Frontier emerging equity markets securities price behavior and valuation:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boston [u.a.]
Kluwer
1999
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 201 S. graph. Darst. |
| ISBN: | 0792385853 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | viii Contents
II.B. 1. Overview of methodologies for measuring market
efficiency in emerging equity markets 29
H.B.2. Review of previous studies on market
efficiency in emerging equity markets 36
E.B.3 Behavioral finance offers clues to the reasons of
market inefficiency 44
Chapter 3 Frontier Emerging Equity Market Infrastructure 49
III.A. The early equity market 50
El. A. 1. Genesis of the Russian equity market 50
III.A.2. Emergence of an equity market 53
m.B. Equity market infrastructure 54
m.B.1. Regulatory system 54
EI.B.2. Clearing and settlement 57
m.B.3. Custody 59
m.B.4. The Russian Trading System (RTS)
and National Association of Securities Markets
Participants (NAUFOR) 60
III.B.5. Taxation and foreign investment approval 63
III.B.6. Accounting peculiarities in frontier equity
markets 64
III.C. A snapshot of current problems affecting the equity
market valuation of Russia 67
Chapter 4 Data and Descriptive Features of a Frontier Equity Market
71IV.A. Descriptive statistics of Russian securities 72
ix
IV.A. 1. Data sources and selection of Russian
securities 72
IV.A.2. The probability distribution of individual shares 74
IV.B. Mean variance frontier 78
Chapter 5 Information Channels in Frontier Emerging Markets 83
V.A. Informational channels and brokerage research
coverage index 83
V.A. 1. Information channels of security
information on Russian equities 83
V.A.2. Brokerage report coverage index 86
V.A.3. AK M Survey 88
V.A.4. Creation of top , medium , and
bottom transparency portfolios 89
Appendix I to chapter V. 93
Chapter 6 Econometrics of Measuring Frontier Equity Market
Efficiency 95
VIA. From random walk to relative market efficiency
97
VI.A. 1. The random walk model as a tool to measure market
efficiency 97
VI.A.2. Practical implications of deviation from the
random walk 99
VLB. Three types of random walks and the ratio test
variance 100
x Contents
VI.B.1. Random walk 1 (RW1), RW2, and RW3 100
VI.B.2. Test of the Random walk 3 (RW3) with the variance
ratio test 101
VI.B.3. Computation of the variance ratio test 103
VI.C. The variance test applied to the pre emerging equity
market of Russia 107
Chapter 7 Running the Numbers on a Frontier Market 109
VILA. Relative market efficiency and security
transparency 109
VH.A.1. Presentation of results 109
VII.A.2. Relative market inefficiency
a case of market segmentation 111
VII.B. Evolving relative market efficiency over time 116
VII.B. 1. Results confirming improving relative market
efficiency over time 116
Chapter 8 ADRs and GDRs International Depository Receipts
in Frontier Markets 119
VTII.A. Definition and benefits of ADRs and GDRs 121
VHI.A. 1. Four types of depository receipt programs 123
VIII.A.2. Sponsored Level I depository receipts 123
VIII.A.3. Sponsored Level II depository receipts 124
VDI.A.4. Sponsored Level Ill depository receipts 125
xi
VHI.A.5. Private placements 144A and Reg S 126
VEI.B. The Russian case of depository receipt facilities 128
VIII.B. 1. Description of Russian depository receipt facilities 128
Vm.B.2. Trading trends in Russian ADRs 133
VIII.B .3. Post ADR issuance performance of underlying
shares 136
VIH.B.4. Methodology for measuring share performance of
pre and post ADR issuance in Russia 137
VIII.B.5. Results of effects of depository receipts on share
prices in Russia 142
VIH.B.6. Frontier market ADR fitness 144
Chapter 9 Valuation Approaches to Frontier Equity Markets 147
IX.A. Gauging the future performance of Russian
equities during the early phase of the pre emerging
market life cycle 148
IX.A. 1. Description of the model 148
K.A.2. Data description 150
DC.A.2.1. Agreeing on valuation parameters 150
IX.A.3. Western Auditor, ADR, and Market Capitalization
(WAM) Dynamic measures of early market
Segmentation 153
IX.A.4. Methodology 159
K.A.5. Results 161
I
xii Contents
IX.B. Screening framework for pre emerging market securities
valuation 165
IX.B.l. Four top down layers and one double shelled nucleus of
analysis 165
IX.B.2. Political risk check list 166
IX.B.3. Macro screening tool 168
IX.B.3.1. Equity valuation and the risk free rate
crucial nexus in frontier emerging markets
theoretical underpinnings 169
IX.B.4. Equity infrastructure assessment 174
IX.B.5. Overview of screening framework 175
Appendix I to chapter IX. 176
Appendix II to chapter IX. 177
Chapter 10 The Philology of Frontier Equity Markets 179
X.A. Anatomy of market opinion formation in frontier
emerging markets 179
X.B. Aristotle s Art of Persuasion applied to frontier
market dynamics 183
X.C.
Unweaving the frontier market debate with the theory of
memes 186
Bibliography 191
Index 197
|
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| dewey-sort | 3332.63 12 3947 |
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| geographic_facet | Russland |
| id | DE-604.BV012834468 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:34:32Z |
| institution | BVB |
| isbn | 0792385853 |
| language | English |
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| spelling | Kratz, Oliver S. Verfasser aut Frontier emerging equity markets securities price behavior and valuation by Oliver S. Kratz Boston [u.a.] Kluwer 1999 XV, 201 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Beleggingen gtt Prijsvorming gtt Securities Prices Russia (Federation) Stock exchanges Russia (Federation) Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Aktienbewertung (DE-588)4000933-6 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Russland (DE-588)4076899-5 gnd rswk-swf Russland (DE-588)4076899-5 g Aktienmarkt (DE-588)4130931-5 s Aktienkurs (DE-588)4141736-7 s DE-604 Aktienbewertung (DE-588)4000933-6 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008732674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kratz, Oliver S. Frontier emerging equity markets securities price behavior and valuation Beleggingen gtt Prijsvorming gtt Securities Prices Russia (Federation) Stock exchanges Russia (Federation) Aktienmarkt (DE-588)4130931-5 gnd Aktienbewertung (DE-588)4000933-6 gnd Aktienkurs (DE-588)4141736-7 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4000933-6 (DE-588)4141736-7 (DE-588)4076899-5 |
| title | Frontier emerging equity markets securities price behavior and valuation |
| title_auth | Frontier emerging equity markets securities price behavior and valuation |
| title_exact_search | Frontier emerging equity markets securities price behavior and valuation |
| title_full | Frontier emerging equity markets securities price behavior and valuation by Oliver S. Kratz |
| title_fullStr | Frontier emerging equity markets securities price behavior and valuation by Oliver S. Kratz |
| title_full_unstemmed | Frontier emerging equity markets securities price behavior and valuation by Oliver S. Kratz |
| title_short | Frontier emerging equity markets securities price behavior and valuation |
| title_sort | frontier emerging equity markets securities price behavior and valuation |
| topic | Beleggingen gtt Prijsvorming gtt Securities Prices Russia (Federation) Stock exchanges Russia (Federation) Aktienmarkt (DE-588)4130931-5 gnd Aktienbewertung (DE-588)4000933-6 gnd Aktienkurs (DE-588)4141736-7 gnd |
| topic_facet | Beleggingen Prijsvorming Securities Prices Russia (Federation) Stock exchanges Russia (Federation) Aktienmarkt Aktienbewertung Aktienkurs Russland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008732674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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