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Return Process (return + process)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting87%

Selected Abstracts

Sustainable Return in Post-conflict Contexts

INTERNATIONAL MIGRATION, Issue 3 2006
Richard Black
ABSTRACT Post-conflict return is a highly politically charged process in a number of contexts, both for returnees and those who did not migrate or flee, leading many observers to question the notion of an unproblematic return "home". Specifically, doubts remain both about the conditions and voluntariness of return, the ability of individual returnees to reintegrate in their home countries and regions, and the wider sustainability of the return process. This paper seeks to provide an overview of recent policy interest in returns, before setting out a tentative definition of what might be considered a "sustainable" return. It is argued that it is possible to draw a distinction between narrow indicators of the "sustainability" of return, such as whether returnees subsequently reemigrate, and wider definitions, which see "sustainability" as involving both the reintegration of individual returnees in their home societies, and the wider impact of return on macroeconomic and political indicators. Based on either definition, the development of robust indicators of the sustainability of return could assist in monitoring the impact of return programmes, providing valuable insight on return policies. The broader definition suggested also draws attention to the idea that continued mobility after an initial return - including circulation and the development of a "transnational" lifestyle - may be more "sustainable" than a single and definitive return to the refugee's place of origin. Les retours dans une situation d'après-conflit sont un processus politiquement signifiant dans certains contextes, à la fois pour les rapatriés et pour ceux qui n'ont ni émigré ni fui, ce qui conduit de nombreux observateurs à s'interroger sur le concept d'un retour sans problème "dans les foyers". Plus précisément, des doutes subsistent à la fois quant aux conditions et au caractère volontaire du retour, à la capacité des rapatriés à se réinsérer dans leur pays et leur région d'origine, et à la durabilité, au sens plus large, du processus de retour. L'auteur s'efforce de donner un aperçu de l'intérêt politique récent pour les retours avant de tenter une définition de ce qui pourrait être considéré comme retour "durable". Selon lui, il est possible de faire une distinction entre les indicateurs au sens étroit de la "durabilité" du retour, à savoir par exemple si les rapatriés émigrent à nouveau, et des définitions plus larges, considérant la "durabilité" comme intégrant à la fois la réintégration des rapatriés dans leur société d'origine et l'impact plus large des retours sur les indicateurs macroéconomiques et politiques. Selon l'une ou l'autre définition, l'élaboration d'indicateurs solides de la durabilité des retours pourrait faciliter l'observation de l'impact des programmes de retour, en apportant un éclairage précieux sur les politiques de retour. La définition plus large appelle également l'attention sur l'idée selon laquelle la mobilité continue après un retour initial - y compris la circulation et l'adoption d'un style de vie "transnational" - pourrait être plus "durable" qu'un retour unique et définitif vers le lieu d'origine du réfugié. El retorno consecutivo a conflictos es un proceso con una alta connotación política en varios contextos, tanto para los retornantes como para quienes no emigraron ni huyeron, lo que da lugar a que muchos observadores cuestionen la noción de un retorno al "hogar" sin problemas. Concretamente, subsisten dudas sobre las condiciones y el carácter voluntario del retorno; la capacidad de los retornantes a título individual de reintegrarse en sus países y regiones de origen; y la sostenibilidad amplia del proceso de retorno. Este estudio trata de ofrecer un panorama del reciente interés político que suscitan los retornos, antes de establecer tentativamente una definición de lo que puede considerarse como un retorno "sostenible". En este artículo se arguye que es posible establecer una distinción entre estrechos indicadores del "sostenimiento" del retorno, a saber, si las personas que retornan vuelven a emigrar ulteriormente, y definiciones más amplias que consideran el "sostenimiento" como la reintegración de quienes retornan a título individual a sus sociedades de origen conjuntamente con las repercusiones más amplias del retorno en los indicadores macroeconómicos y políticos. Sobre la base de cualquiera de estas definiciones, el desarrollo de sólidos indicadores del sostenimiento del retorno podría servir para supervisar el impacto de los programas de retorno, al ofrecer una visión valiosa sobre las políticas de retorno. La definición más amplia propuesta señala a la atención la idea de que la continua movilidad tras el retorno inicial -incluida la circulación y el desarrollo de un estilo de vida transnacional- podría ser más "sostenible" que un retorno único y definitivo al lugar de origen del refugiado. [source]

ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE

MATHEMATICAL FINANCE, Issue 1 2008
Gianluca Cassese
In this paper, we propose a model of financial markets in which agents have limited ability to trade and no probability is given from the outset. In the absence of arbitrage opportunities, assets are priced according to a probability measure that lacks countable additivity. Despite finite additivity, we obtain an explicit representation of the expected value with respect to the pricing measure, based on some new results on finitely additive measures. From this representation we derive an exact decomposition of the risk premium as the sum of the correlation of returns with the market price of risk and an additional term, the purely finitely additive premium, related to the jumps of the return process. We also discuss the implications of the absence of free lunches. [source]

Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes

THE JOURNAL OF FINANCE, Issue 3 2004
Jing-zhi Huang
We analyze the specifications of option pricing models based on time-changed Lévy processes. We classify option pricing models based on the structure of the jump component in the underlying return process, the source of stochastic volatility, and the specification of the volatility process itself. Our estimation of a variety of model specifications indicates that to better capture the behavior of the S&P 500 index options, we need to incorporate a high frequency jump component in the return process and generate stochastic volatilities from two different sources, the jump component and the diffusion component. [source]

UNDERSTANDING SIZE AND THE BOOK-TO-MARKET RATIO: AN EMPIRICAL EXPLORATION OF BERK'S CRITIQUE

THE JOURNAL OF FINANCIAL RESEARCH, Issue 4 2005
Xinting Fan
Abstract Because they are scaled by price, the ability of size (i.e., the market capitalization of a firm) and the book-to-market equity ratio to determine expected returns may, according to Berk (1995), reflect only a simultaneity bias. The two-stage least squares approach is used to control for this bias and to investigate the economic meanings of these variables. We discover that size and the book-to-market ratio contain distinct and significant components of financial distress, growth options, the momentum effect, liquidity, and firm characteristics. Our findings support Berk in his contention that that size and the book-to-market ratio reflect a combination of different economic mechanisms that are misspecified in the expected return process. [source]

Economic significance of risk premiums in the S&P 500 option market

THE JOURNAL OF FUTURES MARKETS, Issue 12 2002
R. Brian Balyeat
Option pricing is complicated by the theoretical existence of risk premiums. This article utilizes a testable methodology to extract the pricing impact resulting from these risk premiums. First, option prices (based on the full dynamics of the underlying) are computed under the assumption that these risk premiums are not priced. The pricing methodology is independent of any particular option-pricing model or distributional assumptions on the return process for the underlying. The difference between the actual market prices and these "no-premium base case" prices reflects the effect of risk premiums. For at-the-money, 13-week S&P 500 options trading from 1989 until 1993, the effect of risk premiums is statistically significant and averages slightly over 20% (in units of Black,Scholes implied volatility). A simple delta-hedging strategy is used to demonstrate the economic significance of risk premiums, as the trading strategy provides enough profit to absorb a crash similar in magnitude to the 1987 crash once every 6.20 years. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1147,1178, 2002 [source]

Semiparametric estimation of Value at Risk

THE ECONOMETRICS JOURNAL, Issue 2 2003
Jianqing Fan
Value at Risk (VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities of the market prices of a portfolio. In addition, both parametric and nonparametric techniques are proposed to estimate the quantiles of standardized return processes. The newly proposed techniques also have the flexibility to adapt automatically to the changes in the dynamics of market prices over time. Their statistical efficiencies are studied both theoretically and empirically. The combination of newly proposed techniques for estimating volatility and standardized quantiles yields several new techniques for forecasting multiple period VaR. The performance of the newly proposed VaR estimators is evaluated and compared with some of existing methods. Our simulation results and empirical studies endorse the newly proposed time-dependent semiparametric approach for estimating VaR. [source]