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作者：Van Binsbergen, Jules H.; Brandt, Michael W.; Koijen, Ralph S. J.
作者单位：Stanford University; Duke University; Tilburg University; National Bureau of Economic Research
摘要：We study an institutional investment problem in which a centralized decision maker, the Chief Investment Officer (CIO), for example, employs multiple asset managers to implement investment strategies in separate asset classes. The CIO allocates capital to the managers who, in turn, allocate these funds to the assets in their asset class. This two-step investment process causes several misalignments of objectives between the CIO and his managers and can lead to large utility costs for the CIO. ...
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作者：Epstein, Larry G.; Schneider, Martin
作者单位：Boston University; New York University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent...
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作者：Foucault, Thierry; Menkveld, Albert J.
作者单位：Hautes Etudes Commerciales (HEC) Paris; Vrije Universiteit Amsterdam
摘要：We study the rivalry between Euronext and the London Stock Exchange (LSE) in the Dutch stock market to test hypotheses about the effect of market fragmentation. As predicted by our theory, the consolidated limit order book is deeper after entry of the LSE. Moreover, cross-sectionally, we find that a higher trade-through rate in the entrant market coincides with less liquidity supply in this market. These findings imply that (i) fragmentation of order flow can enhance liquidity supply and (ii) ...
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作者：Watanabe, Masahiro
作者单位：Rice University
摘要：This paper studies an overlapping generations model with multiple securities and heterogeneously informed agents. The model produces multiple equilibria, including highly volatile equilibria that can exhibit strong or weak correlations between asset returns-even when asset supplies and future dividends are uncorrelated across assets. Less informed agents rationally behave like trend-followers, while better informed agents follow contrarian strategies. Trading volume has a hump-shaped relation ...
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作者：Adrian, Tobias; Rosenberg, Joshua
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run compo...
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作者：Fung, William; Hsieh, David A.; Naik, Narayan Y.; Ramadorai, Tarun
作者单位：University of London; London Business School; Duke University; University of Oxford
摘要：We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently delivers alpha. The alpha-producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts...
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作者：Longstaff, Francis A.; Rajan, Arvind
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We use the information in collateralized debt obligations (CDO) prices to study market expectations about how corporate defaults cluster. A three-factor portfolio credit model explains virtually all of the time-series and cross-sectional variation in an extensive data set of CDX index tranche prices. Tranches are priced as if losses of 0.4%, 6%, and 35% of the portfolio occur with expected frequencies of 1.2, 41.5, and 763 years, respectively. On average, 65% of the CDX spread is due to firm-s...
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作者：Chan, Kalok; Menkveld, Albert J.; Yang, Zhishu
作者单位：Hong Kong University of Science & Technology; Vrije Universiteit Amsterdam; National Tsing Hua University
摘要：We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share discounts, even after controlling for other factors. On a univariate basis, the price impact measure and the adverse selection component of the bid-ask spread in the A- and B-share markets explains 44% and ...
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作者：Schultz, Paul
作者单位：University of Notre Dame
摘要：Over March and April 2000, Internet stocks lost 56%, or $700 billion. This sudden collapse has been attributed to an increasing supply of shares from lockup expirations and equity offerings. I show that Internet stocks collapsed in this period regardless of whether their lockups expired. Furthermore, daily Internet stock portfolio returns were almost unaffected by the number or dollar amount of lockup expirations that day, or by the amount of stock offered in IPOs or SEOs. Most of the Internet...
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作者：Dyck, Alexander; Volchkova, Natalya; Zingales, Luigi
作者单位：University of Toronto; University of Chicago; National Bureau of Economic Research
摘要：We study the effect of media coverage on corporate governance by focusing on Russia in the period 1999 to 2002. We find that an investment fund's lobbying increases coverage of corporate governance violations in the Anglo-American press. We also find that coverage in the Anglo-American press increases the probability that a corporate governance violation is reversed. This effect is present even when we instrument coverage with an exogenous determinant, the fund's portfolio composition at the b...
