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作者：Chernov, Mikhail; Mueller, Philippe
作者单位：University of London; London School Economics & Political Science
摘要：We use information in the term structure of survey-based forecasts of inflation to estimate a factor hidden in the nominal yield curve. We construct a model that accommodates forecasts over multiple horizons from multiple surveys and Treasury real and nominal yields by allowing for differences between risk-neutral, subjective, and objective probability measures. We establish that model-based inflation expectations are driven by inflation, output, and one latent factor. We find that this factor...
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作者：Aragon, George O.; Martin, J. Spencer
作者单位：Arizona State University; Arizona State University-Tempe; University of Melbourne
摘要：We study the common equity and equity option positions of hedge fund investment advisors over the 1999-2006 period. We find that hedge funds' stock positions predict future returns and that option positions predict both volatility and returns on the underlying stock. A quarterly tracking portfolio of stocks based on publicly observable hedge fund option holdings earns abnormal returns of 1.55% through the end of the quarter. Net of fees, hedge funds using options deliver higher benchmark-adjus...
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作者：Karolyi, G. Andrew; Lee, Kuan-Hui; van Dijk, Mathijs A.
作者单位：Cornell University; Seoul National University (SNU); Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity is greater in countries with and during times of high market volatility (especially, large market declines), greater presence of...
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作者：Benmelech, Efraim; Dlugosz, Jennifer; Ivashina, Victoria
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Harvard University; National Bureau of Economic Research; Harvard University
摘要：In this paper, we investigate whether securitization was associated with risky lending in the corporate loan market by examining the performance of individual loans held by collateralized loan obligations. We employ two different data sets that identify loan holdings for a large set of CLOs and find that adverse selection problems in corporate loan securitizations are less severe than commonly believed. Using a battery of performance tests, we find that loans securitized before 2005 performed ...
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作者：Ben-Rephael, Azi; Kandel, Shmuel; Wohl, Avi
作者单位：Tel Aviv University; University of Pennsylvania
摘要：We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard deviation of net exchanges is related to 1.95% of market excess return. Our main new finding is that 85% (all) of the contemporaneous relation is reversed within four (ten) months. The effect is stronger in...
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作者：Novy-Marx, Robert
作者单位：University of Rochester
摘要：Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate positive returns but are less profitable than those based on intermediate horizon past performance, especially among the largest, most liquid stocks. These facts are not particular to the momentum observed in the cross section of US equities. Similar results hold for mo...
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作者：Edelen, Roger M.; Kadlec, Gregory B.
作者单位：University of California System; University of California Davis; Virginia Polytechnic Institute & State University
摘要：Institutional trading arrangements often involve the portfolio manager delegating the task of trade execution to a separate division within the firm. We model the agency conflict that arises in this setting and show that optimal performance benchmarks often create an incentive to execute orders contrary to concurrent information flow. We hypothesize that aggregate contrarian trading resulting from widespread application of such benchmarks leads to delays in the assimilation of information in s...
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作者：Koeppl, Thorsten; Monnet, Cyril; Temzelides, Ted
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Queens University - Canada; Rice University
摘要：Clearinghouses support financial trades by keeping records of transactions and by providing liquidity through short-term credit that participants clear periodically. We study efficient clearing arrangements for exchanges, where traders must clear with a clearinghouse, and for over-the-counter (OTC) markets, where traders can clear bilaterally. When clearing is costly, it can be efficient to subsidize OTC clearing by charging a higher clearing price for transactions conducted on exchanges. The ...
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作者：Burlacu, Radu; Fontaine, Patrice; Jimenez-Garces, Sonia; Seasholes, Mark S.
作者单位：Hong Kong University of Science & Technology; Universite de Lorraine; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS)
摘要：This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to explain the cross section of returns in theoretical, numerical, and empirical analyses. Using Center for Research in Security Prices data, we show that a -1 sigma to +1 sigma change in our variable is ass...
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作者：Brickley, James A.; Linck, James S.; Smith, Clifford W.
作者单位：University of Rochester; University System of Georgia; University of Georgia
摘要：We examine a vertical integration decision within the commercial banking industry. During the last quarter of the 20th century, some community banks reduced their traditional reliance on correspondent banks for upstream products and services by joining bankers' banks, a form of business cooperative. Research on vertical integration focuses primarily on firm-specific investment, market power, and government regulation. However, this case is difficult to explain in terms of these standard vertic...
