The determinant factors of momentum strategies in international capital markets

Αυτή η διατριβή αποτελείται από τρεις μελέτες που διερευνούν στρατηγικές ωθήσεως (momentum) στις ευρωπαϊκές αγορές. Ακόμα κι αν κάθε μία από τις τρεις μελέτες μπορεί να σταθεί ανεξάρτητα, μαζί συνθέτουν ένα ολόκληρο δοκίμιο με διαδοχικά μέρη και αλληλένδετα ευρήματα και έννοιες. Κάθε μέρος μπορεί να θεωρηθεί ως συνέχεια του προηγούμενου. Τα αποτελέσματα έχουν σημασία όχι μόνο για τη σχετική ακαδημαϊκή έρευνα αλλά και για τους συμμετέχοντες στην αγορά, όπως οι μεγάλοι διεθνείς θεσμικοί επενδυτές, των οποίων το επενδυτικό στυλ εστιάζει σε στρατηγικές ωθήσεως (momentum).Η πρώτη μελέτη (Κεφάλαιο 2) εξετάζει την κερδοφορία των στρατηγικών ωθήσεως (momentum) για ένα δείγμα αγορών της Ευρωζώνης καθώς και του Ηνωμένου Βασιλείου και της Σουηδίας. Τα κύρια ερευνητικά ερωτήματα εδώ είναι (α) εάν αυτές οι στρατηγικές είναι κερδοφόρες στις εξεταζόμενες αγορές, (β) ποιες συγκεκριμένες στρατηγικές είναι πιο κερδοφόρες και (γ) εάν τα αποτελέσματα είναι συνεπή σε όλες τις εξεταζόμενες αγορές. Πιο συγκεκριμένα, ένας μεγάλος αριθμός στρατηγικών με διαφορετικούς συνδυασμούς περιόδων κατάταξης (ranking) και κατοχής (holding) αξιολογείται εμπειρικά για την περίοδο από τον Δεκέμβριο του 1989 έως τον Ιανουάριο του 2018 για το Ηνωμένο Βασίλειο, τη Γερμανία, τη Γαλλία, τη Σουηδία, την Ολλανδία, την Ιταλία, την Ισπανία, την Ελλάδα και την Πορτογαλία. Τα αποτελέσματα δείχνουν ότι τόσο η κερδοφορία όσο και ο βέλτιστος συνδυασμός των περιόδων κατάταξης (ranking) και κατοχής (holding) των στρατηγικών ωθήσεως (momentum) ποικίλλουν μεταξύ των αγορών.Η δεύτερη μελέτη (Κεφάλαιο 3) διερευνά τους καθοριστικούς παράγοντες των κερδών των στρατηγικών ωθήσεως (momentum) σε ένα δείγμα Ευρωζώνης καθώς και του Ηνωμένου Βασιλείου και της Σουηδίας. Τα κύρια ερευνητικά ερωτήματα εδώ είναι (α) ποιοι παράγοντες καθορίζουν την κερδοφορία αυτών των στρατηγικών και (β) εάν τα αποτελέσματα είναι συνεπή σε όλες τις εξεταζόμενες αγορές. Διαπιστώνω ότι οι παράγοντες που καθορίζουν τα κέρδη του χαρτοφυλακίου ωθήσεως (momentum) παρουσιάζουν ευαισθησία σε χώρα, χαρτοφυλάκιο και χρονική περίοδο. Πιο συγκεκριμένα, διαπιστώνω ότι το Ηνωμένο Βασίλειο, η Σουηδία και διάφορες χώρες της Ευρωζώνης επηρεάζονται από διαφορετικές επεξηγηματικές μεταβλητές (ευαισθησία χώρας), ενώ διαφορετικές επεξηγηματικές μεταβλητές επηρεάζουν τα χαρτοφυλάκια νικητή (winner) και χαμένου (loser) (ευαισθησία χαρτοφυλακίου) και διαφορετικές επεξηγηματικές μεταβλητές είναι στατιστικά σημαντικές κατά την πλήρης δειγματοληπτική περίοδο (1995-2018) και κατά τη χρονική περίοδο της οικονομικής κρίσης (2007-2012) (ευαισθησία χρονικής περιόδου). Ωστόσο, υπάρχουν δύο καθοριστικοί παράγοντες που παρουσιάζουν σταθερότητα χώρας, χαρτοφυλακίου και χρονικής περιόδου: ο δείκτης VIX και ένα χαρτοφυλάκιο τοπικής αγοράς. Μια κύρια συνέπεια των ευρημάτων για τους συμμετέχοντες στην αγορά είναι ότι οι επενδυτές πρέπει να προσαρμόσουν την επενδυτική τους στρατηγική ορμής και τα αναλυτικά τους μοντέλα ανάλογα με τη χώρα-στόχο και τη χρονική περίοδο.Η τρίτη μελέτη (Κεφάλαιο 4) εξετάζει τις ζημίες από τις στρατηγικές ωθήσεως (momentum) που έχουν τεκμηριωθεί από τους Daniel and Moskowitz (2016) στην αγορά των ΗΠΑ. Το κύριο ερευνητικό ερώτημα εδώ είναι εάν αυτά τα ευρήματα υπάρχουν και στις ευρωπαϊκές αγορές. Η εμπειρική μου άσκηση εξετάζει μια σειρά από ευρωπαϊκές αγορές όπως το Ηνωμένο Βασίλειο, τη Σουηδία, τις αγορές της Βορείας Ευρωζώνης (Γερμανία, Γαλλία, Ολλανδία) και τις αγορές της Περιφερειακής Ευρωζώνης (Ισπανία, Ιταλία, Πορτογαλία και Ελλάδα). Τα αποτελέσματά μου επιβεβαιώνουν τα ευρήματα των Daniel and Moskowitz (2016) μόνο για τις χώρες της Βόρειας Ευρώπης, για τη Σουηδία και για την Ιταλία, αλλά όχι για τις περιφερειακές και νότιες ευρωπαϊκές χώρες και το Ηνωμένο Βασίλειο. Αμφισβητώντας την «προαιρετικότητα» («optionality») στις περιφερειακές αγορές της Ευρωζώνης, τα ευρήματά μου υποστηρίζουν τις συμπεριφορικές θεωρίες και επίσης, παρέχουν μια ένδειξη πιθανής ύπαρξης διαφορετικών τύπων κρίσεων στην κερδοφορία των στρατηγικές ωθήσεως (momentum). Επιπλέον, το κατώτερο όριο των πιθανών απωλειών από κρίσεις στην κερδοφορία των στρατηγικές ωθήσεως (momentum) εντοπίζεται στις εξεταζόμενες χώρες.

