{"id":14161,"date":"2011-02-23T01:39:49","date_gmt":"2011-02-23T05:39:49","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14161"},"modified":"2011-02-23T01:39:49","modified_gmt":"2011-02-23T05:39:49","slug":"february-22-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14161","title":{"rendered":"February 22, 2011"},"content":{"rendered":"

The Bank of Canada has released<\/a> a working paper by Katya Kartashova titled The Private Equity Premium Puzzle Revisited<\/a>:<\/p>\n

In this paper, I extend the results of Moskowitz and Vissing-J\u00f8rgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors\u2019 methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989\u20131998 and show that the returns to private and public equity are similar. I then extend the period under consideration using data from subsequently released waves of SCF 2001, 2004, and 2007 and assess the robustness of their results to this extension. I find that the \u201cprivate equity premium puzzle\u201d is not a robust feature of the data and does not survive beyond the period of high public equity returns in the 1990s. In particular, returns to entrepreneurial equity remain largely unaffected when public equity returns plunge to near zero values between 1999 and 2001. The average return to private equity exceeds public equity return in 1999-2007 and for the period 1989-2007 as a whole. To validate the results, I provide alternative measures of private equity returns in the data.<\/p><\/blockquote>\n

The Bank of England has released<\/a> a working paper by Filipa S\u00e1, Pascal Towbin and Tomasz Wieladek titled Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation<\/a>:<\/p>\n

A number of OECD countries experienced an environment of low interest rates and a rapid increase in housing market activity during the last decade. Previous work suggests three potential explanations for these events: expansionary monetary policy, capital inflows due to a global savings glut and excessive financial innovation combined with inappropriately lax financial regulation. In this study we examine the effects of these three factors on the housing market. We estimate a panel VAR for a sample of OECD countries and identify monetary policy and capital inflows shocks using sign restrictions. To explore how these effects change with the structure of the mortgage market and the degree of securitisation, we augment the VAR to let the coefficients vary with mortgage market characteristics. Our results suggest that both types of shocks have a significant and positive effect on real house prices, real credit to the private sector and real residential investment. The responses of housing variables to both types of shocks are stronger in countries with more developed mortgage markets, roughly doubling the responses to a monetary policy shock. The amplification effect of mortgage-backed securitisation is particularly strong for capital inflows shocks, increasing the response of real house prices, residential investment and real credit by a factor of two, three and five, respectively.<\/p><\/blockquote>\n

A mixed day on the Canadian preferred share market, but mainly down. PerptualDiscounts gained 9bp, FixedResets lost 8bp and DeemedRetractibles were off 14bp. Volume picked up a bit, to elevated levels.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2853 %<\/td>\n2,391.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.76 %<\/td>\n3.48 %<\/td>\n16,345<\/td>\n19.07<\/td>\n1<\/td>\n-0.1747 %<\/td>\n3,578.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.50 %<\/td>\n2.27 %<\/td>\n50,423<\/td>\n21.57<\/td>\n4<\/td>\n-0.2853 %<\/td>\n2,582.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.83 %<\/td>\n3.78 %<\/td>\n92,161<\/td>\n2.20<\/td>\n8<\/td>\n-0.0918 %<\/td>\n2,386.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.34 %<\/td>\n1.16 %<\/td>\n251,174<\/td>\n0.80<\/td>\n4<\/td>\n0.1362 %<\/td>\n2,472.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0918 %<\/td>\n2,182.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.74 %<\/td>\n5.53 %<\/td>\n122,573<\/td>\n1.06<\/td>\n9<\/td>\n0.0154 %<\/td>\n2,036.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.54 %<\/td>\n5.61 %<\/td>\n129,352<\/td>\n14.39<\/td>\n15<\/td>\n0.0877 %<\/td>\n2,112.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.25 %<\/td>\n3.81 %<\/td>\n184,749<\/td>\n3.02<\/td>\n54<\/td>\n-0.0829 %<\/td>\n2,258.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.20 %<\/td>\n5.26 %<\/td>\n389,993<\/td>\n8.23<\/td>\n53<\/td>\n-0.1420 %<\/td>\n2,082.5<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.62
\nBid-YTW : 3.85 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.34
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.51
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.60
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n161,156<\/td>\nNesbitt crossed 150,000 at 27.06.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.07
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n89,061<\/td>\nNesbitt crossed 50,000; RBC crossed 21,700; and Nesbitt crossed another 10,000; all at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.94
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
RY.PR.X<\/td>\nFixedReset<\/td>\n77,048<\/td>\nRBC crossed 48,200 at 27.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-23
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.02
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n68,191<\/td>\nNesbitt crossed 50,000 at 23.90.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.90
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n66,166<\/td>\nNesbitt crossed 50,000 at 23.02.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-22
\nMaturity Price : 22.76
\nEvaluated at bid price : 22.97
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n57,055<\/td>\nNesbitt crossed 20,000 at 27.05; TD crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.01
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
There were 41 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\nQuote: 23.02 – 24.00
\nSpot Rate : 0.9800
\nAverage : 0.7409<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-22
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.02
\nBid-YTW : 2.27 %<\/td>\n<\/tr>\n

RY.PR.W<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.34 – 24.73
\nSpot Rate : 0.3900
\nAverage : 0.2553<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.34
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n

ELF.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.49 – 23.14
\nSpot Rate : 0.6500
\nAverage : 0.5260<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.49
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n

BAM.PR.O<\/td>\nOpRet<\/td>\nQuote: 25.65 – 26.05
\nSpot Rate : 0.4000
\nAverage : 0.2825<\/p>\n

YTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n

POW.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.96 – 23.32
\nSpot Rate : 0.3600
\nAverage : 0.2430<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-22
\nMaturity Price : 22.75
\nEvaluated at bid price : 22.96
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n

IAG.PR.E<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.50 – 25.85
\nSpot Rate : 0.3500
\nAverage : 0.2447<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The Bank of Canada has released a working paper by Katya Kartashova titled The Private Equity Premium Puzzle Revisited: In this paper, I extend the results of Moskowitz and Vissing-J\u00f8rgensen (2002) on the returns to …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-14161","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14161","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=14161"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14161\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14161"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14161"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14161"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}