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作者：Golez, Benjamin; Goyenko, Ruslan
作者单位：University of Notre Dame; McGill University
摘要：We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for high-beta stocks and stocks that are more difficult to sell short. In the cross-section of all stocks and the subset of the 500 largest companies, high disagreement robustly predicts low monthly and weekly...
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作者：Magnani, Jacopo; Rabanal, Jean Paul; Rud, Olga A.; Wang, Yabin
作者单位：emlyon business school; Centre National de la Recherche Scientifique (CNRS); Universitetet i Stavanger; Hong Kong Monetary Authority (HKMA)
摘要：We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (1) nonpooled with 2(T) terminal states and (2) pooled with T+1 unique terminal states. The results suggest that, within each environment, efficiency is lower in a static format and when the number of final states is larger. In the nonpooled dynamic task, w...
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作者：Hilscher, Jens; Raviv, Alon; Reis, Ricardo
作者单位：University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
摘要：This paper proposes a new method for measuring the impact of inflation on the real value of public debt. The distribution of debt debasement is based on two inputs: the distribution of privately held nominal debt by maturity, for which we provide new estimates, and the distribution of risk-adjusted inflation dynamics, for which we provide a novel copula estimator using options data. We find that inflation by itself is unlikely to lower the U.S. fiscal burden significantly because debt is conce...
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作者：Atmaz, Adem
作者单位：Purdue University System; Purdue University
摘要：This paper presents a tractable dynamic equilibrium model of stock return extrapolation in the presence of stochastic volatility. In the model, consistent with survey evidence, investors expect future returns to be higher (lower) but also less (more) volatile following positive (negative) stock returns. The biased volatility expectation introduces a new channel through which past returns and investor sentiment affect derivative prices. In particular, through this novel channel, the model recon...
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作者：Medhat, Mamdouh; Schmeling, Maik
作者单位：City St Georges, University of London; Goethe University Frankfurt; Centre for Economic Policy Research - UK
摘要：We document a striking pattern in U.S. and international stock returns: double sorting on the previous month's return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reco...
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作者：Jiang, Zhengyang
作者单位：Northwestern University
摘要：I develop a model of real exchange rate determination that attributes a central role to the intertemporal government budget condition, which equates the market value of government debt to the present value of government surpluses. To enforce this equilibrium condition in the presence of nominal rigidities, the real exchange rate has to adjust in response to shocks to government surpluses. The model predicts that fiscal shocks account for real exchange rate movements, and the factor structure i...
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作者：(Eunice) Zhan, Xintong; Han, Bing; Cao, Jie; Tong, Qing
作者单位：Fudan University; University of Toronto; Chinese University of Hong Kong
摘要：We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin, and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issuance, total external financing, distress risk, and dispersion of analysts' forecasts. Our option portfolio strategies have annual Sharpe ratio above two and remain profitable after transaction costs...
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作者：Chernov, Mikhail; Lochstoer, Lars A.; Lundeby, Stig R. H.
作者单位：National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Norwegian School of Economics (NHH)
摘要：We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and show that these models typically do a poor job of pricing longer-horizon returns, with pricing errors that are similar in magnitude to the risk premiums they were designed to explain. We trace the err...
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作者：Liu, Ernest; Roth, Benjamin N.
作者单位：Princeton University; Harvard University
摘要：Microcredit and other forms of small-scale finance have failed to catalyze entrepreneurship in developing countries. In these credit markets, borrowers and lenders often bargain over not only the interest rate but also implicit restrictions on types of investment. We build a dynamic model of informal lending and show this may lead to endogenous debt traps. Lenders constrain business growth for poor borrowers, yet richer borrowers may grow their businesses faster than they could have without cr...
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作者：Barroso, Pedro; Saxena, Konark
作者单位：Universidade Catolica Portuguesa; University of New South Wales Sydney
摘要：Portfolio optimization often struggles in realistic out-of-sample contexts. We deconstruct this stylized fact by comparing historical forecasts of portfolio optimization inputs with subsequent out-of-sample values. We confirm that historical forecasts are imprecise guides of subsequent values, but we discover the resultant forecast errors are not entirely random. They have predictable patterns and can be partially reduced using their own history. Learning from past forecast errors to calibrate...
