Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly focuses on the whole market and on the monthly or weekly scale. In this paper, we conduct an extensive empirical analysis to investigate the forecasting abilities of realized skewness and realized kurtosis towards individual stock's future return and variance in the daily scale. It is found that realized kurtosis possesses significant forecasting power for the stock's future variance. In the meanwhile, realized skewness is lack of explanatory power for the future daily return for individual stocks with a short horizon, in contrast with the existing literature.
On the Surprising Explanatory Power of Higher Realized Moments in Practice. (arXiv:1604.07969v1 [stat.AP])
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Computershare And SETL Demonstrate Australiaâs First Working Blockchain Solution
Computershare (CPU:ASX) and SETL have today demonstrated Australia’s first working blockchain solution at Computershare’s annual Investor and Analyst day.
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Dalian Commodity Exchange: Notice On Adjusting The Trading Fee Rates Of The Metallurgical Coke And Several Other Futures Products
It is decided upon discussion that starting from April 27, 2016,
1. The trading fee rate of the metallurgical coke and coking coal futures will be adjusted from 0.018% to 0.036% of the turnover.
2. The trading fee rate of the iron ore futures will be adjusted from 0.018% to 0.03% of the turnover.
3. The trading fee rate of the PP futures will be adjusted from 0.018% to 0.024% of the turnover.
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Japan Exchange Group: Consolidated Financial Results For The Fiscal Year Ended March 31, 2016
In the fiscal year ended March 31, 2016 (from April 1, 2015 to March 31, 2016), the Group recorded operating revenue of ¥114,776 million (8.1% increase from the same period of the previous fiscal year (i.e.year-on-year)) due to factors such as increases in cash equity trading value and derivatives trading volume compared with the previous year, while, operating expenses were ¥50,925 million (3.7%year-on-year decrease) . As a result, the Group recorded operating income of ¥66,271 million (23.8% year-on-year increase) and income before income tax of ¥67,774 million (23.5% year-on-year increase). In addition, net income attributable to owners of the parent company after tax was ¥44,877 million (30.4% year-on-year increase).
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ASIC: ABN AMRO Clearing Sydney Pty Ltd Pays $45,000 Infringement Notice Penalty
ABN AMRO Clearing Sydney Pty Ltd ("ABN AMRO") has paid a penalty of $45,000 to comply with an infringement notice given to it by the Markets Disciplinary Panel ("MDP").
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Signing Of Asia Region Funds Passportâs Memorandum Of Co-operation
Representatives from Australia, Japan, Korea and New Zealand today signed the Asia Region Funds Passport’s Memorandum of Co-operation (MoC).
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Cross-Border Trade Agreement Means More Investment Choices For New Zealanders
New Zealand investors will benefit from more competition for their investment dollar and more choice of investment options as a result of an international agreement signed today.
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Japan Exchange Group: Notice Of Partial Amendment To The Articles Of Incorporation
At the meeting of the Board of Directors held on April 28, 2016, Japan Exchange Group, Inc. resolved to propose the "Partial Amendment to the Articles of Incorporation", as below, for resolution at the 15th Annual General Shareholders Meeting to be held on June 21, 2016.
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MNI India Business Sentiment Survey: India Business Confidence Lowest Since January, Financial Position Weakest Since October 2013
The MNI India Business Sentiment Survey for April showed that business confidence fell for the second consecutive month, albeit marginally, as firms’ financial position deteriorated.
The MNI India Business Sentiment Indicator, a gauge of current sentiment among BSE-listed companies, fell to 62.4 in April from 62.7 in March. The decrease in sentiment this month was led by construction and service sector firms while sentiment among manufacturing companies increased.
Confidence was down 2.3% compared with the same month a year ago and now stands at the same level as the series average. More positively, sentiment is up from the recent trough seen in December which had left it at the lowest for more than a year and a half.
The Reserve Bank of India cut the key policy rate by 25 basis points during the survey period. While it hasn’t impacted business sentiment yet, we expect to see some of its effect in next month’s survey. Note though that monetary easing has tended to provide only a short-term boost to business confidence, and has failed to cause a sustained increase.
In line with April’s rate cut, firms reported that they faced lower debt service costs and found credit more readily available. However, company balance sheets worsened as firms continued to feel the pressure of the high debt and low sales environment which has persisted for more than a year now.
The decline in overall business confidence between March and April came against a set of mixed results in the survey. Production was down, employment unchanged, while orders increased slightly on the month. The pace of inventory building picked up and firms expected stock levels to expand over the next three months given expectations of strong demand. Sentiment towards the rupee remained unchanged but companies faced lower inflationary pressures.
Commenting on the latest survey, Chief Economist of MNI Indicators Philip Uglow said, “A second consecutive decline in the MNI India Business Sentiment Indicator is a reminder that all is not well for India’s largest companies. While sentiment is up from the recent low in December, it is only running at the series average. Meanwhile other measures such as production and orders are running below average, while firms’ financial position deteriorated further in April.”
