Dividends: NIPA Vs. S&P
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Spdr Bloomberg Barclays High Yield Bond Etf – Reverse Split Option Symbol: Jnk New Symbol: Jnk1 Date: 05/06/19
#44979 DATE: MAY 1, 2019 SUBJECT: SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETF – REVERSE SPLIT OPTION SYMBOL: JNK NEW SYMBOL: JNK1 DATE: 05/06/19 SPDR Bloomberg Barclays High Yield Bond ETF (JNK) has announced a 1-for-3 reverse stock split. As a result of the reverse stock split, each JNK ETF will be converted into the right to receive approximately 0.333333 (New) SPDR Bloomberg Barclays High Yield Bond ETF. The reverse stock split will become effective before the market open on May 6, 2019. CONTRACT ADJUSTMENT Effective Date: May 6, 2019 Option Symbol: JNK changes to JNK1 Contract Multiplier: 1 Strike Divisor: 1 New Multiplier: 100 (e.g., for premium or strike dollar extensions 1.00 will equal $100) New Deliverable Per Contract: 1) 33 (New) SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 2) Cash in lieu of approximately 0.3333 fractional JNK ETF, if any CUSIP: JNK (New): 78468R622 PRICING Until the cash in lieu amount, if any, is determined, the underlying price for JNK1 will be determined as follows: JNK1 = 0.333333 (JNK) DELAYED SETTLEMENT The JNK component of the JNK1 deliverable will settle through National Securities Clearing Corporation (NSCC). OCC will delay settlement of the cash portion of the JNK1 deliverable until the cash in lieu of fractional JNK ETFs, if any, is determined. Upon determination of the cash in lieu amount, OCC will require Put exercisers and Call assignees to deliver the appropriate cash amount, if any. DISCLAIMER This Information Memo provides an unofficial summary of the terms of corporate events affecting listed options or futures prepared for the convenience of market participants. -
BIS Working Papers No 532 Mortgage Risk and the Yield Curve
BIS Working Papers No 532 Mortgage risk and the yield curve by Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter Monetary and Economic Department December 2015 JEL classification: G12, G21, E43 Keywords: Term Structure of Interest Rates, MBS, Supply Factor BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2015. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Mortgage Risk and the Yield Curve∗ Aytek Malkhozov† Philippe Mueller‡ Andrea Vedolin§ Gyuri Venter¶ Abstract We study the feedback from the risk of outstanding mortgage-backed secu- rities (MBS) on the level and volatility of interest rates. We incorporate the supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions that are strongly supported in the data: (i) MBS duration positively predicts nominal and real excess bond returns, especially for longer maturities; (ii) the predictive power of MBS duration is transitory in nature; and (iii) MBS convexity increases interest -
Etf Series Solutions
INFORMATION CIRCULAR: ETF SERIES SOLUTIONS TO: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders FROM: NASDAQ / BX / PHLX Listing Qualifications Department DATE: November 29, 2017 EXCHANGE-TRADED FUND SYMBOL CUSIP # AAM S&P Emerging Markets High Dividend Value ETF EEMD 26922A586 AAM S&P 500 High Dividend Value ETF SPDV 26922A594 BACKGROUND INFORMATION ON THE FUNDS ETF Series Solutions (the “Trust”) is a management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), consisting of several investment portfolios. This circular relates only to the Funds listed above (each, a “Fund” and together, the “Funds”). The shares of the Fund are referred to herein as “Shares.” Advisors Asset Management, Inc. (the “Adviser”) is the investment adviser to the Funds. AAM S&P Emerging Markets High Dividend Value ETF The AAM S&P Emerging Markets High Dividend Value ETF (“EEMD”) seeks to track the total return performance, before fees and expenses, of the S&P Emerging Markets Dividend and Free Cash Flow Yield Index (the “EEMD Index”). EEMD uses a “passive management” (or indexing) approach to track the total return performance, before fees and expenses, of the EEMD Index. The EEMD Index is a rules-based, equal-weighted index that is designed to provide exposure to the constituents of the S&P Emerging Plus LargeMidCap Index that exhibit both high dividend yield and sustainable dividend distribution characteristics, while maintaining diversified sector exposure. The EEMD Index was developed in 2017 by S&P Dow Jones Indices, a division of S&P Global. -
Bond Liquidity and Dealer Inventories: Insights from US and European Regulatory Data
