Government Ownership and the Public Information Content of Insider Trading:International Evidence

This paper investigates the political determinants of informed insider trading using an international sample of firms from 28 countries. We show that insider trading in state-owned firms (SOEs) is statistically and economically more profitable and informative than in non-state-owned firms, indicating a unique political information advantage enjoyed by these insiders. Further analysis shows that insider trading in government-owned firms becomes more profitable during nationwide periods of political uncertainty and when industry-specific government actions are introduced. Moreover, the aggregate insider trading in SOEs better predicts future stock market returns than that in non-SOEs. These results suggest that the political information advantage of SOE insiders is evident in both the idiosyncratic and macroeconomic information content of insider trading, consistent with the superior ability of these insiders to interpret the economic impact of the country-, industry-, and firm-specific government actions

Sustainability and Corporate Innovation

Sustainable development is one of the prominent goals promoted by the United Nations (UN) and identifies innovation as one of the important elements. Therefore, sustainable development is a combination of both developmental and environmental imperatives through innovation, implying a new way of science incorporating the technology integration and social philosophy. This chapter discusses how sustainability creates business opportunities and be counted toward the future investment for the firms. It is the path leading from creative thinking and corporate innovation. Thus, the relationship between corporate innovation and sustainability plays a vital role for firms to gain competitive advantages such as gaining value creation, creating cooperation value with the stakeholders, tapping into new markets and customer segments, and creating a transformational solution. Firms can be sustainable not only by profit maximization, but also address the maximization of the interests’ stakeholders by not causing any impact on nature and environmental resources

Good coups, bad coups: evidence from Thailand’s financial markets

This study investigates the short-run and long-run impact of coups on Thailand’s financial markets. Using daily data from the stock and foreign exchange markets during the period 2005–2017, the study shows (1) both coups in 2006 and in 2014 exert short-run impact on Thailand’s stock and foreign exchange markets; (2) however, the direction and magnitude of impact are different and opposite in the two coups; and (3) in the long run, the coups exhibit minimal impact on the currency market, but induce better market performance (positive return and decrease in the return volatility) despite an increase in liquidity risk of the stock market. Against common beliefs about negative consequences of the coup d’états, this study suggests that the uncertainty surrounding coups can bring good investment opportunities for investors to earn abnormal profits. Moreover, in the long term, the coup can drive the country to better stability and development

Quasi-maximum likelihood estimates of Kiwi short-term interest rate

This paper examines various short-term interest rate models in New Zealand. We estimate ten stochastic models of short-term interest rates using Quasi-maximum Likelihood Estimation. All models examined allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find no evidence of mean reversion but strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the Kiwi short rate. Specifically, we find the conditional volatility of the Kiwi short rate is monotonically increasing with a convex shape. We also find that the dependence of the conditional volatility of the Kiwi short rate on the level of the interest rate is significantly higher than is generally assumed by the traditional models. Finally, we find that the AS model outperforms all remaining nine models, the CKLS beats seven models, except for the CEV model, whereas the CEV beats the GBM, Dothan, and the CIR VR.

Forecasting and Finite Sample Performance of Short Rate Models: International Evidence-super-

This paper evaluates the forecasting and finite sample performance of short-term interest rate models in a number of countries. Specifically, we run a series of in-sample and out-of-sample tests for both the conditional mean and volatility of one-factor short rate models, and compare the results to the random walk model. Overall, we find that the out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data. In addition, we perform a series of Monte Carlo analyses similar to Chapman and Pearson to document the finite sample performance of the short rate models when "β" 3 is not restricted to be equal to one. Our results indicate the potential dangers of over-parameterization and highlight the limitations of short-term interest rate models. Copyright (c) International Review of Finance Ltd. 2006.

On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice

Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach

This paper provides an accessible description and several examples of how to use Monte-Carlo simulation to value interest rate derivatives when the short rate follows an arbitrary time series process. We compare the values of various interest rate derivatives using closed-form solutions (when available), the Hull and White (1994) trinomial tree procedure, and a Monte-Carlo simulation technique. We show that the simulation technique can be applied to more complex short rate processes by examining short rate models where the dynamics are too complicated for any tree or lattice approach and closed-form valuation formulae are unavailable. In a practical empirical setting, we weigh the advantages and disadvantages of the simulation approach against competing approaches. Copyright (c) AFAANZ, 2003.