Doubling: Nick Leeson's trading strategy

This paper examines the trading strategy attributed to Mr. Nicholas Leeson, who was the chief derivatives trader of Barings bank in Singapore. His activities were the main cause of the eventual collapse of Barings bank. Daily information is available for the full period Leeson was active in Singapore, from January 1992 until 1995, for all relevant products. The information includes daily volume, open interest, opening, closing, highest and lowest price. The empirical evidence suggests that Leeson followed a doubling strategy: he continuously doubled his position as prices were falling

Nederlandse pensioenen: een unieke vernieuwing in internationaal perspectief

Al ruim voordat de Wet toekomst pensioenen definitief werd, wekten de Nederlandse plannen voor hervorming van het stelsel internationaal al veel belangstelling. Dat is niet zo gek, want alle pensioenstelsels hebben in meer of mindere mate te maken met dezelfde uitdagingen die druk zetten op de financiële stabiliteit van een economie: vergrijzing, stijgende levensverwachting, lage reële rente en rendementen maken pensioenen duur. Overal lijkt de deelnemer meer te gaan betalen voor een lager pensioen dat ook nog eens later start. In dit artikel bespreken we of de vernieuwing van het Nederlandse pensioencontract bijzonder is vanuit buitenlands perspectief. We maken hierbij gebruik van het Netspar-rapport "Transition to a new pension contract in the Netherlands: Lessons from abroad" uit 2021, dat een aantal observaties bevat uit vergelijkbare hervormingstrajecten in andere landen. In het kort luidt het antwoord op de vraag of Nederland uniek is en of we inspiratie kunnen bieden aan buitenlandse hervormers: ja en nee

Nederlandse pensioenen: een unieke vernieuwing in internationaal perspectief

Al ruim voordat de Wet toekomst pensioenen definitief werd, wekten de Nederlandse plannen voor hervorming van het stelsel internationaal al veel belangstelling. Dat is niet zo gek, want alle pensioenstelsels hebben in meer of mindere mate te maken met dezelfde uitdagingen die druk zetten op de financiële stabiliteit van een economie: vergrijzing, stijgende levensverwachting, lage reële rente en rendementen maken pensioenen duur. Overal lijkt de deelnemer meer te gaan betalen voor een lager pensioen dat ook nog eens later start. In dit artikel bespreken we of de vernieuwing van het Nederlandse pensioencontract bijzonder is vanuit buitenlands perspectief. We maken hierbij gebruik van het Netspar-rapport "Transition to a new pension contract in the Netherlands: Lessons from abroad" uit 2021, dat een aantal observaties bevat uit vergelijkbare hervormingstrajecten in andere landen. In het kort luidt het antwoord op de vraag of Nederland uniek is en of we inspiratie kunnen bieden aan buitenlandse hervormers: ja en nee

The Occurrence and Impact of Pension Fund Discontinuity

Collective pension arrangements tend to yield higher risk-adjusted pension benefits than individual plans due to intergenerational risk sharing and the lack of annuity conversion risk. These benefits pose the implicit assumption that the pension fund has an infinite horizon, while we observe that many pension funds discontinue. Using case studies of six discontinued pension funds, in combination with a simulation model, this paper analyses the occurrence and impact of pension fund discontinuity. Although discontinuity tends to increase the volatility of pension benefits, median benefits in most institutional settings increase after discontinuing the fund. We find that both the occurrence and impact of discontinuity depends strongly on the institutional setting of the pension fund. Stricter regulations, such as more conservative discount rates, increase the financial stability of the pension fund; however, they may reduce membership support through lower replacement rates. This poses a trade-off in the design of the pension system

Doubling: Nick Leeson's trading strategy

This paper examines the trading strategy attributed to Mr. Nicholas Leeson, who was the chief derivatives trader of Barings bank in Singapore. His activities were the main cause of the eventual collapse of Barings bank. Daily information is available for the full period Leeson was active in Singapore, from January 1992 until 1995, for all relevant products. The information includes daily volume, open interest, opening, closing, highest and lowest price. The empirical evidence suggests that Leeson followed a doubling strategy: he continuously doubled his position as prices were falling

Impact of Japanese Mergers on Shareholder Wealth: An Analysis of Bidder and Target Companies

The market for corporate control in the second largest economy in the world behaves very different from that in the U.S. Using a sample of 91 mergers in the period 1982-2003 we document several distinctive features of this market in Japan. First, we show that in stark contrast to the pro-cyclical U.S. merger waves, mergers in Japan tend to be counter-cyclical, both with respect to the general economy as well as with respect to stock market valuations. Second, and again in contrast to the U.S. experience, we find that a significant fraction of Japanese mergers are orchestrated by the main banks; in such cases, mergers are not between two weak companies, but at least one of the merging companies is financially strong. Other distinctive features of Japanese mergers are the positive pre-announcement returns accruing to both bidders and targets, with bidders capturing approximately half the gains that accrue to target firms. We also find differential shareholder wealth effects in the bubble period (1982-1989), the early 1990s, and the post-financial regulation regime (1997-2003). Overall our results point to a market for corporate control that is distinctly less shareholder-centered than that in the U.S. and one where creditors play an important, perhaps dominant, role

Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach

In this article, we demonstrate that a direct relation exists between the context of Japanese firms indicating relative distress and conditional return distribution properties. We map cross-sectional vectors with company characteristics on vectors with return feature vectors, using a fuzzy identification technique called Competitive Exception Learning Algorithm (CELA)1. In this study we use company characteristics that follow from capital structure theory and we relate the recognized conditional return properties to this theory. Using the rules identified by this mapping procedure this approach enables us to make conditional predictions regarding the probability of a stock's or a group of stocks' return series for different return distribution classes (actually return indices). Using these findings, one may construct conditional indices that may serve as benchmarks. These would be particularly useful for tracking and portfolio management

Creditor-focused corporate governance: Evidence from mergers and acquisitions in Japan

Mergers in Japan have the dubious distinction of not creating wealth for shareholders of target firms, in sharp contrast to what occurs in much of the rest of the world. Using a sample of 91 mergers from 1982 through 2003 we document several distinctive features of the merger market in Japan: Mergers tend to be countercyclical and appear to be driven chiefly by creditor concerns. In particular, where the merging firms share a common main bank, we find that merger gains are lower. Overall, our results point to a market that is distinctly less shareholder focused than that in the U.S., and a market where creditors play an important, perhaps dominant, role in corporate governance

Creditor-Focused Corporate Governance: Evidence from Mergers and Acquisitions in Japan

Mergers in Japan have the dubious distinction of not creating wealth for shareholders of target firms, in sharp contrast to much of the rest of the world. Using a sample of 91 mergers from 1982 through 2003 we document several distinctive features of the merger market in Japan: mergers tend to be countercyclical and often orchestrated by a common main bank. Overall our results point to a market for corporate control that is distinctly less shareholder-focused than that in the U.S., and one where creditors play an important, perhaps dominant, role in corporate governance.Japanese mergers, Japanese corporate governance