Real Securities Research Articles

Asset pricing via fused deep learning with visual clues

Asset pricing via machine learning provides a promising way to capture price trends by fusing heterogeneous market factors to analyze their joint impact on stock movements rather than relying on statistical and econometric models in finance to explore the causality between a market indicator and stock returns. However, the fusion nature of machine learning also hides the way to unveil the internal mechanism of stock movements. In this study, a deep learning framework with visual clues is presented to unveil the entangled factors and their function on stock movements. In particular, a context-aware hierarchical attention mechanism (CHARM) is first proposed to encode unstructured textual media information to trace the literal power of news on such media-aware stock movements. The encoded media and other structured market factors are further fused via tensor-based learning to infer and visualize their interactions on stock fluctuations. Last, a pre-estimating method for locating turning points as trading clues is utilized to improve the efficiency of each investment opportunity. Experiments conducted in real securities markets demonstrate the proposed framework not only improve the readability of the investing strategies, but also enhance the predictive accuracy and the investing returns comparing with the state-of-the-art models, including AZFinText, TeSIA, eLSTM, CMT, MAC and SA-DLSTM.

Portfolio selection model with triangular intuitionistic fuzzy number by rate of return

A portfolio selection model with return as triangular intuitionistic fuzzy number is developed in this study to assess and select portfolios on China Stock Exchange. Although the portfolio selection has been widely investigated, and most studies have regarded return and risk as the main decisive criteria, there are many uncertainties in the financial market, such as social, political and human psychological factors, which makes it difficult for us to describe the risks in line with empirical evidence. To fill this gap, first, a literature review was conducted to clarify the current situation and shortcomings of portfolio selection. Second, the triangular intuitionistic fuzzy number was used to fuzzify the coefficients of the objective function and the constraints in the portfolio model. Third, the triangular intuitionistic fuzzy number model was transformed into a linear programming model by using the selected exact ranking function, and the model was solved by MATLAB. Finally, the historical monthly returns of 10 stocks in China’s Stock Exchange from December 2017 to November 2020, lasting 36 months, were selected to demonstrate the model. The results indicate that the portfolio selection model with triangular intuitionistic fuzzy number can better meet the uncertainty of the real securities market, and more reasonable investment decision guidance can be provided for investors. Besides, the limitations of this study are pointed out, and implications and directions for future research are discussed.

Buduća stvar kao predmet stvarnih prava

The paper aims to answer the question whether the concept of " future things" is compatible with property relations by addressing the issues such as: future things as an object of real rights, future things as real securities, transfer of real rights on future things, and future things as an object of enforcement proceedings. The analysis provided in this paper shows the COVID-19 crisis has brought many repercussions, not only to the public health systems in Europe but also to the European economy that has sustained losses during the pandemic. In such dire conditions, certain Macedonian financial institutions (such as banks) have offered financial support to the government and have lobbied for some benefits in return. Unfortunately, the benefits that banks have lobbied for threaten the stability and consistency of the civil law system. The situation raises concern among scholars who have urged for the preservation of the civil law institutes so that the short-term legal solutions implemented in haste for the benefit of some entities (banks) will not cause irreparable long-term damage to the overall civil law system. The authors analyze the provisions of several Macedonian legislative acts that implement the concept of future things in some areas of property law, such as: the exercise of real rights on future things, future things as real securities, transfer of right on future things, and forced sale in enforcement proceedings. The main objective of the analysis is to demonstrate that regulating " future things" as an object of real rights is not sustainable due to the nature of these rights.

Problems in Legal Regulation of Liability for Crimes that Infringe Digital Finance

The digitalization of the financial sector in developed legal systems, the use of block chain technology, the introduction of digital forms of participation in civil turnover, and the introduction of the possibility of settlements in digital currencies, are designed to increase the efficiency of the economy and, ultimately, improve the quality of life of citizens. However, technological progress and positive expectations from the introduction of digital technologies in the sphere of public relations cannot guarantee protection of the values enshrined in the Basic Laws of certain states. While acknowledging the fact that the level of crime in the sphere of economic activity is one of the indicators of national economic security, special attention should be paid to the evolution and forecasting of the means of criminal legal protection of the monetary system, which is currently undergoing a process of digital transformation. This is due to the fact that digital financial technologies carry certain risks for the monetary system, due to objective factors.
 Firstly, many things depend on the functioning of the monetary circulation and the effectiveness of currency restrictions, for example, the macroeconomic indicators of the stability of the economic system, the exchange rate of the national currency, the achievement of the balance of payments necessary for stable development, and the country's position in the international arena.
 Secondly, in the context of increasing structural imbalances in the world economy and the global financial systems, the growth of private and sovereign debt, the widening gap between the valuation of real assets and derivative securities, it is the sphere of currency regulation and currency control that becomes one of the stabilizing tools in the system of state measures to support the economy. Add to those the sharp decline in the role of traditional factors of economic growth associated with scientific and technological changes.
 Transactions by dint of new technologies are recognized as high-risk around the world due to the instability of their existence. Taking into account the data, as well as other risks of the introduction of digital technologies, therefore, requires an analysis of the problems of legislative regulation of criminal liability for crimes in the field of digital finance.

