Dec
29
Spent 5 days in Sydney, it was my first time to Australia, never thought it is so far away. What an isolated land: 11-hour flight from London to Shanghai, and another 11 hours from Shanghai to Sydney. It takes even longer from Sydney to America. The good side is it is away from pollution, blue sky, clean river, stark contrast with Shanghai, which is getting more terrible.
Sydney is an interesting city: it has less Chinese than I was told, I saw more British faces there than in London; people have a leisure life, bus drivers chat through window when waiting for traffic lights, which is seldom seen in UK; we can't buy beer and other alcohol easily other than in pub (my friend told me there are usually stores selling beer besides a supermarket, but I didn't find any), in contrary, buying beer is convenient in UK, quite a few small stores in a single block open till very late; the living expense is rather high, a bottle of beer is 1.5 time more expensive than that in UK after currency adjustment. As listed here, Sydney is ranked the 14th most expensive city in the world, while London is the 18th.
Happy new year, guys. I will fly back to UK 2 days later and arrive in my city at 10:30pm on 31st, December, hopefully the train will be on time for me to join the new year party.
Sydney is an interesting city: it has less Chinese than I was told, I saw more British faces there than in London; people have a leisure life, bus drivers chat through window when waiting for traffic lights, which is seldom seen in UK; we can't buy beer and other alcohol easily other than in pub (my friend told me there are usually stores selling beer besides a supermarket, but I didn't find any), in contrary, buying beer is convenient in UK, quite a few small stores in a single block open till very late; the living expense is rather high, a bottle of beer is 1.5 time more expensive than that in UK after currency adjustment. As listed here, Sydney is ranked the 14th most expensive city in the world, while London is the 18th.
Happy new year, guys. I will fly back to UK 2 days later and arrive in my city at 10:30pm on 31st, December, hopefully the train will be on time for me to join the new year party.
Dec
21
Like other conference, the last day of the 24th Australasian Finance & Banking Conference witnessed fewer attendance and less active discussion: people have left or eager to leave. Fortunately or unfortunately, my session was in the afternoon and had even fewer audiences.
Entropic Least-Squares Valuation of American Options Subject to Moment Constraints: improvement of pricing accuracy of American options by incorporating a set of risk-neutral moment constraints into an entropic pricing framework.
Forecasting Equicorrelations: We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets.
Integrated Framework for Portfolio Risk Management: Various risk measures are managed in a unique integrated framework for portfolio selection problems.
Information Asymmetry and Momentum Anomalies: In this paper, we construct an information asymmetry factor (VECINF) based on the price discovery of large trades. VECINF is significantly negatively correlated with market excess return, indicating that market-wide information asymmetry is lower in bull markets.
Why Did Some Banks Perform Better During the Credit Crisis?: thoughtful question and investigation.
Volatility, Correlation, and Spread ETFs as Factors: Several methods for measuring factors have been investigated in previous literature, but an easy-to-implement general method is simply to specify a group of heterogeneous indexes or traded portfolios.
That's the end of this conference, hopefully you have found some interesting articles as I did, enjoy them.
Entropic Least-Squares Valuation of American Options Subject to Moment Constraints: improvement of pricing accuracy of American options by incorporating a set of risk-neutral moment constraints into an entropic pricing framework.
Forecasting Equicorrelations: We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets.
Integrated Framework for Portfolio Risk Management: Various risk measures are managed in a unique integrated framework for portfolio selection problems.
Information Asymmetry and Momentum Anomalies: In this paper, we construct an information asymmetry factor (VECINF) based on the price discovery of large trades. VECINF is significantly negatively correlated with market excess return, indicating that market-wide information asymmetry is lower in bull markets.
Why Did Some Banks Perform Better During the Credit Crisis?: thoughtful question and investigation.
Volatility, Correlation, and Spread ETFs as Factors: Several methods for measuring factors have been investigated in previous literature, but an easy-to-implement general method is simply to specify a group of heterogeneous indexes or traded portfolios.
That's the end of this conference, hopefully you have found some interesting articles as I did, enjoy them.
Dec
20
Benchmark Replication Portfolio Strategies: a novel approach to the benchmark replication problem which uses a minimum tracking error variance as an objective subject to a target expected outperformance.
Options Trading and the Extent that Stock Prices Lead Future Earnings Information: Findings in this study support the proposition that options trading results in more current information that is relevant for predicting future earnings being impounded into stock prices.
The Lure of the Slant: Analyst Optimism and Asset Prices: This paper studies the effect of analyst optimism on asset prices.
