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作者：Goulding, Christian L.; Santosh, Shrihari; Zhang, Xingtan
作者单位：Research Affiliates LLC; University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：We study the interaction between noisy demand and skewed asset payoffs. In our model, price as a function of quantities is convex in a neighborhood around zero if and only if skewness is positive. The combination of convexity and noise produces the idiosyncratic skewness effect, a documented negative relationship between an asset's idiosyncratic skewness and its expected return. We further offer an explanation for the idiosyncratic volatility puzzle. Finally, our theory predicts that higher id...
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作者：Schwarz, Christopher; Sun, Zheng
作者单位：University of California System; University of California Irvine
摘要：We study the speed with which investors learn about managers' skills by examining how quickly investor and managers' beliefs converge. After showing our measure proxies for the change in the dispersion of beliefs, we find that hedge fund investors learn as fast as suggested by Bayes' rule. However, we find mutual fund investors learn more slowly than suggested by Bayes' rule. Mutual fund investors' slow learning is not due to the use of different performance measures, institutional frictions, ...
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作者：Daniel, Kent; Klos, Alexander; Rottke, Simon
作者单位：Columbia University; National Bureau of Economic Research; University of Kiel; University of Amsterdam
摘要：In this paper, we infer how the estimates of firm value by optimists and pessimists evolve in response to information shocks. Specifically, we examine returns and disagreement measures for portfolios of short-sale-constrained stocks that have experienced large gains or large losses. Our analysis suggests the presence of two groups, one of which overreacts to new information and remains biased over about 5 years, and a second group, which underreacts and whose expectations are unbiased after ab...
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作者：Agarwal, Vikas; Ren, Honglin; Shen, Ke; Zhao, Haibei
作者单位：University System of Georgia; Georgia State University; Renmin University of China; Lehigh University
摘要：Open-end mutual funds can use redemption in kind to satisfy investor redemptions by delivering securities instead of cash. We find that funds that reserve their rights to redeem in kind experience less redemption after poor performance. Evidence from actual in-kind transactions reveals several unique mechanisms for redemption in kind to mitigate fund runs, including the delivery of more illiquid stocks and stocks with greater tax overhang. Funds suffer less from the adverse impact of outflows ...
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作者：van Binsbergen, Jules H.; Han, Xiao; Lopez-Lira, Alejandro
作者单位：National Bureau of Economic Research; University of Pennsylvania; Center for Economic & Policy Research (CEPR); University of London; State University System of Florida; University of Florida
摘要：We introduce a real-time measure of conditional biases to firms' earnings forecasts. The measure is defined as the difference between analysts' expectations and a statistically optimal unbiased machine-learning benchmark. Analysts' conditional expectations are, on average, biased upward, a bias that increases in the forecast horizon. These biases are associated with negative cross-sectional return predictability, and the short legs of many anomalies contain firms with excessively optimistic ea...
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作者：Davis, Jesse; Segal, Gill
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：The data-generating process underlying productivity includes both trend and business cycle shocks, generating counterfactuals for prices under full information. In practice, agents' inability to immediately distinguish between the two shocks creates rational confusion: each shock inherits properties of its counterpart. This confusion magnifies the perceived share of permanent shocks and implies that, contrary to canonical frameworks, transitory shocks are the main driver of long-run risk throu...
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作者：Kuehn, Lars-Alexander; Schreindorfer, David; Schulz, Florian
作者单位：Carnegie Mellon University; Arizona State University; Arizona State University-Tempe; University of Washington; University of Washington Seattle
摘要：This paper shows that standard disaster risk models are inconsistent with movements in stock market volatility and credit spreads during disasters. We resolve this shortcoming by incorporating persistent macroeconomic crises into a structural credit risk model. The model successfully captures the joint dynamics of aggregate consumption, financial leverage, and asset market risks, both unconditionally and during crises. Leverage strongly amplifies fundamental shocks by continuing to rise while ...
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作者：Alvero, Adrien; Ando, Sakai; Xiao, Kairong
作者单位：Columbia University; International Monetary Fund
摘要：We show that distortion in the size distribution of banks around regulatory thresholds can be used to identify costs of bank regulation. We build a structural model in which banks can strategically bunch their assets below regulatory thresholds to avoid regulations. The resultant distortion in the size distribution of banks reveals the magnitude of regulatory costs. Using U.S. bank data, we estimate the regulatory costs imposed by the Dodd-Frank Act. Although the estimated regulatory costs are...
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作者：Sen, Ishita
作者单位：Harvard University
摘要：Variable annuities, the largest liability of U.S. life insurers, are investment products containing long-dated minimum return guarantees. I show that guarantees with similar economic risks are treated differently by regulation and these differences impact insurers' hedging behavior. When the regulatory regime recognizes certain risks, insurers start to hedge these risks in a substantial way. For some guarantees, this involves hedging both interest rate and equity market risks. However, for oth...
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作者：Griffin, John M.; Nickerson, Jordan
作者单位：University of Texas System; University of Texas Austin; University of Washington; University of Washington Seattle
摘要：Between March and August 2020, S & P and Moody's downgraded approximately 25$\%$ of collateral feeding into CLOs and only 2$\%$ of tranche values, with rating actions concentrating in junior tranches. Both S & P and Moody's modeling indicate that the impacts should have been considerably larger, especially for higher-rated tranches. Neither changes in correlation nor the accumulation of pre-COVID-19 protective cushions can explain the downgrade asymmetry on upper tranches. Instead, CLO manager...