Cross Hedging Effectiveness of Real Estate Securities Exchange Traded Funds

We investigate hedging effectiveness of four REIT Exchange Traded Funds in hedging seven real estate securities returns for the United States, Europe, and Asia through R-Squared, hedge ratio, variance reduction (VR) and utility maximization metrics. The analyses cover different full sample and sub-sample periods from 2000 to 2010 (inclusive) to document the performances of the hedge during periods of high and low volatility. The results show that the ETFs were very effective in hedging EREIT and all the sampled real estate securities in Europe and Asia. Second, VECM hedge marginally outperformed OLS hedge. Third, we find that hedging effectiveness evidenced by VR does not necessarily equate to economic viability. Therefore VR must be used together with UIs to determine viability of hedging effectiveness. Finally, given different levels of risk aversion vis-à-vis expected utility, it is advisable/inadvisable to hedge during high/low volatility periods.

For a resilient, sustainable and inclusive recovery in Europe: challenges and proposals in response to the pandemic crisis

A corollary of the pandemic crisis and the unprecedented contraction of economic activity in Europe is the inevitable increase in public debt, and the need for active support of the European Central Bank (ECB), centred on the emergency purchase programme of government bonds. There is broad agreement on the general thrust of fiscal and monetary policies, but significant differences exist on the appropriate implementation and efficacy of policy impulses, notably between “Nordic” and “Peripheral” countries. This paper starts by reconsidering the dogma of balanced budgets as a general principle. A different approach is based on the taxonomy of deadweight and (re)productive debt. If government bonds finance capital expenditure (infrastructures broadly defined) with net returns higher than the cost of borrowing, the debt is fundamentally self-financing. More broadly, by reason of the huge warranted public investments (as documented by the European Investment Bank, EIB and the European Commission, EC), it is argued that “good” infrastructure capital accumulation represents a solution not only to the economic consequences of the pandemic crisis, but also to the issue of the savings glut. On the basis of this approach an assessment is offered of the responses to the crisis. Special attention is devoted to the EC proposal of the Recovery Fund. The model proposed here dovetails with the Recovery approach, and suggests a structural scheme to finance European Union (EU) infrastructures (monitored at EU level) through the issue of EU Real Infrastructure Securities (EURIS). The securities would comprise non only debt but also equity and equity-related instruments. The emphasis would be on Public-Private-Partnership initiatives. These real infrastructure securities would form the basis of a new European debt at Union level. The need to ensure rigour in public finances would be satisfied in two concurrent ways: the quality and net returns of the assets financed and a gradual move to a new fiscal pact, whereby national public deficits would be exclusively allowed for the financing of sound public investments, agreed and monitored at European level. Safety clauses would be introduced for exceptional events and to cope with cyclical developments (with full reversal in upturns).

Tokenization of assets and products

This article is about tokenization of assets and products based on blockchain technology. Tokenization continues the idea of securities, but only in the field of digital technologies. Various financial instruments have long been used that eliminate the risks of turnover of valuable physical assets, such as precious metals, by replacing them with less valuable equivalents. This is, for example, the use of banknotes and coins made of non-precious metals, Bank checks, and so on. Tokenization allows you to convert rights to a valuable physical asset into a digital token. The objects of tokenization can be real estate, various securities, manufactured products or raw materials, and so on. Such a token can be put into circulation on primary and secondary markets, as well as, often, «cashed» – that is, it can be exchanged from the manufacturer for the corresponding products. An important feature of tokenization is the ability to divide the value of indivisible assets, such as art and collectibles. This allows you to attract investors with small capital and makes it easier to benefit from initially expensive and low-liquid assets. However, this technology has a number of problems. The main problem with tokenization is that there is still no clear regulation of these digital assets in all countries of the world. In the United States, for example, tokens are often equated with securities. In Germany, it is considered that each case of tokenization should be considered separately, but tokens that grant rights similar to those granted by traditional shares are classified as financial instruments and are subject to appropriate regulation. In the future, after the problems are resolved, tokenization can replace the traditional way of representing the value of physical assets – securities, and also become a convenient financial tool for trading products and assets.