Are Co-Skewness and Co-Kurtosis Factors Priced?: The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model.
On the Returns to Small Growth Stocks: The results in this paper provide fresh evidence on the role of skewness in asset pricing as well as new perspectives on the well-known size and book-to-market effects of stock returns.
Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence: We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price.
Investor Sentiment and Momentum and Contrarian Trading Strategies: Mutual Fund Evidence: sentiment beta captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders.
A full list of the presented papers can be downloaded at Conference papers.
Options Trading and the Extent that Stock Prices Lead Future Earnings Information: Findings in this study support the proposition that options trading results in more current information that is relevant for predicting future earnings being impounded into stock prices.
The Lure of the Slant: Analyst Optimism and Asset Prices: This paper studies the effect of analyst optimism on asset prices.
Are Co-Skewness and Co-Kurtosis Factors Priced?: The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model.
On the Returns to Small Growth Stocks: The results in this paper provide fresh evidence on the role of skewness in asset pricing as well as new perspectives on the well-known size and book-to-market effects of stock returns.
Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence: We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price.
Investor Sentiment and Momentum and Contrarian Trading Strategies: Mutual Fund Evidence: sentiment beta captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders.
A full list of the presented papers can be downloaded at Conference papers.
Dec
19
On each day there are approximately 80 papers to be presented in 20 sessions, which is really a lot and hard to have a detailed and useful discussion, I would say too many presentations are the weak side of this 24th Australasian Finance & Banking Conference. I selected several papers of the first day based on my interests:
Asymmetric Effects of the Financial Crisis: Collateral-Based Investment-Cash Flow Sensitivity Analysis: investment-cash flow sensitivity must be measured taking into account the value of a firm’s assets that can be used as collateral.
Explaining Momentum Strategies Using Intrinsic Price Fluctuations: This paper focuses on cross-sectional equity momentum patterns by modeling a stock’s price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies.
Adverse Information and Mutual Fund Runs: anticipation of adverse events can also trigger runs in mutual funds.
Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis on the SPI Futures Contract: the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process.
A full list of the presented papers can be downloaded at Conference papers.
Asymmetric Effects of the Financial Crisis: Collateral-Based Investment-Cash Flow Sensitivity Analysis: investment-cash flow sensitivity must be measured taking into account the value of a firm’s assets that can be used as collateral.
Explaining Momentum Strategies Using Intrinsic Price Fluctuations: This paper focuses on cross-sectional equity momentum patterns by modeling a stock’s price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies.
Adverse Information and Mutual Fund Runs: anticipation of adverse events can also trigger runs in mutual funds.
Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis on the SPI Futures Contract: the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process.
A full list of the presented papers can be downloaded at Conference papers.
Dec
18
I am finally back China from the 24th Australasian Finance & Banking Conference, 22 hours long flight from London -> Shanghai -> Sydney is more challenging than I thought. In the following posts I will select a few papers I personally feel interesting, hope you can enjoy reading them as I do.
Stock Market Fragility and the Quality of Governance of the Country: relationship between the quality of governance of a country and its degree of financial fragility.
The Ultimate Irrelevance Proposition in Finance?: Over 80% of published studies are distinguishing between statistical and economic significance and about quantifying and interpreting the economic magnitudes of the statistical relationships they measure. Yet, only 10% of them acknowledge limits to the power of their tests and fewer still do anything about them. What can you learn from the paper to change your writing style in order to increase chance of being accepted?
Information Management in Financial Markets: Implications for Stock Momentum and Volatility: the amount of positive information released by a company is positively related to both its future stock performance and future positive releases, suggesting that companies tend to ration the delivery of positive news and create sustainable price trends.
A full list of the PhD forum papers can be downloaded at PhD forum.
Stock Market Fragility and the Quality of Governance of the Country: relationship between the quality of governance of a country and its degree of financial fragility.
The Ultimate Irrelevance Proposition in Finance?: Over 80% of published studies are distinguishing between statistical and economic significance and about quantifying and interpreting the economic magnitudes of the statistical relationships they measure. Yet, only 10% of them acknowledge limits to the power of their tests and fewer still do anything about them. What can you learn from the paper to change your writing style in order to increase chance of being accepted?
Information Management in Financial Markets: Implications for Stock Momentum and Volatility: the amount of positive information released by a company is positively related to both its future stock performance and future positive releases, suggesting that companies tend to ration the delivery of positive news and create sustainable price trends.
A full list of the PhD forum papers can be downloaded at PhD forum.
