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作者：Davis, Carter
作者单位：University System of Ohio; Ohio State University
摘要：What is the demand elasticity of statistical arbitrageurs that invest according to the advice of modern cross-sectional asset pricing models? Thirteen models from the literature exhibit strikingly inelastic demand, in contrast to classical models that rely on statistical arbitrageurs to create elastic market demand for assets. This inelasticity arises from the difficulty of trading against price changes. A quantitative equilibrium model shows that aggregate demand remains inelastic even with t...
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作者：Koont, Naz; Ma, Yiming; Pastor, Lubos; Zeng, Yao
作者单位：Stanford University; National Bureau of Economic Research; Columbia University; Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research; National Bureau of Economic Research; University of Pennsylvania
摘要：Exchange-traded funds (ETFs) are typically viewed as passive index trackers. In contrast, we show that corporate bond ETFs actively manage their portfolios, trading off index tracking against liquidity transformation. In our model, ETFs optimally choose creation and redemption baskets that include cash and only a subset of index assets, especially if those assets are illiquid. Our evidence supports the model. We find that ETFs dynamically adjust their baskets to correct portfolio imbalances wh...
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作者：Dong, Xi; Kang, Namho; Peress, Joel
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Bentley University; INSEAD Business School
摘要：We document that persistent aggregate capital flows to hedge and mutual funds predict monthly factor returns with an out-of-sample R2 reaching 6.6%. Transient flows display no such power despite being more predictable. We show-both empirically and theoretically-that persistent flows' predictive power stems from active fund managers' capital constraints. As a result, managers invest persistent, but not transient, capital flows into factor trading strategies, leading to factor-return predictabil...
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作者：Li, Kai; Li, Yingying; Lyu, Changlei; Yu, Jialin
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Hong Kong University of Science & Technology; Shanghai University of Finance & Economics
摘要：We present a novel methodology for the out-of-sample forecast of the equity premium. Our predictive slope coefficient is a conservative constant that has a lower bias than the zero slope employed by the historical average, but has the same variance. We demonstrate that, theoretically and empirically, our method dominates the historical average in forecast performance. Our methodology establishes a simple yet powerful paradigm for exploiting the real-time equity premium predictability derived f...
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作者：Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
作者单位：Singapore Management University; Yale University; University of Auckland; Macquarie University; University of Macau
摘要：This paper explores implications of weak identification in common 'long memory' and recent 'rough' approaches to modeling volatility dynamics of financial assets. We unveil an asymptotic near-observational equivalence between a long memory model with weak autoregressive dynamics and a rough model with a near-unit autoregressive root. Standard methods struggle to distinguish them, and conventional asymptotics are invalid. We propose an identification-robust approach to construct confidence sets...
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作者：Moussawi, Rabih; Shen, Ke; Velthuis, Raisa
作者单位：Villanova University; University of Pennsylvania; Lehigh University
摘要：This paper argues that a lesser known yet economically significant tax-deferral feature of ETFs' security design is crucial to their success. By relying on the in-kind redemption exemption, authorized participants help ETFs avoid distributing capital gains and reduce their tax overhang, partly by deploying heartbeat trades. We estimate that the ETF tax efficiency has increased long-term investors' after-tax returns by 1.05% per year relative to mutual funds in recent years. Exploiting cross-se...
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作者：Capponi, Agostino; Jia, Ruizhe
作者单位：Columbia University; Stanford University
摘要：We show that the infrastructure of decentralized exchanges subjects liquidity providers (LPs) to a tragedy of the commons. Liquidity providers lack incentives to exit liquidity pools to prevent arbitrage losses, as these are collectively shared, while withdrawal costs are borne individually. Arbitrage rents primarily flow to validators as infrastructure fees, with the median arbitrageur transferring 96% of profits. Proposed solutions-speed technology, alternative sequencing rules, and flexible...