Real estate risk, yield modelling and market sentiment: the impact on pricing in European office markets

PurposeThe financial and economic turmoil that resulted from the Global Financial Crisis (GFC), included a marked increase in the volatility in real estate markets. Property asset prices were impacted by the real economy and market sentiment, particularly concerning the determination of risk. In an economic downturn, the perception of investment risk becomes increasingly important relative to overall total returns, and thus impacts on yields and performance of assets. In a recovery phase, and particularly within an environment of historically low government bonds, risk and return compete for importance. The aim of this paper is to assess the interrelationships and impacts on pricing between real estate risk, yield modelling outcomes and market sentiment in selective European city office markets.Design/methodology/approachThis paper specifically considers the modelling of commercial property pricing in relation to the appetite for risk in the financial markets. The paper expands on previous work by determining a specific measure of risk pricing in relationship to changing financial market sentiment. The methodology underpinning the research specifically examines the scope for using national and international risk pricing within specific real estate markets in Europe.FindingsThis paper addresses whether there is a difference between the impact of risk on the pricing of real estate in international versus regional cities in Europe. The analysis, therefore, determines which city centre office markets in Europe have been most impacted by globalisation including the magnitude on real estate prices and market volatility. The outcome of the paper provides important insights into how changes in risk preferences in the international capital markets have driven and continues to drive yield movements under different market conditions.Research limitations/implicationsThe paper considers the driving forces which have led to the volatile movements of yields, emanating from the GFC.Practical implicationsThis paper considers the property market effects on pricing of commercial real estate and the drivers in selected European cities.Originality/valueThe outcome of the paper provides important insights into how changes in risk preferences in the international capital markets have driven and continue to drive the yield movements in different real estate markets in Europe.

