Applied Finance Letters (E-Journal - Auckland Centre for Financial Research)
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149 research outputs found
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PRICE CLUSTERING BEHAVIOR IN VIRTUAL REAL ESTATE MARKETS
Full text linkWe analyze 21,209 intraday transactions in the virtual real estate market and document significant price clustering at round numbers 0, 00, and 000 as ending digits, consistent with the negotiation hypothesis. The clustering increases with price level and pricing uncertainty proxied by the number of buyers and sellers in the NFT market. Moreover, market venue influences price clustering dynamics. Digits 9, 99, and 999 as ending prices are overrepresented in the sample, consistent with the left digit effects. However, we do not find support for the psychologically feeling right hypothesis or the strategic trading hypothesis
THE COMPETING-RISK ANALYSIS OF POST-IPO DELISTINGS
Full text linkThis paper is working on one IPO panel data to estimate the predicting power of some covariates on future status of IPO firms after going public. These new firms could be delisted due to two major reasons, either acquisition or liquidation. Specifically, our study aims to examine how the possibility of each type of delisting could be determined. There are two main findings in this paper. First, we find that the inclusion of the aftermarket performance in a competing-risk model helps distinguish the impact of those covariates on the two types of delistings. For example, profitability increases the chance of being delisted due to mergers but decreases the chance of being delisted due to bad performance. Second, our evidence indicates that time-varying covariates may impact the delistings in different ways. For instance, profitability appears to affect the voluntary delistings only until last year before delisting. In sum, our paper contributes to the prior literature by shedding light on how voluntary/forced post-IPO delistings are determined
TOWARDS A SIMPLIFIED CAN SLIM MODEL
Full text linkAAII.com ranks four stock-picking models by Buffet, Graham, Greenblatt, and O’Neil (CAN SLIM) that consistently outperform the S&P 500. Implementing these models requires complicated procedures an average investor might find challenging. Also, the website does not identify the companies comprising each portfolio or provide statistical analyses. We show how an inexpert investor can easily implement these models. Given that AAII.com ranks CAN SLIM the best, coupled with the observed popularity of this model among practitioners and student investment funds, we offer a simpler version of the model, which consistently outperforms the S&P 500.  
STUDENT LOANS: LESSONS FROM BORROWERS
Full text linkThe study presents the results and the analysis of a survey of recent student loan borrowers. The fields of study that result in the highest disbalance between the amount borrowed and the generated earnings are identified. Additionally, the survey results shed light on the post-graduation spending behavior of the borrowers. The results indicate that the present student loan crisis may, at least in part, be caused by the selection of the major area of study and by the post-graduation personal consumption overadjustment of individuals from several (less financially lucrative) fields of study
HIGH-FREQUENCY TRANSACTION DATA: A COMPARISON BETWEEN TWO ASYMMETRIC MODELS
Full text linkThis paper compares two asymmetric models for high-frequency transaction data in financial markets, namely, the three-state Asymmetric Autoregressive Conditional Duration (AACD) model and the Activity Direction Size (ADS) model. It is shown that the two asymmetric models measure different aspects of the same underlying asymmetric nature of high-frequency transaction data. It is also shown that by extending the AACD model to include two size variables and adjusting for partial durations, each model’s parameter estimates can be used to estimate the other model’s parameters exactly. Thus, the two asymmetric models are equivalent, and measure the durations and price changes jointly.
Keywords: High-frequency transaction data
JEL: G1
DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS
Full text linkIn this study we examine the risk-adjusted performance of a sample of U.S.-based enhanced index mutual funds that use leverage with the goal of generating return-multiples of its benchmark. We study equity-leverage funds that follow four major market indices, that is the Dow Jones Industrial Average (Dow), the NASDAQ-100, the Russell 2000 and the Standard and Poor's 500. We consider two model specifications and different market conditions. The evidence shows that these funds fail to outperform. This is particularly true during Bull markets
PRODUCTIVITY UNCERTAINTY AND STOCK PRICE CRASH RISK
Full text linkThis study examines the impact of productivity uncertainty on stock price crash risk. Empirical results show that higher productivity uncertainty contributes to higher stock price crash risk. This effect holds firmly after addressing potential endogeneity and the performing of robustness tests. Moreover, the positive impact of productivity uncertainty on stock price crash risk is more pronounced for firms with weak market competition and less independent boards. The findings of this study are meaningful as they offer a risk-based explanation for stock price crash risk which is based on the presumption of investors’ behaviors
EX ANTE PREDICTABILITY OF STOCK RETURNS IN A FRONTIER MARKET
Full text linkThis study reports results on the ex ante predictability of stock returns using real-time stock market data in Vietnam, a frontier market, from June 2008 to June 2021. Countries classified as a frontier market are often known for currency manipulation, financial market illiquidity, and political instability. Despite the enormous risk usually posed by these inefficiencies, potential profits are large and achievable for many investors. This study provides evidence on existing a strategy to form out-of-sample long portfolios that generate statistically significant and positive mean monthly returns even in the presence of transaction costs. I also justify the magnitude of these returns by showing that they exceed those of VnIndex and MSCI Vietnam Index. The results reject the hypothesis that the stock prices in Vietnamese market follow random walks, thus oppose the stock market efficiency hypothesis. Evidence found in this study provides a better understanding of informational efficiency in a frontier equity market setting. Specifically, there are several implications on portfolio selection strategies, stock price patterns, and trading behavior bias related to Vietnamese stock market can be drawn from this study
BANK EFFICIENCY AND GOVERNANCE: EVIDENCE FROM JOINT VENTURE AND FOREIGN COMMERCIAL BANKS IN VIETNAM
Full text linkIn this paper, we intend to examine the influence of national governance on the bank efficiency of joint venture and foreign commercial banks in Vietnam. Joint venture and foreign commercial banks have been instrumental in introducing new financial products to the Vietnamese market (e.g., mortgage services and medium-term certificates of deposit). At the same time, they have also penetrated the retail market through automobile and housing loans, and international credit card services. We use the DEA double bootstrap method to develop a bank network function to evaluate bank efficiency. The findings from our random-effects model demonstrate that world governance indicators as proposed by the World Bank independently determine the bank efficiency of the joint venture and foreign commercial banks in Vietnam. There are important implications to be highlighted for policymakers and stakeholders of joint venture and foreign commercial banks and other types of banks in the banking industry elsewhere around the world
COUNTRY-SPECIFIC INVESTOR ATTENTION AND ADR MISPRICING
Full text linkThis paper examines the effect of country-specific investor attention on ADR mispricing. Investor attention is measured by the amount of traffic a country’s Wikipedia profile page receives. A two-stage least squares (2SLS) regression is employed to examine the relationship between investor attention and ADR mispricing, but also to mitigate endogeneity between the two variables of interest. We use the FIFA World Ranking (country soccer ranking) and the number of UNESCO heritage sites as instruments for investor attention; given the unlikelihood that either of those variables can be caused by ADR mispricing. Our results show that lower levels of investor attention lead to higher ADR mispricing, therefore leading to a greater divergence of the law of one price for the sample of ADRs. The results are robust across various model specifications and to well-known determinants of mispricing such as turnover, stock prices, exchange rates, and market capitalization