An Analysis of Sharia and Conventional Shares’ System at Indonesia Stock Exchange

There are lots of alternative investing. It is started from investment real assets, securities, from conventional and manifold sharia. Islamic Capital market and conventional have some type securities which have different risk level of risks. A stock is one of securities among other securities that have the high level of risk. One of the risks that exists in the stock is fluctuations price, it is commonly called as volatility. The aim of this research is to identifiy the risk of sharia stock and conventional stock in Indonesia Stock Exchange (BEI) by using Jakarta Islamic Indekx (JII) and LQ45 Indeks variabels. In our research, we use time series started on 1 January 2015 to 10 October 2016 from yahoo finance with ARCH/GARCH and EGARCH models processed by Eview 8. Based on research finding with GARCH and EGARCH, this research tends to EGARCH. The fist finding shows that volatility stock JII lower, 0,075 than LQ45 0,0316. If volatility is higher, it means the stability degree lower. Both of those stocks are dominated by bad news and good news. Between JII and LQ45, the news respon is higher on LQ45. It means the volatility risk impact higher on LQ45. The third finding is the JII forecasting results through EGARCH has refrection proportion JII has smaller 0,194 than LQ45 0,678. It means that JII volatility is lower than LQ45.

The Pricing of New Interest Rate Derivative Futures

This paper reviews the development of commercial real estate mortgage-backed securities. In addition, summarizes the relevant pricing formula of futures contracts and commercial real estate mortgage-backed securities. Based on the above research, this paper puts forward a new type of interest rate derivative futures, that is to say CMBS futures. In this paper, both the CIR model and the generalized method of moments are used to deduce the relevant pricing formula of the new financial derivatives, the CMBS futures. At the same time, the 261 real commercial mortgage backed security transaction data from May 3, 2015 to April 26, 2020 in the U.S. stock market are downloaded and used to test the derived pricing formula that derived above, and at last a specific CMBS futures contract is designed in order to provide reference for publishers when they are issuing the CMBS futures products. The research of this paper has certain practical significance for promoting the interest rate marketization, broadening the existing financing channels for investors, promoting the development of interest rate derivatives market and interest rate futures market. It also has certain theoretical significance for the development of financial derivatives and futures market, especially the development of interest rate derivatives and its futures products.

The Impacts of Financial Freedom on International Real Estate Securities

The aim of the paper is to study how trade freedom and financial freedom affect the excess return of real estate security, and we apply annual data for 1,108 publicly traded real estate companies of 24 countries from 2006 to 2013 to examine it. The main findings are as follows : First, for whole sample, the coefficients of the index of trade freedom, the index of financial freedom, are significantly negative, which means that higher freedom of trade and financial will increase efficiency of real estate market but the excess return of real estate will decrease. Second, comparing the effect of the indexes to affect excess return of real estate securities in three different regions, the indexes of financial freedom and Trade freedom are vital factors, but all of four indexes of freedom are important in Europe and other area. Third, the coefficients of indexes of monetary freedom and indexes of trade freedom are negative in both of high and non-high income groups. Finally, for the group of non-high income level, the coefficient of index of investment freedom is negative and the coefficient of index of financial freedom is positive, which are different with the results of the whole sample.

THE REPRESENTATION OF FEMALE CLAIMANTS BEFORE THE TRUSTEES FOR THE IRISH FORFEITURES, 1700–1703

AbstractThis article examines the rate and nature of female representation before the board of trustees for the forfeited estates in Ireland, established by the Act of Resumption in 1700. The legislation was introduced by a discontented English parliament to nullify William III's grants of forfeited Irish land, which he awarded after victory over James II in the War of the Two Kings (1689–91). The act's remit extended well beyond the resumption of freehold land, incorporating real property, judgements, securities, obligations, debts, and goods and chattels forfeited by outlawed Jacobites. It was also retroactive, as all parties with a legitimate title to a property that predated 13 February 1689 were entitled to enter a claim. Using a printed list of 3,140 claims submitted to the trustees, this article analyses the commonality of female claimants, considers their economic, social, and marital status, and identifies the legal or equitable basis for their representation before the trustees. In doing so, it examines prenuptial and familial practices in post-Restoration Ireland, underlines the economic importance of marriage and inheritance as means of conveyance, and suggests that women's and female minors’ successful claims provided a number of Catholic families with a lifeline in the early eighteenth century.

