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作者：Greenwood, Robin; Shleifer, Andrei; You, Yang
作者单位：Harvard University; Harvard University
摘要：We evaluate Eugene F. Fama's claim that stock prices do not exhibit price bubbles. Based on US industry returns (1926-2014) and international sector returns (1985-2014), we present four findings (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash but not of a further price boom; (3) attributes of the price run-up, in...
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作者：Franzoni, Francesco; Giannetti, Mariassunta
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Stockholm School of Economics; European Corporate Governance Institute
摘要：This paper explores how affiliation to financial conglomerates affects asset managers' access to capital, risk taking, and performance. Focusing on a sample of hedge funds, we find that financial conglomerate-affiliated hedge funds (FCAHFs) have lower flow-performance sensitivity than other hedge funds and that this difference is particularly pronounced during financial turmoil. Arguably, thanks to more stable funding, FCAHFs allow their investors to redeem capital more freely and are able to ...
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作者：Wang, Baolian
作者单位：State University System of Florida; University of Florida
摘要：The cash conversion cycle (CCC) refers to the time span between the outlay of cash for purchases to the receipt of cash from sales. It is a widely used metric to gauge the effectiveness of a firm's management and intrinsic need for external financing. This paper shows that a zero-investment portfolio that buys the lowest CCC decile stocks and shorts the highest CCC decile stocks earns 5%-7% alphas per year. The CCC effect is prevalent across industries, remains even for large capitalization st...
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作者：Allen, Franklin; Qian, Yiming; Tu, Guoqian; Yu, Frank
作者单位：Imperial College London; University of Iowa; Southwestern University of Finance & Economics - China; China Europe International Business School
摘要：We perform transaction-level analyses of entrusted loans, one of the largest components of shadow banking in China. Entrusted loans involve firms with privileged access to cheap capital channeling funds to less privileged firms, and the increase when credit is tight. Nonaffiliated loans have much higher interest rates than both affiliated loans and official bank loans, and they largely flow into real estate. The pricing of entrusted loans, especially of nonaffiliated loans, incorporates fundam...
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作者：Huang, Darien; Kilic, Mete
作者单位：Cornell University; University of Southern California
摘要：The ratio of gold to platinum prices (GP) reveals persistent variation in risk and proxies for an important economic state variable. GP predicts future stock returns in the time series, explains stock return variation in the cross-section, and is significantly correlated with option-implied tail risk measures. Contrary to conventional wisdom, gold prices fall in recessions, albeit by less than platinum prices. A model featuring recursive preferences, time-varying tail risk, and preference shoc...
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作者：Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Toronto; University of Warwick
摘要：This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset pricing models estimated by maximum likelihood. Strikingly, when spurious factors (that is, factors that are uncorrelated with the returns on the test assets) are present, the model exhibits perfect fit, as measured by the squared correlation between the model's fitted expected returns and the average realized returns. Furthermore, factors that are spurious are selecte...
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作者：Bai, Jennie; Bali, Turan G.; Wen, Quan
作者单位：Georgetown University
摘要：We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds downside risk, credit risk, and liquidity risk and find that these novel bond factors have economically and statistically significant risk premiums that cannot be explained by long-established stock and bond market factors. We show that the new...
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作者：Christensen, Bent Jesper; van der Wel, Michel
作者单位：Aarhus University; Aarhus University; Aarhus University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tinbergen Institute; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premiums and arbitrage opportunities in models with both unobservable factors and factors identified as the innovations to observed macroeconomic variables. Factors can play double roles as both covariance-generating common shocks driving yields and determinants of market prices of risk in cross-sectional pricing. The evidence favors time-varying risk prices significantly related to the sec...
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作者：Michaelides, Alexander; Milidonis, Andreas; Nishiotis, George P.
作者单位：Imperial College London; University of Cyprus
摘要：Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we show local currency depreciations ahead of unscheduled, public sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower institutional quality countries and holds after we control for concurrent public information and for publicly available rumors about the forthcoming downgrades. Our results persist when abnormal currency return...
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作者：Barras, Laurent
作者单位：McGill University
摘要：Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely applicable, and allows for formal evaluation/comparison tests. Its benefits are confirmed in empirical tests of CAPM- and characteristic-based models. While these models are all misspecified, we uncover ...