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JPX Taps Cinnober For Risk Monitoring - Next Step In The Japanese Exchangeâs Next Generation Clearing System Project
JPX, one of the world’s largest financial marketplaces, has chosen Cinnober for risk monitoring across the entire Japanese market of equities, bonds, futures, options, CDS and IRS. This follows an announcement earlier this year where JPX selected Cinnober for the clearing of the exchange’s listed derivatives market.
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MNI Russia Business Sentiment Indicator: Russian Business Sentiment Climbs Above 50 - Firms' Future Expectations Boosted As Economic Recovery Continues
The latest survey showed that business sentiment rose for the third consecutive month, moving into expansionary territory for the first time since September 2015.
The MNI Russia Business Sentiment Indicator increased 1.6% to 50.8 in April from 50.0 in March. Sentiment is now up 10.4% on the year and above the 12-month average of 48.4.
Companies were significantly less pessimistic about the next three months. Future Expectations of business conditions rose 14.2% to 46.7 in April, from 40.9 in March, the highest since October 2015. While this indicates a growing belief in a potential economic recovery, the figure was still below the series average of 52.9, and also below 50 indicating that pessimists still have the upper hand.
In line with the headline indicator, key activity measures performed better in April. Production increased 4.7% on the month to sit just under the breakeven point at 49.5, while New Orders rose to the exact 50 mark. Companies were also less pessimistic regarding orders and stock levels for the next three months, with future expectations for both measures rising 2.1% and 10.9% respectively, just shy of the 50 level. These results support the view that the long-term decline in the Russian economy may have ended.
Inflationary pressures eased in April. Prices Received fell 6% to 50.3, leaving it at the lowest since July 2015. Despite the recent firming in commodity prices, Input Prices fell to a series low of 50.0.
Following last month’s hefty increase, an increasing number of companies reported that the exchange rate was hindering rather than helping business in April. The Effect of Rouble Exchange Rate indicator fell 8.4% to 44.9 from 49.0, but was above the 2016 Q1 average of 38.2. Expectations for the next three months rose 3.2% to 45.8 from 44.4 in the previous month.
Commenting on the latest survey, Philip Uglow, Chief Economist of MNI Indicators said, “The latest report provides further evidence that the Russian economy could be through the worst.”
“Notably there was a third consecutive increase in sentiment and a significant jump in expectations. Confidence, though, remains at a low level with output and orders still not expanding”.
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Lessons in Corporate Finance: A Case Studies Approach to Financial Tools, Financial Policies, and Valuation
Lessons in Corporate Finance explains the fundamentals of the field in an intuitive way, using a unique Socratic question and answer approach. Written by award-winning professors at M.I.T. and Tufts, this book draws on years of research and teaching to deliver a truly interactive learning experience. Each case study is designed to facilitate class discussion, based on a series of
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Liquidnet Europe Announces Appointment Of Non-Executive Director To Board - Thierry Sciard Brings Over 30 Years Of Fixed Income Expertise
Liquidnet, the global institutional trading network, today announced the appointment of Thierry Sciard as a non-executive director to the board of Liquidnet Europe. In his new role, Thierry will draw from more than thirty years of experience in the fixed income markets to assist the continued growth of Liquidnet's fixed income trading platform which currently has over 160 global buy-side Members and six sell-side traders signed-up.
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UCL Agrees £280m European Investment Bank Loan For Campus Developments
UCL (University College London) has agreed a £280 million loan with the European Investment Bank to develop its Bloomsbury and UCL East campuses, the largest sum ever lent by the bank to a university.
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Japanâs Financial Services Agency: Information Sharing Of Cases Regarding Unauthorized Use Of Bank Accounts
The FSA provides information regarding unauthorized use of bank accounts to relevant financial institutions and law enforcement authorities.
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Malawi Stock Exchange Weekly Trading Report- 29 April, 2016
Click here to download Malawi Stock Exchange's weekly trading report for the week ending 29 April, 2016.
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HKEX Report On Initial Public Offering Applications, Delisting And Suspensions As At 29 April 2016
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European Commission: Video Message By Commissioner Jonathan Hill At The First Single Resolution Board Conference
I am really sorry not to be with you for your conference and to have the chance to discuss the work that we have been doing together to strengthen the banking union.
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HKEX: Margin Rates And Update Of PC-SPAN Organisation Master File For New Sector Index Futures
Reference is made to the circular (Ref: MKD_EQD_01_16) dated 29 February 2016 regarding the introduction of new Sector Index Futures on 9 May 2016. Please be advised that pursuant to Exchange Rule 617(d) and HKCC Rule 402, the Exchange and the Clearing House have determined that with effect from the commencement of trading on Monday, 9 May 2016, the margin levels of the new Sector Index Futures shall be as follows:
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Chicago Business Barometer: April Chicago Business Barometer Down 3.2 Points To 50.4 - New Orders And Backlogs Fall To The Lowest Since December 2015
The Chicago Business Barometer decreased 3.2 points to 50.4 in April from 53.6 in March led by a fall in New Orders and a sharp drop in Order Backlogs. It marks a slow start to the second quarter, with most measures down from levels seen a year earlier.
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