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on Market Microstructure |
| By: | Benjamin Golez (Universitat Pompeu Fabra); José M. Marín (IMDEA Social Sciences Institute) |
| Abstract: | The interplay of delegated portfolio management and asset management ownership generates a double agency problem that may result on trading to support security prices. We test this hypothesis analyzing the trading patterns of mutual funds a¢ liated with banks with the stocks of their controlling banks. We show that affiliated mutual funds tend to increase the holdings of the parent bank stock following a large drop in the stock price of the bank. Further, we provide evidence that these patterns of trading are not consistent with portfolio rebalancing into the banking sector, contrarian trading or timing skills. We also provide evidence that the patterns of trading are not information-driven. This leads us to conclude that affiliated mutual funds follow this strategy to support the price of the parent bank. |
| Keywords: | price support; con‡ict of interests; agency problem; mutual funds; asset management; fund families; banks; prosecution |
| JEL: | G30 G23 G32 G28 G21 K22 |
| Date: | 2010–08–02 |
| URL: | http://d.repec.org/n?u=RePEc:imd:wpaper:wp2010-16&r=mst |
| By: | Tatsuya Kubokawa (Faculty of Economics, University of Tokyo) |
| Abstract: | The empirical best linear unbiased predictor (EBLUP) or the empirical Bayes estimator (EB) in the linear mixed model is recognized useful for the small area estimation, because it can increase the estimation precision by using the information from the related areas. Two of the measures of uncertainty of EBLUP is the estimation of the mean squared error (MSE) and the confidence interval, which have been studied under the second-order accuracy in the literature. This paper provides the general analytical results for these two measures in the unified framework, namely, we derive the conditions on the general consistent estimators of the variance components to satisfy the third-order accuracy in the MSE estimation and the confidence interval in the general linear mixed normal models. Those conditions are shown to be satisfied by not only the maximum likelihood (ML) and restricted maximum likelihood (REML), but also the other estimators including the Prasad-Rao and Fay-Herriot estimators in specific models. |
| Date: | 2010–07 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2010cf754&r=mst |
| By: | Gohin, Alexandre; Cordier, Jean |
| Abstract: | The role played by âspeculatorsâ during the 2007/08 food price spike is lively disputed. Our analysis focuses on the increasing participation of index funds in agricultural commodity futures markets before the food price spike. Our central theme is to determine if their prespike massive entry does prepare the subsequent crisis by maintaining low stock levels. We develop a theoretical model explaining the behaviour of speculators and traders on futures and cash markets. We allow index funds to inflict an informational externality on commercial traders that is supposed to induce a lower desire to hold stock. We find out that, once the production decisions of commercial traders are taken into account into the model, the increased net long position of index funds is inconsistent with lower stocks. We therefore conclude that commodity index funds are not a systematic cause of high market swings and that other relevant causes should be further studied. |
| Keywords: | Futures markets, commodity price, index funds, stocks, Food Consumption/Nutrition/Food Safety, Risk and Uncertainty, |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iatr10:91283&r=mst |