Do investors expect mean reversion in asset prices?

Article Abstract:

A study was conducted on the existence and source of equilibrium mean reversion in UK asset prices between Apr 6, 1981, and Oct 31, 1995. The study found the existence of equilibrium mean reversion in commodity and metal markets over the term structure. Equilibrium factors were found not to have any influence over financial assets across the full length of the term structure. Results suggest that implied cash flow yields influence the mean reverting process while the role of interest rate movements differ across maturities and across assets.

Other Financial Vehicles, Investors NEC, Prices, Investors, Equilibrium (Economics)

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Evolution and change: an analysis of the first decade of the UK venture capital industry

Article Abstract:

A research study on UK's venture capital industry during the 1983-1992 period reflects the industry's transition toward maturity. Changes to the economic environment and to the industry's operating environment have influenced the industry's maturing status. Industry statistics published by the British Venture Capital Assn. and the National Venture Capital Assn. were used to describe and explain the material changes in the nature of competition within the UK venture capital industry.

Venture Capital Companies, Miscellaneous Intermediation, United Kingdom, Venture capital, Management buyouts

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Term structure of interest rates and implicit options: the case of Japanese bond futures

Article Abstract:

A study conducted on Japanese bond futures contract negates previous studies which give substantial import to the effect of delivery options on futures prices. While other studies estimate quality option to be between 1%-2%, results of this study, which is based on the Heath, Jarrow and Morton term structure model, estimate option values to be at the range of 0.12%-0.2% of the futures price three months before delivery.

Japan, Securities, Government securities

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