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Resmi Gazete
YÜRÜTME VE İDARE BÖLÜMÜ
BAKANLAR KURULU KARARLARI
2009/15534 Hububat ve Baklagil Üreticilerine Destekleme Primi Ödenmesine Dair Karar
2009/15537 Çiftçi Kayıt Sistemine Dahil Olan Çiftçilere Mazot, Kimyevi Gübre ve Toprak Analizi Destekleme Ödemesi Yapılması, Bitkisel Üretim Faaliyetinde Sertifikalı Fidan/Fide Kullanımının Desteklenmesi ve Hayvancılığın Desteklenmesine İlişkin Karar
BAKANLIĞA VEKÂLET ETME İŞLEMİ
— Sanayi ve Ticaret Bakanlığına, Enerji ve Tabii Kaynaklar Bakanı Taner YILDIZ’ın Vekâlet Etmesine Dair Tezkere
ATAMA KARARLARI
— Başbakanlık ile Devlet, Adalet, İçişleri, Bayındırlık ve İskan, Sağlık, Enerji ve Tabii Kaynaklar, Çevre ve Orman Bakanlıkları ve Hâkimler ve Savcılar Yüksek Kuruluna Ait Atama Kararları
YÖNETMELİKLER
— Denizcilik Müsteşarlığı Sicil Amirleri Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik
— Denizcilik Müsteşarlığı Disiplin Amirleri Yönetmeliğinde Değişiklik Yapılmasına Dair Yönetmelik
— Çalışma ve Sosyal Güvenlik Bakanlığı Yurtdışı İşçi Hizmetleri Uzman Yardımcılığı ve Uzmanlığı Atama, Görev ve Çalışma Yönetmeliğinde Değişiklik Yapılması Hakkında Yönetmelik
— Türkiye Elektrik Dağıtım A.Ş. Genel Müdürlüğü ve Bağlı Dağıtım Şirketlerinin 4734 Sayılı Kamu İhale Kanununun 3 üncü Maddesinin (g) Bendi Kapsamında Yapacağı Mal ve Hizmet Alımları Hakkında Yönetmelik
TEBLİĞLER
— Gümrük Genel Tebliğinde Değişiklik Yapılmasına Dair Tebliğ (Tarife) (Seri No: 12)
— Türk Sahipli Olup, Yabancı Bayrakta Bulunan ve Özel Kullanıma Mahsus Gemi Deniz ve İç Su Araçlarının İthal Edilmesine İlişkin Tebliğde Değişiklik Yapılmasına Dair Tebliğ (No: 2009/5)
Yabancı Süreli Yayınlar
Pacific‐Basin Finance Journal
Volume 17, Issue 5, Pages 525‐650 (November 2009)
The implications of liquidity and order flows for neoclassical finance Pages 527‐532
Avanidhar Subrahmanyam
Abstract
While liquidity and order flows are microstructure constructs, we show that they have profound implications for all of finance. In particular, liquidity is intimately connected with the fundamental building blocks of finance, namely, the pricing of risk, the powerful no‐
arbitrage theorems, and market efficiency. Large‐sample studies of liquidity show that both liquidity and liquidity risk are priced in the cross‐section of stock returns, the law of one price is more likely to hold in more liquid markets, and liquidity enhances market efficiency.
Hence policies to enhance liquidity encourage efficiency and reduce costs of raising capital.
Furthermore, order flows are powerful predictors of returns as well as the real economy.
Article Outline
1. Liquidity and asset prices 2. Liquidity and market efficiency 3. Liquidity and no‐arbitrage 4. Order flows and asset prices 5. Conclusion
References
Order aggressiveness of institutional and individual investors Pages 533‐546
Huu Nhan Duong, Petko S. Kalev, Chandrasekhar Krishnamurti
Abstract
This paper investigates the determinants of the order aggressiveness of institutional and individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that identifies institutional and individual order submissions, we document that the institutional and individual investors become more aggressive when the same‐side (opposite‐side) market depth increases (decreases). When the spread widens, both individual and institutional investors tend to become less aggressive. Institutional investors are more aggressive in the opening hour of the trading day, while individual investors are less
aggressive initially and increase their order aggressiveness during the rest of the trading day.
