberance and Long-Term Stability: A Simultaneous Optimization of Stock Return Predictions for Short and Long Horizons

Mathematics ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 620
Author(s):  
Ioannis Kyriakou ◽  
Parastoo Mousavi ◽  
Jens Perch Nielsen ◽  
Michael Scholz
Keyword(s):  
Stock Returns ◽  
Simultaneous Optimization ◽  
Investment Risk ◽  
Short Term ◽  
Fundamental Interest ◽  
Long Term Stability ◽  
Risk Appetite ◽  
Short And Long Term ◽  
Excess Stock Returns

The fundamental interest of investors in econometric modeling for excess stock returns usually focuses either on short- or long-term predictions to individually reduce the investment risk. In this paper, we present a new and simple model that contemporaneously accounts for short- and long-term predictions. By combining the different horizons, we exploit the lower long-term variance to further reduce the short-term variance, which is susceptible to speculative exuberance. As a consequence, the long-term pension-saver avoids an over-conservative portfolio with implied potential upside reductions given their optimal risk appetite. Different combinations of short and long horizons as well as definitions of excess returns, for example, concerning the traditional short-term interest rate but also the inflation, are easily accommodated in our model.

scholarly journals Short-term and long-term government debt and nonresident interest withholding taxes

1998 ◽  
Vol 68 (3) ◽  
pp. 309-334 ◽  
Author(s):  
Sylvester C.W Eijffinger ◽  
Harry P Huizinga ◽  
Jan J.G Lemmen
Keyword(s):  
Government Debt ◽  
Short Term ◽  
Withholding Taxes

Labor lawsuits and debt maturity

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Omer Unsal
Keyword(s):  
Chief Executive ◽  
Debt Maturity ◽  
Employee Relations ◽  
Short Term ◽  
Content Type ◽  
Negative Effect ◽  
Debt Market ◽  
Legal Fees

Purpose This paper aims to investigate how firms’ relationships with employees define their debt maturity. The authors empirically test the role of employee litigations in influencing firms’ choice of short-term versus long-term debt. The authors study employee relations by analyzing the importance of the workplace environment on capital structure. Design/methodology/approach The author’s test hypotheses using a sample of US publicly traded firms between 2000 and 2017, including 3,056 unique firms with 4,256 unique chief executive officer, adopting the fixed effect panel model. Findings The authors document that employee litigations have a significant negative effect on the use of short-term debt and a significant positive affect on long-term debt. Employee litigations, along with legal fees, outcomes and charging parties, matter the most in explaining debt maturity. In addition, frequently sued firms abandon the short-term debt market and use less shareholders’ equity to finance their operations while relying more on the longer debt market. Originality/value To the best of the authors’ knowledge, this is the first study to examine the role of employee mistreatment in debt maturity choice. The study extends the lawsuit and finance literature by examining unique, hand-collected data sets of employee lawsuits, allegations, violations, settlements, charging parties, case outcomes and case durations.

scholarly journals Contrarian and Momentum Strategies in the Indian Capital Market

2002 ◽  
Vol 27 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Sanjay Sehgal ◽  
I Balakrishnan
Keyword(s):  
Stock Returns ◽  
Indian Market ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Holding Period ◽  
The Us ◽  
One Year

The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in conformity with those for developed capital markets such as the US.

Short-term performance of stocks after fraudulent financial reporting announcement

2019 ◽  
Vol 26 (2) ◽  
pp. 464-476 ◽  
Author(s):  
Mehmet Eryigit
Keyword(s):  
Financial Markets ◽  
Stock Returns ◽  
Financial Reporting ◽  
Abnormal Return ◽  
Fraudulent Financial Reporting ◽  
Short Term ◽  
Content Type ◽  
Publicly Traded Companies ◽  
Company Stock

Purpose Availability of accurate and reliable information in financial markets helps investors make well-informed decisions on capital allocations which is beneficial for long-term economic growth. In this regards, the role of auditing firms that inspect the financial statements of the publicly traded companies in sound operation of financial markets has been increasing. The Capital Market Board of Turkey (CMBT) has the task and responsibility of investigating fraudulent information disseminated by the firms whose stocks are traded in Borsa Istanbul. The investigations can lead to monetary penalties if fraud is proven and the results are published by CMBT in its weekly bulletin. The present study aims to examine the effect of announcements of financial irregularities of companies in CMBT Bulletin on the performance of the relevant company stock in the short term. Design/methodology/approach This study uses abnormal return, cumulative abnormal return and cumulative average abnormal return as metrics and parametric, as well as non-parametric tests to ascertain whether the announcements of financial irregularities in company operations have any statistically significant effect on the return of its stock. Findings The results indicate that publication of the financial penalty news by CMBT in its bulletin has almost no statistically significant influence on the performance of the relevant companies’ stock in Borsa Istanbul. The findings indicate that either the investors in this particular markets do not consider such news relevant to long-term success of the firm or the announcement does not provide any new information and penalties have been priced into the stock before the announcement in the bulletin. Originality/value In literature there is no more research about the effect of the announcements of administrative monetary penalties and crime complaints on the stock returns.

