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作者：Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis
作者单位：University of St Gallen; Bank of England
摘要：Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter (OTC). We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called valuation adjustments (XVA). A client pays a higher price to buy interest rate protection from a dealer (i.e., the client pays a higher fixed rate) if the contract is not cleared via a central coun...
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作者：Chen, Tao; Dong, Hui; Lin, Chen
作者单位：Nanyang Technological University; Shanghai University of Finance & Economics; University of Hong Kong
摘要：This study uses two distinct quasi-natural experiments to examine the effect of institutional shareholders on corporate social responsibility (CSR). We first find that an exogenous increase in institutional holding caused by Russell Index reconstitutions improves portfolio firms' CSR performance. We then find that firms have lower CSR ratings when shareholders are distracted due to exogenous shocks. Moreover, the effect of institutional ownership is stronger in CSR categories that are financia...
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作者：Todorov, Karamfil
作者单位：University of London; London School Economics & Political Science
摘要：This paper studies the impact of the European Central Bank's (ECB) Corporate Sector Purchase Programme (CSPP) announcement on prices, liquidity, and debt issuance in the European corporate bond market using a data set on bond transactions from Euroclear. I find that the quantitative easing (QE) programme increased prices and liquidity of bonds eligible to be purchased substantially. Bond yields dropped on average by 30 basis points (bps) (8%) after the CSPP announcement. Tri-party repo turnove...
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作者：Gantchev, Nickolay; Sevilir, Merih; Shivdasani, Anil
作者单位：University of Warwick; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of North Carolina; University of North Carolina Chapel Hill
摘要：Hedge fund activists target firms engaging in empire building and improve their future acquisition and divestiture strategy. Following intervention, activist targets make fewer acquisitions but obtain substantially higher returns by avoiding large and diversifying deals and refraining from acquisitions during merger waves. Activist targets also increase the pace of divestitures and achieve higher divestiture returns than matched non-targets. Activists curtail empire building through the remova...
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作者：Cho, Thummim
作者单位：University of London; London School Economics & Political Science
摘要：Using data on asset pricing anomalies, I test the idea that the act of arbitrage turns alphas into betas: Assets with high initial abnormal returns attract more arbitrage and covary endogenously more with systematic factors that arbitrage capital is exposed to. This channel explains the exposures of 40 anomaly portfolios to aggregate funding liquidity shocks and arbitrageur wealth portfolio shocks. My results highlight that financial intermediaries that act as asset market arbitrageurs not onl...
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作者：Boons, Martijn; Duarte, Fernando; de Roon, Frans; Szymanowska, Marta
作者单位：Universidade Nova de Lisboa; Federal Reserve System - USA; Federal Reserve Bank - New York; Tilburg University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a consumption-based asset pricing model, we argue that inflation risk is priced because inflation predicts real consumption growth. The historical changes in this predictability and in stocks' inflation betas...
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作者：Ham, Charles G.; Kaplan, Zachary R.; Leary, Mark T.
作者单位：Washington University (WUSTL); National Bureau of Economic Research
摘要：Yes. We show that dividend changes contain information about highly persistent changes in future economic income. Three methodological differences lead us to different conclusions from the extant literature: (i) we use an event window approach to cleanly delineate earnings after dividend changes from those before, (ii) we use alternative earnings measures to control for endogenous investment and asset write-downs surrounding dividend changes, and (iii) we control for the nonlinear relation bet...
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作者：Asness, Cliff; Frazzini, Andrea; Gormsen, Niels Joachim; Pedersen, Lasse Heje
作者单位：University of Chicago; Copenhagen Business School; Centre for Economic Policy Research - UK
摘要：We test whether the low-risk effect is driven by leverage constraints and, thus, risk should be measured using beta versus behavioral effects and, thus, risk should be measured by idiosyncratic risk. Beta depends on volatility and correlation, with only volatility related to idiosyncratic risk. We introduce a new betting against correlation (BAC) factor that is particularly suited to differentiate between leverage constraints and behavioral explanations. BAC produces strong performance in the ...
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作者：Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu
作者单位：Singapore Management University; Singapore Management University; Washington University (WUSTL)
摘要：Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and nonparametric bootstraps. From an investment perspective, t...
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作者：Kimball, Miles S.; Shapiro, Matthew D.; Shumway, Tyler; Zhang, Jing
作者单位：University of Colorado System; University of Colorado Boulder; University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
摘要：This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends on the distribution of wealth, and an intertemporal hedging effect. After a negative macroeconomic shock, relatively risk-tolerant investors sell risky assets, while more risk-averse investors buy them. ...