52 Financial Conduct Authority Occasional Paper Securities and Exchange Commission DERA Working Paper February 2020 Bond liquidity and dealer inventories: Insights from US and European regulatory data Plamen Ivanov, Alexei Orlov and Michael Schihl Occasional Paper 52 / DERA Working Paper Bond liquidity and dealer inventories Occasional Paper 52 / DERA Working Paper Abstract Most corporate bond research on liquidity and dealer inventories is based on the USD- denominated bonds transactions in the US reported to TRACE. Some of these bonds, however, are also traded in Europe, and those trades are not subject to the TRACE reporting require- ments. Leveraging our access to both TRACE and ZEN, the UK's trade reporting system which is not publicly available, we find an overlap of about 30,000 bonds that are traded both in the US and in Europe. This paper examines how using the CUSIP-level information from TRACE and ZEN affects the computation of bond liquidity metrics, dealer inventories, and the relationship between the two. We find that in the combined dataset, the weekly volume traded and number of trades are significantly higher than in TRACE: e.g., the average unconditional number of trades in investment-grade (high-yield) bonds is 17% (20%) higher and the average uncondi- tional volume traded is 15% (17%) higher when we incorporate the information from ZEN. We find a strong positive relationship between inventories and liquidity, as proxied by the trading activity metrics (i.e., number of trades, zero trading days, or par value traded) in TRACE data, and this result carries over to the combined dataset. -
The Time-Varying Liquidity Risk of Value and Growth Stocks
EDHEC-Risk Institute 393-400 promenade des Anglais 06202 Nice Cedex 3 Tel.: +33 (0)4 93 18 32 53 E-mail: [email protected] Web: www.edhec-risk.com The Time-Varying Liquidity Risk of Value and Growth Stocks April 2010 Ferhat Akbas Mays Business School, Texas A&M University, College Station Ekkehart Boehmer Affiliate Professor, EDHEC Business School Egemen Genc Lundquist College of Business, University of Oregon, Eugene Ralitsa Petkova Mays Business School, Texas A&M University, College Station Abstract We study the liquidity exposures of value and growth stocks over business cycles. In the worst times, value stocks have higher liquidity betas than in the best times, while the opposite holds for growth stocks. Small value stocks have higher liquidity exposures than small growth stocks in the worst times. Small growth stocks have higher liquidity exposures than small value stocks in the best times. Our results are consistent with a flight-to-quality explanation for the countercyclical nature of the value premium. Exposure to time-varying liquidity risk captures 35% of the small- stock value premium and 100% of the large-stock value premium. We thank seminar participants at Texas A&M University and the University of Oregon for helpful comments and suggestions. EDHEC is one of the top five business schools in France. Its reputation is built on the high quality of its faculty and the privileged relationship with professionals that the school has cultivated since its establishment in 1906. EDHEC Business School has decided to draw on its extensive knowledge of the professional environment and has therefore focused its research on themes that satisfy the needs of professionals. -
Foundations of High-Yield Analysis
Research Foundation Briefs FOUNDATIONS OF HIGH-YIELD ANALYSIS Martin Fridson, CFA, Editor In partnership with CFA Society New York FOUNDATIONS OF HIGH-YIELD ANALYSIS Martin Fridson, CFA, Editor Statement of Purpose The CFA Institute Research Foundation is a not- for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. Neither the Research Foundation, CFA Institute, nor the publication’s editorial staff is responsible for facts and opinions presented in this publication. This publication reflects the views of the author(s) and does not represent the official views of the CFA Institute Research Foundation. The CFA Institute Research Foundation and the Research Foundation logo are trademarks owned by The CFA Institute Research Foundation. CFA®, Chartered Financial Analyst®, AIMR- PPS®, and GIPS® are just a few of the trademarks owned by CFA Institute. To view a list of CFA Institute trademarks and the Guide for the Use of CFA Institute Marks, please visit our website at www.cfainstitute.org. © 2018 The CFA Institute Research Foundation. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the copyright holder. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold with the understanding that the publisher is not engaged in rendering legal, accounting, or other professional service. If legal advice or other expert assistance is required, the services of a competent professional should be sought. -
