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High Premium (high + premium)
Selected AbstractsA Parsimonious Macroeconomic Model for Asset PricingECONOMETRICA, Issue 6 2009Fatih Guvenen I study asset prices in a two-agent macroeconomic model with two key features: limited stock market participation and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS). The model is consistent with some prominent features of asset prices, such as a high equity premium, relatively smooth interest rates, procyclical stock prices, and countercyclical variation in the equity premium, its volatility, and in the Sharpe ratio. In this model, the risk-free asset market plays a central role by allowing non-stockholders (with low EIS) to smooth the fluctuations in their labor income. This process concentrates non-stockholders' labor income risk among a small group of stockholders, who then demand a high premium for bearing the aggregate equity risk. Furthermore, this mechanism is consistent with the very small share of aggregate wealth held by non-stockholders in the U.S. data, which has proved problematic for previous models with limited participation. I show that this large wealth inequality is also important for the model's ability to generate a countercyclical equity premium. When it comes to business cycle performance, the model's progress has been more limited: consumption is still too volatile compared to the data, whereas investment is still too smooth. These are important areas for potential improvement in this framework. [source] Secular and multidecadal warmings in the North Atlantic and their relationships with major hurricane activityINTERNATIONAL JOURNAL OF CLIMATOLOGY, Issue 2 2010David B. Enfield Abstract Analysis of recent literature finds weaknesses in arguments to the effect that the Atlantic multidecadal oscillation (AMO),roughly 50,90 year fluctuations in North Atlantic sea surface temperatures,is externally forced by anthropogenic aerosols and greenhouse gases rather than an internal climate mode, plus indications from other sources that the contrary may be true. We are led to the conclusion that the AMO is probably comprised of both natural and anthropogenic forcing in ways that preclude a physically based separation of the two, using the limited historical data sets. A straightforward quadratic fitting of trend to temperature data accounts for some of the 20th century nonlinearity in secular warming and separates the secular and multidecadal components of variability without inherent assumptions about the nature of the multidecadal fluctuations. Doing this shows that the 20th century secular ocean warming in the North Atlantic is about equal to the peak-to-peak amplitude of the multidecadal fluctuations. However, over the last quarter-century (1975,2000) the most recent multidecadal warming has been almost three times the secular sea surface temperature (SST) increase over the main development region (MDR) for major Atlantic hurricanes. In the last quarter-century the multidecadal increase in late summer Atlantic warm pool (AWP) size (area of SSTs in excess of 28 °C) has been 36%, and the secular increase, 14%. Projections to the year 2025 show that the cumulative change in summer warm pool size since 1975 will depend critically on whether a subsequent cooling in the multidecadal cycle occurs, comparable to the warming between 1975 and 2000 AD. This places a high premium on understanding to what extent the AMO is a man-made or a natural phenomenon. Copyright © 2009 Royal Meteorological Society [source] Stock Index Futures Prices and the Asian Financial Crisis,INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2007TAUFIQ HASSAN ABSTRACT This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur Index Futures contract) prices and also records the effect of a major financial crisis on the prices. Since the inception of trading in 1995, the FKLI has been selling at a discount, which gradually increased till early 1997; further, at the onset of the financial crisis in July 1997, FKLI prices were at a high premium relative to its theoretical values. This significant mispricing of the contract declined after the initial overreaction to the crisis. Herding behavior during crisis, liquidity constraint and imposition of trading restrictions are some plausible explanations for the mispricing. This study also investigates whether trades by foreign investors had any impact when compared with prices by domestic investors. We find that foreign investors had a negative influence on permanent price changes while the domestic investors had a positive effect. [source] Parental care and social mating system in the Lesser Spotted Woodpecker Dendrocopos minorJOURNAL OF AVIAN BIOLOGY, Issue 4 2000Ulf Wiktander The sexes' share in parental care and the social mating system in a marked population of the single-brooded Lesser Spotted Woodpecker Dendrocopos minor were studied in 17 woodpecker territories in southern Sweden during 10 years. The birds showed a very strong mate fidelity between years; the divorce rate was 3.4%. In monogamous pairs, the male provided more parental care than the female. The male did most of the nest building and all incubation and brooding at night. Daytime incubation and brooding were shared equally by the sexes, and biparental care at these early breeding stages is probably necessary for successful breeding. In 42% of the nests, however, though still alive the female deserted the brood the last week of the nestling period, whereas the male invariably fed until fledging and fully compensated for the absent female. Post-fledging care could not be quantified, but was likely shared by both parents. Females who ceased feeding at the late nestling stage resumed care after fledging. We argue that the high premium on breeding with the same mate for consecutive years and the overall lower survival of females have shaped this male-biased organisation of parental care. In the six years with best data, most social matings were monogamous, but 8.5% of the females (N=59) exhibited simultaneous multi-nest (classical) polyandry and 2.9% of the males (N=68) exhibited multi-nest polygyny. Polyandrous