-
作者：Lu, Zhongjin; Malliaris, Steven; Qin, Zhongling
摘要：We present and test a model to understand the puzzling fact that characteristics-sorted stock portfolios tend to earn opposite-signed overnight and intraday expected returns. Het-erogeneous arbitrageurs - fast arbitrageurs with informational advantages and slow ar-bitrageurs with low inventory costs - compete to determine the price of liquidity. High in-formation asymmetry around market open allows fast arbitrageurs to demand large price deviations for absorbing order imbalances, as cream-skim...
-
作者：Dickerson, Alexander; Mueller, Philippe; Robotti, Cesare
作者单位：University of Warwick
摘要：Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing in corporate bonds is exceedingly difficult to establish. Based on portfolio- and bond-level analyses, we demonstrate that previously proposed bond risk factors, with traded liquidity as the only marginal exception, do not have any incremental explanatory pow...
-
作者：Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea
作者单位：University of Geneva; University of Geneva; Boston University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Boston University
摘要：We propose a model-free methodology to estimate international stochastic discount fac-tors (SDFs) that jointly price cross-sections of international stocks, bonds, and currencies in markets with frictions. We theoretically establish a SDF decomposition into one global factor and a currency basket. We show that our global factor prices a large cross-section of international asset returns, not just in-but also out-of-sample, across different currency denominations. Moreover, the pricing ability ...
-
作者：Davila, Eduardo; Parlatore, Cecilia
作者单位：Yale University; New York University
摘要：This paper studies the relation between volatility and informativeness in financial markets. We identify two channels (noise-reduction and equilibrium-learning) that determine the volatility-informativeness relation. When informativeness is sufficiently high (low), volatil-ity and informativeness positively (negatively) comove in equilibrium. We identify condi-tions on primitives that guarantee that volatility and informativeness comove positively or negatively. We introduce the comovement sco...
-
作者：He, Zhiguo; Huang, Jing; Zhou, Jidong
作者单位：University of Chicago; National Bureau of Economic Research; Texas A&M University System; Texas A&M University College Station; Mays Business School; Yale University
摘要：Open banking facilitates data sharing consented to by customers who generate the data, with the regulatory goal of promoting competition between traditional banks and chal-lenger fintech entrants. We study lending market competition when sharing banks' cus-tomer transaction data enables better borrower screening for fintechs. Open banking pro-motes competition if it helps level the playing field for all lenders in screening borrowers; however, if it over-empowers fintechs, it can also hinder c...
-
作者：Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline
作者单位：University of Southern Denmark; University of Southern Denmark; Danish Finance Institute
摘要：We relate time-varying aggregate ambiguity about volatility (V-VSTOXX) to individual investor trading. We use the trading records of more than 10 0,0 0 0 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking, which does not reverse over the following days. Ambiguity averse investors are more prone to ambiguity shocks. These resu...
-
作者：Aiello, Darren J.
作者单位：Brigham Young University
摘要：Financially constrained mortgage servicers destroyed substantial MBS investor value during the financial crisis through their management of delinquent mortgages. Servicers advance to investors monthly payments missed by borrowers. In order to minimize this obligation to extend financing to distressed borrowers, constrained servicers aggressively pursued foreclosures and modifications at the expense of investors, borrowers, and future mortgage performance. When agency frictions between the serv...
-
作者：Belo, Frederico; Gala, Vito D.; Salomao, Juliana; Vitorino, Maria Ana
作者单位：INSEAD Business School; Pacific Investment Management Company, LLC; University of Minnesota System; University of Minnesota Twin Cities; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：What are the economic determinants of a firm's market value? We answer this question through the lens of a generalized neoclassical model of investment with quasi-fixed labor and three heterogeneous capital inputs. We estimate the structural model using firm-level data on US firms and find that, on average and depending on the industry, installed labor force accounts for 14-21% of firms' market value, physical capital accounts for 30-40%, knowledge capital accounts for 20-43%, and brand capita...
-
作者：Ranaldo, Angelo; de Magistris, Paolo Santucci
作者单位：University of St Gallen; Swiss Finance Institute (SFI); Luiss Guido Carli University; CREATES; Aarhus University
摘要：We study the liquidity of the global currency market by analyzing the price impact of trading volume. We analyze a decade of CLS intraday data representative of global foreign exchange (FX) trading by developing a refinement of the popular Amihud (2002) illiquidity measure that we call realized Amihud, which is the ratio between realized volatility and trading volume. Inversely related to market depth, price impact increases with trans-action costs, money market stress, uncertainty, and risk a...
-
作者：Duong, Huu Nhan; Goyal, Abhinav; Kallinterakis, Vasileios; Veeraraghavan, Madhu
作者单位：Monash University; University College Cork; University of Liverpool
摘要：We find a negative relation between democracy and initial public offering (IPO) underpricing for a sample of 23,050 IPOs across 45 countries. The effect of democracy on underpricing is weaker for IPOs audited by Big 4 auditing firms, backed by venture capital firms, and with better disclosure specificity of use of proceeds. Democracy exerts a larger influence on underpricing for firms with higher agency problems, in countries with weaker institutional quality or shareholder protection, and dur...