Article Outline
1. Introduction 2. Data
3. Research methodology 4. Empirical results
4.1. Statistics of order submissions
4.2. The distribution of order aggressiveness levels
4.3. The order aggressiveness of institutional and individual investors 4.4. The order aggressiveness of buy and sell orders
4.5. Implication of results 5. Conclusion
Acknowledgements References
Intraweek and intraday trade patterns and dynamics Pages 547‐564
Petko S. Kalev, Linh T. Pham
Abstract
This paper investigates informed traders' order‐splitting strategies on different days of the week and times of the day for a sample of stocks traded on the Australian Stock Exchange.
Based on cumulative price changes, we document that informed traders tend to use medium size trades. We find that informed investors concentrate their strategic trading on Mondays and particularly during the first trading hour. In addition, informed investors also use large size trades around market opening and closing, as well as on days other than Mondays and Fridays. These results are more pronounced for the large market capitalization stocks.
Article Outline
1. Introduction
2. Data and methodology 2.1. Data and sample selection 2.2. Trade size classifications
2.3. Day‐of‐the‐week and time‐of‐the‐day classification 3. Results
3.1. Descriptive statistics
3.2. Cumulative price change examination 3.3. Inter‐day examination
3.4. Intraday patterns of cumulative price changes 3.5. Inter‐day weighted least squares
3.6. Intraday weighted least squares
3.7. Inter‐day weighted least squares with different trade sizes 3.8. Intraday weighted least squares with different trade sizes 4. Sensitivity analysis
5. Conclusion Acknowledgements References
Momentum profits in the Australian equity market: A matched firm approach Pages 565‐579
Jenni L. Bettman, Thomas R.B. Maher, Stephen J. Sault
Abstract
This paper examines momentum trading strategies within the Australian equity market over the period 1990 to 2007, inclusive. We analyse excess returns employing both Jegadeesh and Titman's (Jegadeesh, N., Titman, S., 1993. “Returns to buying winners and selling losers:
implications for stock market efficiency”. The Journal of Finance, 48:65–91) zero cost
investment portfolio approach and a matched control firm approach. We also allow for short sale restrictions, liquidity constraints and transaction costs in the form of bid‐ask spreads.
Testing reveals that both the Jegadeesh and Titman (Jegadeesh, N., and Titman, S. (1993).
“Returns to buying winners and selling losers: implications for stock market efficiency”. The Journal of Finance, 48:65–91.) zero cost investment portfolio approach and the matched control firm approach yield excess profits. While the implementation of short sale restraints increases momentum profitability, the subsequent inclusion of bid‐ask spreads results in a reduction in these gains. Further, we find that executing a momentum strategy in Australia results in statistically significant dollar profits.
Article Outline
1. Introduction and literature review 2. Model specification
3. Momentum profit feasibility 4. Data
4.1. Momentum profit feasibility data 5. Results13
5.1. Momentum profit feasibility results 6. Conclusion
References
Default risk and equity returns: Australian evidence Pages 580‐593
Philip Gharghori, Howard Chan, Robert Faff
Abstract
We test whether default risk is related to equity returns using the Fama and MacBeth [Fama, E.F., MacBeth, J., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political
Economy 81, 607–636.] regression framework. The proxy we use for default risk is the default probability obtained from option‐based models. Our findings show that default probability is negatively related to returns. While we find that size and book‐to‐market are related to default risk, the ability of these variables to explain cross‐sectional variation in returns is not because they are proxying default risk. Further, our evidence suggests that the negative relationship between default probability and returns is not due to a leverage, volatility or momentum effect.