females raised 39% more young than monogamous pairs. These females invested equal amounts of parental care at all their nests, but their investment at each nest was lower than that of monogamous females. The polyandrously mated males fully compensated for this lower female investment. Polygynous males invested mainly in their primary nest and appeared to be less successful than polyandrous females. Polyandry and polygyny occurred only when the population sex ratio was biased, and due to strong intra-sexual competition this is likely a prerequisite for polygamous mating in Lesser Spotted Woodpeckers. [source] The use of conjoint analysis to elicit community preferences in public health research: a case study of hospital services in South AustraliaAUSTRALIAN AND NEW ZEALAND JOURNAL OF PUBLIC HEALTH, Issue 1 2000Stephen Jan Aims: To demonstrate the use of conjoint analysis (CA) in public health research through a survey of the South Australian community about aspects of their public hospital services. Methods: A series of focus groups determined the most important attributes in choice of hospital services. These were built into a CA survey, using the discrete choice approach. The survey was posted to a representative sample of 700 South Australians. Theoretical validity, internal consistency and non-response bias were all investigated. Results: Some 231 individuals returned the questionnaire. The attribute, ,improvement in complication rates' was positively associated with choice of hospital. Three attributes were found to be negatively associated with such choice: ,waiting times for casualty', ,waiting times for elective surgery' and, anomalously, ,parking and transport facilities'. Travel time' and the cost attribute, ,Medicare levy' were not statistically significant. Trade-offs between the significant attributes were estimated, as were satisfaction or utility scores for different ways of providing hospital services. Results concerning internal consistency and internal validity were encouraging, but some potential for non-response bias was detected. Conclusion: A high premium is placed on the quality of hospital care and members of the community are prepared to choose between hospitals largely on the basis of outcomes and length of waiting times for elective surgery and in casualty. Implications: CA can yield potentially policy-relevant information about community preferences for health services. [source] Is prior performance priced through closed-end fund discounts?INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2010Michael Bleaney Abstract In open-end mutual funds (unit trusts), there is a strong positive cross-sectional relationship between net inflows to individual funds and past performance, as if investors attributed performance to managerial skill. Performance shows only very weak persistence, however, so at first sight investors do not appear to gain anything by responding to past performance information. This behaviour can be explained by the fact that past performance is effectively unpriced in the unit trust market, since management fees are unresponsive to demand. If investors believe that there is a non-zero probability that future performance will turn out to be positively correlated with past performance (i.e. that there is an element of managerial skill in performance), but a zero probability that this correlation will be negative, it is rational to prefer funds with better past performance when performance is not priced. In other words, it costs nothing to insure against the possibility of some managerial skill effect. If this explanation of the flow,performance relationship in unit trusts is correct, one would expect the relationship between investor demand and past fund performance to be much weaker if past performance were to be priced. We test this hypothesis in the market for closed-end funds (investment trusts). Because closed-end funds do not trade at net asset value, but at a price determined in the market, strong demand will raise the ratio of price to net asset value (known as the premium). Since it is well established that premiums are mean-reverting, future shareholder returns on funds currently on high premiums tend to be depressed by the reversion of the premium to the mean. In the closed-end fund market, as for open-end funds, there is little evidence of performance persistence, and therefore, to the extent that funds with good past performance are pushed to higher premiums, the expected return on them is less than on the average fund. This implicit pricing mechanism should mean that demand is a declining function of the premium, so that, even if demand is an increasing function of past performance for a given premium, any effect on the premium itself will be muted. We test this hypothesis for closed-end funds traded in the US and the UK. We find that there is a statistically significant effect of past performance on the premium in both countries. However, consistent with the hypothesis, it has limited economic significance, since it represents only a small component of premium variability. Copyright © 2008 John Wiley & Sons, Ltd. [source] CLUSTERED SYNERGIES IN THE TAKEOVER MARKETTHE JOURNAL OF FINANCIAL RESEARCH, Issue 4 2008Jeff Madura Abstract In a competitive market for takeover bids, the takeover premium serves as an effective proxy for the expected synergy. We find that the expected synergy is primarily related to the premiums paid in other recent takeovers in the same industry. This relation is even stronger when considering previous takeovers (especially over the previous three-month horizon) in the same industry that have the same payment method (cash versus stock) or form of takeover (tender offer versus merger). More of the variation in expected synergies among takeovers can be explained by the premiums derived from recent takeovers in the same industry than by all bidder- and target-specific characteristics combined. We also find that the bidder valuation effects are inversely related to the premium paid for targets, implying that abnormally high premiums may reflect overpayment rather than abnormally high synergies. [source] | ||||||||||