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作者：Evans, Richard B.; Sun, Yang
作者单位：University of Virginia; Brandeis University
摘要：We examine the role of factor models and simple performance heuristics in investor decision-making using Morningstar's 2002 rating methodology change. Before the change, flows strongly correlated with CAPM alphas. After, when funds are ranked by size and book-to-market groups, flows become more sensitive to 3-factor alphas (FF3). Flows to a matched institutional sample (same managers/strategies) follow FF3 before and after the change but are unrelated to the CAPM. Placebo tests with sector fun...
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作者：Jones, Christopher S.; Mo, Haitao
作者单位：University of Southern California; Louisiana State University System; Louisiana State University
摘要：We analyze the out-of-sample performance of variables shown to forecast future mutual fund alphas. The degree of predictability, as measured by alpha spreads from quintile sorts or cross-sectional regression slopes, falls by at least half post-sample. These declines appear to be primarily the result of changes in the level of arbitrage activity in the market, with mutual fund competition appearing to play a secondary role. We find no evidence that the declines are the result of data snooping o...
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作者：Li, Xindan; Subrahmanyam, Avanidhar; Yang, Xuewei
作者单位：Nanjing University; Nanjing University; University of California System; University of California Los Angeles
摘要：We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: the Chinese warrants bubble. Persistently successful investors trade very actively and exhibit characteristics of de facto market makers. Unskilled investors unprofitably trend-chase and increase holdings in out-of-the-money warrants near expiration, whereas sophisticated investors do the reverse. We find that regulators did not properly forecast trading frenzies, as the prespecified price ...
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作者：Cookson, Gordon; Jenkinson, Tim; Jones, Howard; Martinez, Jose Vicente
作者单位：University of Oxford; University of Connecticut
摘要：Individuals increasingly buy mutual funds via online platforms, whose best-buy recommendations heavily influence flows. As intermediaries of mutual funds, platforms provide none of the unobservable interaction or intangible benefits of brokers, and so allow clean tests of the determinants, influence, and value of their fund recommendations. Using unique U.K. data, we find that platforms favor own-brand funds and those paying them a higher commission share. Investors discount own-brand recommen...
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作者：Donangelo, Andres
作者单位：University of Texas System; University of Texas Austin
摘要：This paper quantifies the relative importance of labor-induced operating leverage at explaining the value premium. I extend a traditional variance decomposition methodology using labor shares to disentangle labor leverage from the value premium and from the value spread and from the variation in profitability levels and growth. My extended decomposition shows that labor leverage explains approximately 50% of the value premium, whereas profitability and growth-based mechanisms explain the other...
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作者：Luo, Jiang; Subrahmanyam, Avanidhar; Titman, Sheridan
作者单位：Nanyang Technological University; University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin
摘要：We develop a model in which overconfident investors overestimate their own signal quality but are skeptical of others' Investors who are initially uninformed believe that early-informed investors have learned little, leading the former investors to provide excess liquidity, which, in turn, causes underreaction and short-run momentum. Skeptical investors can also react to stale information, causing momentum, followed by reversals. Hence, skepticism generates both momentum and reversals; the lat...
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作者：Patel, Saurin; Sarkissian, Sergei
作者单位：Western University (University of Western Ontario); McGill University; University of Edinburgh
摘要：Using U.S. equity mutual fund data, we show that portfolio pumping-an illegal trading activity that artificially inflates year- and quarter-end portfolio returns-is more pronounced among single-managed funds compared with team-managed ones. The return inflation by team-managed funds is 45% lower than by single-managed funds at year-ends. Also, portfolio pumping decreases as team size increases. These results are driven by peer effects among teams and, sometimes, amplified by less convex flow-p...
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作者：Dessaint, Olivier; Olivier, Jacques; Otto, Clemens A.; Thesmar, David
作者单位：University of Toronto; Hautes Etudes Commerciales (HEC) Paris; Singapore Management University; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：There is a discrepancy between CAPM-implied and realized returns. Using the CAPM in capital budgeting-as recommended in textbooks-should thus have real effects. For instance, low beta projects should be valued more by CAPM users than by the market. We test this hypothesis using M&A data and show that bids for low-beta private targets entail lower bidder returns. We provide further support by testing several ancillary predictions. Our analyses suggest that using the CAPM when valuing targets le...
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作者：Ait-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu
作者单位：Princeton University; National Bureau of Economic Research; Peking University; Renmin University of China
摘要：This paper proposes implied stochastic volatility models designed to fit option-implied volatility data and implements a new estimation method for such models. The method is based on explicitly linking observed shape characteristics of the implied volatility surface to the coefficient functions that define the stochastic volatility model. The method can be applied to estimate a fully flexible nonparametric model, or to estimate by the generalized method of moments any arbitrary parametric stoc...
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作者：Pearson, Neil D.; Yang, Zhishu; Zhang, Qi
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Tsinghua University; Durham University
摘要：We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to th...