Organization of equity accounting process technology

Introduction. The lack of a clear organization of equity accounting in enterprises with foreign investment causes problems in the formation of accounting and analytical support for management decisions not only by management but also by foreign investors, which reduces the inflow of investment into the company and the exit of investors.The purpose of the study is to clarify the content of the organization of accounting of equity in enterprises with foreign investment and study the specifics of the organization of the technology of the accounting process of equity at the stages of primary, current and final accounting.Research methods. In the process of research on the organization of the accounting process of equity were used general and special methods of cognition. General scientific methods - system approach, induction and deduction, analysis, synthesis and generalization - are used in processing information to clarify the content of the organization of accounting for equity in enterprises with foreign investment. Special methods of cognition are used to study the specifics of the organization of the technology of the accounting process of equity at the stages of primary, current and final accounting.Results of the research. According to the results of the analysis of literature sources, the content of the organization of accounting of own capital at the enterprises with foreign investments is specified.The provisions of the organization of accounting by clarifying the content of the stages of organization of accounting technology for equity in enterprises with foreign investment: primary, current and final accounting, as well as by specifying the lists of accounting information on equity (primary documents, accounting records, financial statements) , which are used in the accounting practice of enterprises with foreign investment, which necessitated the study of improving the documentation of records in accounting for equity transactions of enterprises with foreign investment.The organization of accounting of own capital at the enterprises with foreign investments on the basis of substantiation of influence of provisions of contract, constituent documents and accounting policy on the order of the organization of document circulation and formation of organizational nomenclatures of accounting is improved.The need for the formation of accounting nomenclatures for the organization of the accounting process as a whole, and the need to determine the accounting policy form of accounting and the procedure for registration of accounting information on equity in the registers of analytical and synthetic accounting.The list of provisions of the contract agreement which is defined proceeding from needs of its participants is resulted, and the aspects of legal maintenance of joint activity at drawing up of the contract agreement are defined.Perspectives. These results create prospects for the adaptation of modern enterprises with foreign investment to the needs of international capital markets, and with the help of specific organizational accounting regulations - accounting policy, which covers a set of principles, methods and procedures - the rules of equity accounting.

Shades of blue in financing: Transforming the ocean economy with blue bonds

Purpose To provide an overview of how blue bonds can have a transformative impact on the blue- and ocean-based economies. Design/methodology/approach This article provides an overview of what a blue bond is, the process for issuing a blue bond, the transformative effects blue bonds can have on ocean economies, and the areas ocean economies should focus on to attract investors and catalyze investment into their ocean economies. Findings This article concludes blue bonds present an opportunity to not only achieve strong financial returns but to also contribute to a meaningful environmental and social impact on ocean economies. As the public and private sectors develop initiatives to catalyze investment into ocean initiatives, it is likely the investment community will eagerly adopt blue bonds into the suite of sustainable finance products, driving greater investment into ocean economies and supporting the health of our oceans. Practical implications One of the key constraints for blue-bond growth is the lack of familiarity to this product among market participants. Unlike its other ESG-labeled counterparts, blue bonds are not regulated by a set of principles such as those prescribed by the International Capital Markets Association (ICMA). Clarifying the alignment of globally recognized standards such as the ICMA principles and its correlation to blue financing may help ocean industries to achieve greater recognition within the sustainable bond market framework and can make the market aware of important characteristics of ocean industries, including differing risks and opportunities. Originality/value Practical guidance from experienced lawyers in ESG bonds and blue economy initiatives.

