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Bear Markets (bear + market)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures Market

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010
Hsiu-Chuan Lee
G14; G15; G18 Abstract This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results indicate that information regarding stock market liquidity is useful in predicting the optimal hedge ratio under different market conditions. In a bear market, the conditional OLS model with stock market liquidity provides the best hedging performance for the out-of-sample period. Although the OLS model outperforms the generalized autoregressive conditional heteroskedasticity and conditional OLS models for the out-of-sample period in a bull market, the conditional OLS model with stock market liquidity outperforms the conditional OLS model without stock market liquidity in terms of downside risks (lower partial moment). [source]

WHAT DO WE KNOW ABOUT STOCK REPURCHASES?

JOURNAL OF APPLIED CORPORATE FINANCE, Issue 1 2000
Gustavo Grullon
Stock repurchases by U.S. companies experienced a remarkable surge in the 1980s and ,90s. Indeed, in 1998, the total value of all stock repurchased by U.S. companies exceeded for the first time the total amount paid out as cash dividends. And the U.S. repurchase movement has gone global in the past few years, spreading not only to Canada and the U.K., but also to countries like Japan and Germany, where such transactions were prohibited until recently. Why are companies buying back their stock in such amounts? After dismissing the popular argument that stock repurchases boost earnings per share, the authors argue that repurchases serve to add value in two main ways: (1) they provide managers with a tax-efficient means of returning excess capital to shareholders and (2) they allow managers to "signal" to investors their view that the firm is undervalued. Returning excess capital is value-adding for two reasons: First, it helps prevent companies from pursuing growth and size at the expense of profitability and value. Second, by returning capital to investors, repurchases (like dividends) play the critically important economic function of allowing investors to channel their investment from mature or declining sectors of the economy to more promising ones. But if stock repurchases and dividends serve the same basic economic function, why are repurchases growing more rapidly? Part of the explanation is that, because repurchases are taxed as capital gains and dividends as ordinary income, repurchases are a more tax-efficient way of distributing excess capital. But perhaps even more important than their tax treatment is the flexibility that (at least) open market repurchases provide corporate managers-flexibility to make small adjustments in capital structure, to exploit (or correct) perceived undervaluation of the firm's shares, and possibly even to increase the liquidity of the stock, which could be particularly valuable in bear markets. For U.S. regulators, the growth in open market stock repurchases raises some interesting issues. Perhaps most important, companies are not required to (and rarely do) furnish their investors with details about a given program's structure, execution method, number of shares repurchased, or even its duration. Policy regulators (and corporate executives as well) should consider some of the benefits provided by other systems, notably Canada's, which provide greater transparency and more guidelines for the repurchase process. [source]

Does Monetary Policy Have Asymmetric Effects on Stock Returns?

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 2-3 2007
SHIU-SHENG CHEN
monetary policy; stock returns; Markov-switching This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear-market regime. [source]

Les hedge funds ont-ils leur place dans un portefeuille institutionnel canadien?

CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES, Issue 3 2003
Stéphanie Desrosiers
This article examines the return and risk of hedge funds (HF), and their correlations with traditional asset classes for the 1990,2002 period. Efficient frontiers resulting from optimizations with and without constraints demonstrate that it is worthwhile to include HF in a Canadian institutional investor's portfolio. HF offer a high potential return relative to risk, while weaker correlations with traditional asset classes create a beneficial diversification effect. Non-directional HF provide protection in bear markets and are more suitable for lower risk portfolios, whereas directional HF are better suited to higher risk portfolios. Caveats are necessary due to the skew-ness and kurtosis of the return distributions, potential biases in the return series, the lower liquidity, and the complexity of the HF industry. Résumé Cet article examine le rendement, le risque et les correélations des hedge funds (HF) avec les catégories d'actif traditionnelles sur la période 1990,2002. Des optimisations avec et sans contraintes montrent qu'il est avantageux d'inclure les HF dans un portefeuille institutionnel canadien du fait d'un potentiel de rendement élevé par rapport au risque encouru et de faibles corrélations. Les HF non-directionnels offrent une meilleure protection en marché baissier et sont plus appropriés pour des portefeuilles moins risqués. Les HF directionnels conviennent davantage aux portefeuilles prksentant un risque plus élevé. Des réserves doivent toutefois étre émises en raison des coefficients d'asymétrie et d'aplatissement de la distribution des rendements, des biais potentiels des données, de la faible liquidité, et de la complexité de l'industrie des HF. [source]