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作者：Cheng, Ing-Haw
作者单位：Dartmouth College
摘要：Ex ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when ex ante measures of risk rise. This is not an artifact of mismeasurement: (i) ex ante premiums reliably predict ex post returns to VIX futures with a coefficient near one, and (ii) falling ex ante premiums predict increasing ex post market and investment risk, creating profitable trading opportunities. Falling hedging demand helps explain this behavior, as premiums and trader e...
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作者：Busse, Jeffrey A.; Tong, Lin; Tong, Qing; Zhang, Zhe
作者单位：Emory University; Fordham University; Renmin University of China; Singapore Management University
摘要：We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that regularly trade outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who trade most regularly, larger funds perform relatively worse, because they incur higher transaction costs associated with their larger trades. Institutions that regularly trade generate superior perform...
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作者：Barardehi, Yashar H.; Bernhardt, Dan; Davies, Ryan J.
作者单位：Chapman University System; Chapman University; University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Warwick; Boston College
摘要：Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies for trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures better capture institutional trading costs and better explain the cross-section of returns than do standard measures, especially in recent years. Despite improvements in measures of market quality, expected trading costs have explanatory power for the ...
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作者：Chen, Hui; Joslin, Scott; Ni, Sophie Xiaoyan
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Hong Kong Baptist University; Lingnan University
摘要：We propose a new measure of financial intermediary constraints based on how intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money index put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option tr...
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作者：Gropp, Reint; Mosk, Thomas; Ongena, Steven; Wix, Carlo
作者单位：Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Otto von Guericke University; Goethe University Frankfurt; Swiss Finance Institute (SFI); University of Zurich; KU Leuven; Center for Economic & Policy Research (CEPR)
摘要：We study the impact of higher capital requirements on banks' balance sheets and their transmission to the real economy. The 2011 EBA capital exercise is an almost ideal quasi-natural experiment to identify this impact with a difference-in-differences matching estimator. We find that treated banks increase their capital ratios by reducing their risk-weighted assets, not by raising their levels of equity, consistent with debt overhang. Banks reduce lending to corporate and retail customers, resu...
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作者：Balduzzi, Pierluigi; Reuter, Jonathan
作者单位：Boston College; National Bureau of Economic Research
摘要：The use of target date funds (TDFs) as default options in 401(k) plans increased sharply following the Pension Protection Act of 2006. We document large differences in the realized returns and ex ante risk profiles of TDFs with similar target retirement dates. Analyzing fund-level data, we find evidence that this heterogeneity reflects strategic risk-taking by families with low market share, especially those entering the TDF market after 2006. Analyzing plan-level data, we find little evidence...
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作者：Schmalz, Martin C.; Zhuk, Sergey
作者单位：University of Michigan System; University of Michigan; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of Vienna
摘要：When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react to news more in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. In good times, less desirable assets with low average cash flows and high market risk perform similar to more desirable assets with high average cash flows and low market risk, rendering them difficult to distinguish. However, their performance diverges ...
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作者：Dick-Nielsen, Jens; Rossi, Marco
作者单位：Copenhagen Business School; Texas A&M University System; Texas A&M University College Station
摘要：Liquidity provision for corporate bonds has become significantly more expensive after the 2008 crisis. Using index exclusions as a natural experiment during which uninformed index trackers request immediacy, we find that the cost of immediacy has more than doubled. In addition, the supply of immediacy has become more elastic with respect to its price. Consistent with a stringent regulatory environment incentivizing smaller dealer inventories, we also find that dealers revert deviations from th...
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作者：Bessembinder, Hendrik; Cooper, Michael J.; Zhang, Feng
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah
摘要：We propose that fitted values from market-wide regressions of firm returns on lagged firm characteristics provide useful benchmarks for assessing whether average returns to certain stocks are abnormal. To illustrate, we study eight documented events with abnormal returns, including credit rating and analyst recommendation downgrades, initial and seasoned public equity offerings, mergers and acquisitions, dividend initiations, share repurchases, and stock splits. We show that the apparently abn...
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作者：Badoer, Dominique C.; Demiroglu, Cem
作者单位：University of Missouri System; University of Missouri Columbia; Koc University
摘要：Mandated public dissemination of over-the-counter transactions in corporate debt securities via the TRACE system dramatically reduces the average short-term market reaction to rating downgrades by both issuer-paid and investor-paid rating agencies. Ratings become relatively more accurate predictors of default and more sensitive to innovations in credit spreads after the introduction of dissemination. However, in transparent markets, they provide no significant information about future defaults...