Part I International Capital Markets in Context, 2 Making International Markets Work—Regulatory Techniques

This chapter discusses the regulatory techniques in the international capital markets. Regulation, as it is usually understood, emanates from a national (or perhaps sub-national) authority and operates locally. Capital markets predate the nation state and have been boundary blind. So, how have modern international capital markets been regulated? Different approaches have waxed and waned in popularity, but several broad groupings can be discerned: inaction; unilateralism; formal and informal cooperative efforts; and international or supra-national initiatives. The different regulatory approaches operating in modern international capital markets are not mutually exclusive; they often coexist or interact, in both a positive and negative manner. Ultimately, the different regulatory approaches to international capital markets, which ones dominate, which ones wither away, have been shaped by the geopolitical forces of empire, the emergence of the supra-national state, and hegemony.

Part III Beyond the Transatlantic Corridor, 10 The Paradoxes of Islamic Capital Markets

This chapter describes Islamic capital markets. Led by Malaysia and its distinct Islamic Market, Bursa Malaysia-I, Islamic finance has entered the mainstream of international capital markets, primarily in the form of ‘Islamic bonds’ (sukuk) and fund products. Saudi Arabia, with its well-publicized Saudi Aramco initial public offering (IPO) in 2019, raised, less successfully, a different flag in the international markets. Islamic finance has infiltrated conventional markets too. Non-Islamic issuers, sovereigns, corporates and international institutions, have issued sukuk, attracted by the wash of liquidity and investors in the Gulf region. Indeed, Islamic finance has been rubbing shoulders with modern conventional finance for several decades now. As ‘conventional’ finance has become less ‘conventional’, shari'a compliant finance has become more accepted. Impediments to growth persist; the imperviousness to standardization and the artificiality of the structures underlying the financial products increase costs and possibly risk, making the products uncompetitive. However, cost is not the only consideration in the marketplace. With greater interest in ethical and ESG (environmental, social, and governance) investing, Islamic finance may be the path or the way to future markets.

Part IV Market Institutions And International Capital Markets, 12 Intermediaries—From Handmaiden to New Market

This chapter studies the roles of intermediaries. As exchanges developed in Western Europe and the colonies, they spun out a widening web of intermediaries participating in the process of trading financial products. In the lead up to the global financial crisis, the roles assumed by intermediaries, and their sources of revenue, had mutated over time. Intermediaries became issuers and capital raisers in their own right. Originally handmaidens to the exchanges, intermediaries created a new, free floating, trading world. In this new trading world, the potential conflicts of interest inherent in agency relationships have been exacerbated by the multiple roles intermediaries have assumed. Further intensifying the stresses on market relationships have been the rapid changes in trading practices now permitted by technology and the internationalization of the capital markets. Lastly, over ten years after the global financial crisis, regulatory responses continue to play out, as markets and intermediaries jockey and adjust to the new rules.

Part I International Capital Markets in Context, 3 International Organizations and the Capital Markets

This chapter examines the International Organization of Securities Commissions (IOSCO). Over the nearly four decades of its existence, as its composition and roles evolved, and in the absence of any other body, IOSCO became a focal point for oversight of international capital markets. Crises, first the regional Asian financial crisis of 1997–98 and then the global financial crisis, have dramatically changed IOSCO. Crises have also thrust capital markets into the international limelight, and led to the appearance of new international institutions, including the Financial Stability Forum (FSF) and the Financial Stability Board (FSB). Unlike IOSCO, both the FSF and the FSB were political initiatives. As such, they also drew into their orbit formal treaty organizations such as the International Monetary Fund (IMF) and The World Bank, among others. The chapter then looks at international financial institutions and the Financial Sector Assessment Program (FSAP).

Part II The Transatlantic Dialogue, 4 The Parallel System—The United States

This chapter evaluates securities regulation in the United States. For a variety of reasons, domestic US securities regulation has served as a model to the world, either directly or through its influence in international standard setting. The parallel system, however, has not been exported and so remains a somewhat unique aspect of US law, and based on the concept of the foreign private issuer (FPI), appears firmly entrenched. Going forward, it is possible that the domestic and international aspects of US markets may become more integrated, or at least coordinated. Calls for greater EU-style deference to home country regulation for non-US issuers and market participants would certainly simplify, and perhaps undermine, the US parallel system. There is no doubt as to the decline of US hegemony in regulation of international capital markets. Within the United States, level playing field arguments continue to surface, sometimes in surprising ways.