Dividend Valuation Models Prepared by Pamela Peterson Drake, Ph.D., CFA
Dividend valuation models Prepared by Pamela Peterson Drake, Ph.D., CFA Contents 1. Overview ..................................................................................................................................... 1 2. The basic model .......................................................................................................................... 1 3. Non-constant growth in dividends ................................................................................................. 5 A. Two-stage dividend growth ...................................................................................................... 5 B. Three-stage dividend growth .................................................................................................... 5 C. The H-model ........................................................................................................................... 7 4. The uses of the dividend valuation models .................................................................................... 8 5. Stock valuation and market efficiency ......................................................................................... 10 6. Summary .................................................................................................................................. 10 7. Index ........................................................................................................................................ 11 8. Further readings ....................................................................................................................... -
What Are High-Yield Corporate Bonds?
INVESTOR BULLETIN What Are High-yield Corporate Bonds? The SEC’s Office of Investor Education and Advocacy is a high-yield bond, it is important that you understand issuing this Investor Bulletin to educate individual investors the risks involved. about high-yield corporate bonds, also called “junk bonds.” While they generally offer a higher yield than investment-grade Default risk. Also referred to as credit risk, this is the bonds, high-yield bonds also carry a higher risk of default. risk that a company will fail to make timely interest or principal payments and default on its bond. Defaults also What is a high-yield corporate bond? can occur if the company fails to meet certain terms of its A high-yield corporate bond is a type of corporate bond debt agreement. Because high-yield bonds are typically that offers a higher rate of interest because of its higher issued by companies with higher risks of default, this risk risk of default. When companies with a greater estimated is particularly important to consider when investing in default risk issue bonds, they may be unable to obtain high-yield bonds. an investment-grade bond credit rating. As a result, they Interest rate risk. typically issue bonds with higher interest rates in order to Market interest rates have a major entice investors and compensate them for this higher risk. impact on bond investments. The price of a bond moves in the opposite direction than market interest rates—like High-yield bond issuers may be companies characterized opposing ends of a seesaw. This presents investors with as highly leveraged or those experiencing financial interest rate risk, which is common to all bonds. -
QUESTIONS 3.1 Profitability Ratios Questions 1 and 2 Are Based on The
140 SU 3: Profitability Analysis and Analytical Issues QUESTIONS 3.1 Profitability Ratios Questions 1 and 2 are based on the following information. The financial statements for Dividendosaurus, Inc., for the current year are as follows: Balance Sheet Statement of Income and Retained Earnings Cash $100 Sales $ 3,000 Accounts receivable 200 Cost of goods sold (1,600) Inventory 50 Gross profit $ 1,400 Net fixed assets 600 Operations expenses (970) Total $950 Operating income $ 430 Interest expense (30) Accounts payable $140 Income before tax $ 400 Long-term debt 300 Income tax (200) Capital stock 260 Net income $ 200 Retained earnings 250 Plus Jan. 1 retained earnings 150 Total $950 Minus dividends (100) Dec. 31 retained earnings $ 250 1. Dividendosaurus has return on assets of Answer (A) is correct. (CIA, adapted) REQUIRED: The return on assets. DISCUSSION: The return on assets is the ratio of net A. 21.1% income to total assets. It equals 21.1% ($200 NI ÷ $950 total B. 39.2% assets). Answer (B) is incorrect. The ratio of net income to common C. 42.1% equity is 39.2%. Answer (C) is incorrect. The ratio of income D. 45.3% before tax to total assets is 42.1%. Answer (D) is incorrect. The ratio of income before interest and tax to total assets is 45.3%. 2. Dividendosaurus has a profit margin of Answer (A) is correct. (CIA, adapted) REQUIRED: The profit margin. DISCUSSION: The profit margin is the ratio of net income to A. 6.67% sales. It equals 6.67% ($200 NI ÷ $3,000 sales). -
