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作者：Duarte, Jefferson
作者单位：University of Washington; University of Washington Seattle
摘要：This article investigates the effects of mortgage-backed security (MBS) hedging activity on interest rate volatility and proposes a model that takes these effects into account. An empirical examination suggests that the inclusion of information about MBSs considerably improves model performance in pricing interest rate options and in forecasting future interest rate volatility. The empirical results are consistent with the hypothesis that MBS hedging affects the interest rate volatility implie...
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作者：Narayanan, M. P.; Seyhun, H. Nejat
作者单位：University of Michigan System; University of Michigan
摘要：We provide evidence of two variants of a dating game that entails picking a grant date ex post, that is, after the boards compensation decision is made: back-dating (picking a date before the board decision date), and forward-dating (waiting after the board decision date to observe the stock price behavior). Consistent with back-dating, we find stock return behavior around the grant date to be positively related to reporting lag. In the promptly reported sample, we find stock return behavior a...
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作者：Welch, Ivo; Goyal, Amit
作者单位：Emory University; National Bureau of Economic Research; Brown University
摘要：Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time...
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作者：Lettau, Martin; Van Nieuwerburgh, Stijn
作者单位：New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Columbia University
摘要：Evidence of stock-return predictability by financial ratios is still controversial, as documented by inconsistent results for in-sample and out-of-sample regressions and by substantial parameter instability. This article shows that these seemingly incompatible results can be reconciled if the assumption of a fixed steady state mean of the economy is relaxed. We find strong empirical evidence in support of shifts in the steady state and propose simple methods to adjust financial ratios for such...
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作者：Guo, Hui; Savickas, Robert
作者单位：University System of Ohio; University of Cincinnati; George Washington University
摘要：We argue that changes in average idiosyncratic volatility provide a proxy for changes in the investment opportunity set and that this proxy is closely related to the book-to-market factor. We test this idea in two ways using G7 countries' data. First, we show that idiosyncratic volatility has statistically significant predictive power for aggregate stock market returns over time. Second, we show that idiosyncratic volatility performs just as well as the book-to-market factor in explaining the ...
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作者：Brunnermeier, Markus K.; Julliard, Christian
作者单位：Princeton University; University of London; London School Economics & Political Science
摘要：A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or buy a house by simply comparing monthly rent and mortgage payments do not take into account the fact that inflation lowers future real mortgage costs. We decompose the price-rent ratio into a rational component-meant to capture the proxy effect and risk premia-and an implied mispricing. We find that inflation and nominal interest rates explain a...
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作者：Liu, Weimin; Strong, Norman
作者单位：University of Nottingham; University of Manchester
摘要：A growing number of studies in finance decompose multiperiod portfolio returns into a series of single-period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum, size, and value-growth. We provide a formal analysis of the decomposition method. Crucially, we argue and present empirical evidence that some methods researchers use involve portfolios that nobody would seriously consider ex ante, ...
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作者：Boyle, Phelim; Feng, Shui; Tian, Weidong; Wang, Tan
作者单位：University of Waterloo; Wilfrid Laurier University; McMaster University; University of British Columbia
摘要：When the market is incomplete, a new non-redundant derivative security cannot be priced by no-arbitrage arguments alone. Moreover, there will be a multiplicity of stochastic discount factors and each of them may give a different price for the new derivative security. This paper develops an approach to the selection of a stochastic discount factor for pricing a new derivative security. The approach is based on the idea that the price of a derivative security should not vary too much when the pa...
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作者：Liu, Laura Xiaolei; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; Hong Kong University of Science & Technology; National Bureau of Economic Research
摘要：Recent winners have temporarily higher loadings than recent losers on the growth rate of industrial production. The loading spread derives mostly from the positive loadings of winners. The growth rate of industrial production is a priced risk factor in standard asset pricing tests. In many specifications, this macroeconomic risk factor explains more than half of momentum profits. We conclude that risk plays an important role in driving momentum profits.
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作者：Kacperczyk, Marcin; Sialm, Clemens; Zheng, Lu
作者单位：University of Texas System; University of Texas Austin; University of British Columbia; National Bureau of Economic Research; University of California System; University of California Irvine
摘要：Despite extensive disclosure requirements, mutual fund investors do not observe all actions of fund managers. We estimate the impact of unobserved actions on fund returns using the return gap-the difference between the reported fund return and the return on a portfolio that invests in the previously disclosed fund holdings. We document that unobserved actions of some funds persistently create value, while such actions of other funds destroy value. Our main result shows that the return gap pred...