Article Outline
1. Introduction 2. Literature review
2.1. Default risk and returns 2.2. Measuring default risk 3. Methodology and data 3.1. Variable measurement 3.2. Data
3.3. Fama–MacBeth regressions
3.4. Predicted relationship between DP, the other variables and returns 4. Results
4.1. Preliminaries
4.2. Fama–MacBeth regressions 5. Summary and conclusions Acknowledgements
References
Cash dividends, stock dividends and subsequent earnings growth Pages 594‐610
Chin‐Sheng Huang, Chun‐Fan You, Szu‐Hsien Lin
Abstract
This study examines the association between dividend payout ratios and subsequent earnings growth using a unique dataset on Taiwanese firms paying dual dividends. The
practice of paying dual dividends, which is quite common in Taiwan, gives rise to a novel
‘balanced‐dividend hypothesis’ to be addressed in this study. The main thrusts of the hypothesis are that high cash‐dividend payouts may reduce agency costs, and that high stock‐dividend payouts provide a signal of optimism. The empirical evidence shows that a significant positive association between dividend payout ratios and subsequent earnings growth exists only in the dual‐dividend payouts sample. After further dividing the whole sample according to their cash‐to‐stock ratios, the significantly positive association between dual‐dividend payouts and subsequent earnings growth is discernible only in the balanced‐
dividend sub‐samples.
Article Outline
1. Introduction
2. Hypothesis and basic descriptive data 2.1. Hypothesis development
2.2. Basic descriptive data 3. Study design
4. Empirical results 4.1. Cash dividends 4.2. Stock dividends 4.3. Dual dividends 5. Tests for robustness
5.1. Alternative earnings measures
5.2. The impact of earnings mean reversion 5.3. The impact of share repurchases 5.4. Issuing market and industry variations
5.5. Verification of individual years in the cross‐sectional data 6. Conclusions
Acknowledgements References
U.S. and Japanese macroeconomic news and stock market volatility in Asia‐Pacific Pages 611‐627
Evert B. Vrugt
Abstract
I use a new comprehensive dataset to analyze the impact of ten U.S. and six Japanese
macroeconomic announcements on stock market volatility in Japan, Hong Kong, South‐Korea and Australia. A GARCH model that allows for multiplicative announcement effects and asymmetries is employed. Overnight conditional variances are significantly higher on announcement days and significantly lower on days before and after announcements, especially for U.S. news. The impact of announcements on implied volatilities, in contrast, is much weaker. Out‐of‐sample trading strategies that systematically buy delta‐neutral
straddles on announcement days generate statistically significant profits, but these disappear after transaction costs are taken into account.
Article Outline
1. Introduction 2. Data
2.1. Macroeconomic expectations and announcements 2.2. Equity futures returns
2.3. Implied volatilities 3. Econometric methodology 3.1. Modeling conditional variance
3.2. Modeling changes in implied volatility 4. Empirical results
4.1. Conditional variance: GARCH models 4.1.1. Robustness
4.2. Implied volatility 4.2.1. Robustness
4.3. Can the patterns in implied and conditional volatility be exploited?
5. Conclusions References
Do Japanese CEOs matter?
Pages 628‐650
Sanghoon Ahn, Utpal Bhattacharya, Taehun Jung, Giseok Nam
Abstract
In a country where individualism is emphasized less than in Western countries, we ask whether the CEO (shacho) of a Japanese corporation positively affects firm performance. To answer this question, we construct a shacho‐firm matched panel data set in the period 1990 through 2002 of all listed 1419 Japanese manufacturing firms and their 3520 shachos.
Though we find a positive abnormal stock return on the date a shacho change is announced, especially when the shacho change is non‐routine, we document that this effect is short‐
lived. There seems to be no long‐run positive change in performance or policies after a shacho change, even when the shacho change is non‐routine. Finally, in trying to explain firm performance or policies, we attempt to separate a firm‐fixed effect from a shacho‐fixed effect, and are unable to disentangle a shacho‐fixed effect. We are thus left to conclude that shachos do not positively matter in the Japanese corporation in this decade of a stagnant economy.
Article Outline
1. Data
2. Does the shacho change announcement cause abnormal returns?
3. Is the shacho change year abnormal?
3.1. A non‐parametric test 3.2. A parametric test
4. Is there a shacho‐fixed effect?
5. Conclusion
Appendix A. Appendix Firm performance variables Investment policy variables Financial policy variables Other variables
References