Liquidity and Expected Returns: Lessons from Emerging Markets
Liquidity and Expected Returns: Lessons from Emerging Markets Geert Bekaert Columbia University, National Bureau of Economic Research Campbell R. Harvey Duke University, National Bureau of Economic Research Christian Lundblad University of North Carolina at Chapel Hill Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that it significantly predicts future returns, whereas alternative measures such as turnover do not. Consistent with liquidity being a priced factor, unexpected liquidity shocks are positively correlated with contemporaneous return shocks and negatively correlated with shocks to the dividend yield. We consider a simple asset-pricing model with liquidity and the market portfolio as risk factors and transaction costs that are proportional to liquidity. The model differentiates between integrated and segmented countries and time periods. Our results suggest that local market liquidity is an important driver of expected returns in emerging markets, and that the liberalization process has not fully eliminated its impact. (JEL G12, G15, F30) It is generally acknowledged that liquidity is important for asset pricing. Illiquid assets and assets with high transaction costs trade at low prices relative to their expected cash flows, that is, average liquidity is priced [e.g., Amihud and Mendelson (1986); Brennan and Subrahmanyam (1996); Datar et al. (1998); Chordia et al. (2001b)]. Liquidity also predicts future returns and liquidity shocks are positively correlated with return shocks [see Amihud (2002); Jones (2002)]. -
Westfield Capital Dividend Growth Fund
The Advisors’ Inner Circle Fund II Westfield Capital Dividend Growth Fund Summary Prospectus | March 1, 2020 Ticker: Institutional Class Shares (WDIVX) Beginning on March 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary. You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-866-454-0738. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all Westfield Capital Funds if you invest directly with the Fund. -
Dividends: What Are They, and Do They Matter?
MIDDLE SCHOOL | UNIT 6 Growing and Protecting Your Finances Title Dividends: What Are They, and Do They Matter? LEARNING OBJECTIVES Content Area Students will: Math • Review what stocks are and that investing in them Grades involves risk. 6–8 • Develop an understanding of dividends and yield. Overview • Understand how to determine How can you make money in the stock market? Students discover that buying and if a company pays a dividend selling stocks is not the only way to make money in the stock market. They learn or not. what dividends are and investigate which companies pay dividends. The activity • Calculate annual dividend begins with an overview of investing and the traditional “buy low and sell high” payments using ratios. method. Students then learn about dividends and how yield is a numeric indicator of a company’s dividends. As a class, students investigate whether each company in a provided set pays a dividend. Each student selects companies from the list to create his or her own hypothetical portfolio. Students use dice to determine their number of shares in each company and then calculate their dividend payments. The activity concludes with students considering whether they would invest in dividend-paying stocks and a reminder that all investments come with the potential for loss. Themes Personal Finance: Investing, dividends Math: Ratios, rates, percentages Common Core Math Standards MP1 Make sense of problems and persevere in solving them. MP2 Reason abstractly and quantitatively. Copyright © 2019 Discovery Education. All rights reserved. Discovery Education, Inc. 1 Middle School Unit 6 | Dividends: What Are They, and Do They Matter? 6.RP.A.3 Use ratio and rate reasoning to solve real-world and mathematical problems, e.g., by reasoning about tables of equivalent ratios, tape diagrams, double number line diagrams, or equations.