Risk and Performance of Internationally Listed Real Estate Returns

This article studies the performances of publicly traded real estate companies (real estate investment trusts and listed property companies) from 14 countries covering North America, Europe, and Asia as proxied by FTSE EPRA/NAREIT Global Real Estate Indexes over the period from 2000 to 2015. We implement robust normalized risk-adjusted performance measures and compare nine performance indicators before, during, and after the global financial crisis (GFC). Our findings show that the GFC had a huge impact on the ranking of internationally listed real estate securities’ relative performance. The study also stresses the importance of applying various performance measures to get a full picture of internationally listed real estate returns.

Backtesting expected shortfall: evidence from European securitized real estate

ABSTRACTEvents such as the European sovereign debt crisis, terrorism and Brexit cause more uncertainty and volatility in capital markets. This encourages us to use both conditional and unconditional forecasts (backtests) for expected shortfall (ES) in 8 indices of listed European real estate securities and Real estate investment trusts (REITs). Using the method proposed by Du and Escanciano, we find that ES is generally superior to Value-at-Risk in describing and capturing risk during extreme events such as the financial crisis. Our results are important to regulators, risk managers and investors.

Legal and Economic Considerations on the Efficacy of the Civil Law Fiduciary System Compared to the Common Law Trust under the Debates on the Dual Property System

Fiduciary is a better alternative than real securities in many respects. However, it has critical legal and economic disadvantages that cause inefficient consequences. Drawbacks of fiduciary outweigh its advantages compared to Common Law Trust. Since, Trust is based on a distinction of legal ownership and equity ownership which is compatible with the distinction of legal rights and economic rights in the economic theory of property rights. This compatibility between Trust and economic theory makes the Trust economically efficient. On the other hand, the economic rights and legal rights distinction is an unfamiliar issue to the civil law of property system. The civil law of property system covers limited real rights in accordance with the principle of numerus clausus that historically includes legal ownership as legal rights and to repudiate economic rights. In this paper, we analyse how to eliminate legal and economic drawbacks of fiduciary in order to make it as efficient as Trust in the light of transaction cost theorem. The dual property system in the Trust and economic theory should not be totally injected into the civil law of property system. However, the dual property system or a system may have legal consequences as quasi-dual property systems might be injected into a specific field like fiduciary transactions in civil law based capital markets. This argument has been legalized under the EC/2002/47 Financial Collateral Directive and Article 47 of the new Turkish Capital Markets Act.

Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidences

In this paper we observe an increase of the systematic risk of the American real estate securities in the year 2007 which go back to the initial values in the year 2009. At the same time we observe the possible presence of structural breaks. In order to evaluate the systematic risk we chose the Fama and French three factor model and studied the relationship between the extra-return of the REIT index, used as a proxy of American real estate securities and the extra return of the S&P 500 index represented by the market portfolio return. The results confirm the presence of an “Asymmetric Beta Puzzle” in agreement with previous studies. At the same time the results show that whereas in the past the REIT securities were considered to be conservative securities, in the year of the subprime crisis, they behaved as speculative one. REIT securities in particular have amplified and almost doubled the variations of the market risk premium.

Investment Opportunity Sets of Real Assets: An International Empirical Study Based on Ownership Types

This paper is the first, to our knowledge, to make the distinction between the investment opportunity set of real assets versus portfolio securities. We perform a large scale formal investigation of the investment opportunity set in global acquisitions based on ownership type over the period of 1985-2012. Compared to private acquirers, government acquirers have a much reduced investment opportunity set. Government acquirers invest in fewer target nations and industries, settle for smaller stakes, invest in countries with lower quality legal institutions and in nations with which political relations are more positive and see a 50% higher deal failure rate.