scholarly journals On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Energies ◽  
2019 ◽  
Vol 12 (8) ◽  
pp. 1463 ◽  
Author(s):  
Daniel Ştefan Armeanu ◽  
Camelia Cătălina Joldeş ◽  
Ştefan Cristian Gherghina
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Energy Market ◽  
Hard Coal ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Short Term ◽  
Market Participants ◽  
Johansen Cointegration Test

his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

The Effect of Aggregate Economic Variables on Congressional Elections

1975 ◽  
Vol 69 (4) ◽  
pp. 1232-1239 ◽  
Author(s):  
Francisco Arcelus ◽  
Allan H. Meltzer
Keyword(s):  
Economic Growth ◽  
Voting Behavior ◽  
Participation Rate ◽  
Congressional Elections ◽  
Short Term ◽  
Economic Variables ◽  
Principal Finding ◽  
Term Performance

This paper uses rational voting behavior as an organizing device to develop a framework within which to consider the effect of economic aggregates on voters. Unlike most previous studies, ours permits the voter to vote for candidates of either party or to abstain. A principal finding is that the effect of the main economic aggregates on the participation rate is much clearer than the effects on either party. Our results deny that an incumbent administration can affect the control of Congress by stimulating the economy. Voters appear to make judgments about inflation, unemployment and economic growth. We investigated on the basis of long-term, not short-term performance.

scholarly journals Long and Short-term Volatility Comovements in the East Asian Stock

2017 ◽  
Vol 4 (3) ◽  
pp. 14
Author(s):  
Jin Yong Yang ◽  
Sang-Heon Lee ◽  
In-Sung Yeo
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
East Asia ◽  
Stock Returns ◽  
East Asian ◽  
Short Term ◽  
Volatility Clustering ◽  
Volatility Model ◽  
Starting Point

This study analyzed volatility comovement and contagion in the stock markets of four countries (China, Japan, Korea, and Taiwan) in East Asia, which are closely connected with each other geographically and economically in terms of short-term and long-term perspectives. The volatility of stock returns has complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers. This study reviewed the volatility comovement and contagion in a stock market from long-term and short-term perspectives with the Bivariate Markov Switching Multifractal (BMSM) volatility model that is known for explaining such characteristics well, in spite of using small number of parameters. The empirical analysis results are as follows: China has no significant correlation with the other three countries. Therefore, China stock market is regarded as isolated or segmented market. The influence of the financial crisis on East Asian countries varies depending on the country. Regardless of the starting point of the crisis, Korea and Taiwan are shown to be vulnerable to external impact, compared to China and Japan. From the perspective of the nature of crisis, financial crisis that occurred in 1997 in East Asia and South Europe in 2011 were identified as local shocks as they had an impact on only a few countries, while the global crisis in 2008 was identified as global shock because it caused significant short-term and/or mid and long-term volatility of all countries.

scholarly journals Analisis pengaruh informasi laba terhadap perilaku investor di pasar sekunder

2018 ◽  
Vol 22 (1) ◽  
Author(s):  
Farichah Farichah
Keyword(s):  
Stock Returns ◽  
Initial Public Offering ◽  
Trading Volume ◽  
Stock Exchange ◽  
Investment Decision ◽  
Secondary Market ◽  
Short Term ◽  
Stock Trading ◽  
Earnings Information

After going through initial public offering process, the company must trade its shares in the secondary market. Companies should conduct signaling to users, such as investors and potential investors by providing information that can be utilized as a basis for investment decision making. The information announced (which includes earnings information) is expected to have a quality that allows investors and potential investors to predict company performance in the future. This study was conducting  to investigate investors behaviour by observing trading volume, stock returns and earnings response coeffesient (ERC) in the short and long term. This study uses data and samples from the Indonesia Stock Exchange from 2006 to 2015. Hypothesis testing is done by using multiple linear regression and independent sample t test. The result showed that earnings information give effect to trading volume, stock returns, and ERC  in short term (one year after IPO)  and  long term (for 5 years or more after IPO). The next result in the short term the stock trading volume, stock returns, and ERC is greater when compared with the volume of stock trading, stock returns, and ERC in the long term.

Market States and Momentum: Evidence from the Dhaka Stock Exchange

2017 ◽  
Vol 20 (02) ◽  
pp. 1750011 ◽  
Author(s):  
Mostafa Saidur Rahim Khan
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Market Performance ◽  
Regression Coefficients ◽  
Nonlinear Relationship ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Profits

This study examines the momentum effect in the Dhaka Stock Exchange (DSE) listed stock returns on the basis of market states. Momentum profits are found to be significantly positive in UP market states but insignificant in DOWN market states. Momentum profits evident in UP market states are also found to revert in the long term. The evidence of short term momentum and long term reversal hold true even after adjusting for risks. In addition to short-term momentum and long-term reversal, regression coefficients also provide evidence for a positive but nonlinear relationship between momentum profits and market states. Maximum momentum profits are found at the median market performance not at the peak. Findings of this study suggest that investors’ overreaction causes momentum profits in the DSE.

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