Knowledge Discovering in Corporate Securities Fraud by Using Grammar Based Genetic Programming

Securities fraud is a common worldwide problem, resulting in serious negative consequences to securities market each year. Securities Regulatory Commission from various countries has also attached great importance to the detection and prevention of securities fraud activities. Securities fraud is also increasing due to the rapid expansion of securities market in China. In accomplishing the task of securities fraud detection, China Securities Regulatory Commission (CSRC) could be facilitated in their work by using a number of data mining techniques. In this paper, we investigate the usefulness of Logistic regression model, Neural Networks (NNs), Sequential minimal optimization (SMO), Radial Basis Function (RBF) networks, Bayesian networks and Grammar Based Genet- ic Programming (GBGP) in the classification of the real, large and latest China Corporate Securities Fraud (CCSF) database. The six data mining techniques are compared in terms of their performances. As a result, we found GBGP outperforms others. This paper describes the GBGP in detail in solving the CCSF problem. In addition, the Synthetic Minority Over-sampling Technique (SMOTE) is applied to generate synthetic minority class examples for the imbalanced CCSF dataset.

International Real Estate Review

The main contribution of this study is to examine the extreme dependence between the real estate securities and stock markets in Australia, China, Hong Kong, Japan, Malaysia, the Philippines, Singapore and Taiwan between January 1995 and March 2011. For each market, we derive time series tail dependence coefficients (TDC) which measure how likely financial returns move in extreme market conditions by using the dynamic conditional correlation (DCC) methodology provided by Engle (2002). Overall, our results indicate that Singapore, the Philippines and Hong Kong have the highest extreme real estate–stock market co-movement of at least 50%. In addition, during the global financial crisis (GFC) period, the securitized real estate and common stock markets in China, Hong Kong, Japan, the Philippines and Singapore displayed the highest extreme dependence to react together to financial turmoil. The results in this paper also show that the extreme dependence patterns of real estate stock markets are similar for many of the Asia-Pacific economies. Finally, correlation coefficients are not adequate for explaining extreme co-movements between the securitized real estate and common stock markets in the longer period, as well as in the two-year GFC periods. Our TDC modeling with Asia-Pacific securitized real estate and stock markets provide useful information and advice to international investors and risk management personnel in tactical asset allocation so as to manage the extreme dependence between securitized real estate and common stock market.

Ergodic Markov equilibrium with incomplete markets and short sales

This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium process that is stationary and has an invariant ergodic measure. Ergodicity is required in finance for time series analysis of structural asset pricing models. This equilibrium property is difficult to obtain when heterogeneous agents can accumulate debt over time. Bounded marginal utility is shown to be a key condition for ergodicity in this setting.

Linkages between international REITs: the role of economic factors

PurposeThe purpose of this paper is to study correlations between the national real estate investment trusts (REIT) markets in the USA and the four Asia‐Pacific countries of Australia, Hong Kong, Japan and Singapore, and document the extent to which the time variation present in these correlations can be explained from a set of 11 economic and financial factors. Both US dollar and local currency returns are used.Design/methodology/approachTime‐varying correlations are estimated using a DCC‐GARCH model that allows for asymmetries in both the correlations and volatilities. The correlations are then regressed on a set of four economic and seven financial factors, and tests of statistical significance are conducted in order to discriminate between relevant and irrelevant explanatory variables. The authors estimate a fixed‐effects panel regression as well as individual regressions for each dynamic correlation.FindingsSignificant time variation is found in the four REIT correlation series. Panel regressions suggest that REIT correlations rise with increases in the interaction of national inflation rates and with higher global equity market uncertainty. It is also found that REIT correlations fall with increases in the US default risk premium and global equity market volume. Relaxing the structure imposed by the panel data model, individual regressions confirm most of the results, although there are some exceptions. It is also found that there are no substantial differences in the dynamics of the correlation coefficients when switching from the US dollar to local currency denominated returns.Practical implicationsInvestors in real estate securities across national markets should take into account information about the credit spread, the volatility and volume of global equity markets, and inflation rates when modeling correlations. These variables may alert the investors to the possibility that, under a set of circumstances, investing in real estate across different markets may not provide the expected diversification benefits. Another implication relates to the impact of currency hedging. It appears that the impact of switching from US dollar to local currency denominated returns does not substantially change the time dynamics of the correlations, or the importance of explanatory variables.Originality/valueAlthough considerable progress has been made in modelling time‐varying correlations between various REIT markets, to the authors' knowledge, this is one of the first papers to investigate the underlying causes of the co‐movement, especially between the US and Asia‐Pacific markets. The paper's results will help investors and risk managers make better choices by identifying those factors that have more systematic effects on the change in the REIT correlations, rather than more transient forces.