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作者：Bauer, Michael D.; Hamilton, James D.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California San Diego
摘要：A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a novel bootstrap procedure specifically designed to test the spanning hypothesis. We revisit the analysis in six published studies and find that the evidence against the spanning hypothesis is much weak...
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作者：Chaudhuri, Ranadeb; Ivkovic, Zoran; Trzcinka, Charles
作者单位：Oakland University; Michigan State University; Michigan State University's Broad College of Business; Indiana University System; Indiana University Bloomington
摘要：We study cross-subsidization among U.S. equity products managed by institutional asset management firms. We find returns-based evidence consistent with both cross-subsidization receipt by strong recent performers that are relatively small in their firms and provision by products that are relatively large in their firms. Tax-exempt investors and taxable investors do not have a clear ranking by expertise, but tax-exempt investors' agency issues are more complex. Accordingly, taxable clients have...
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作者：Bakshi, Gurdip; Chabi-Yo, Fousseni; Gao, Xiaohui
作者单位：University System of Maryland; University of Maryland College Park; University of Massachusetts System; University of Massachusetts Amherst
摘要：How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the physical and risk-neutral return distributions. Our empirical results undermine the implications of the recovery theorem. First, we reject an implicit assumption of the recovery theorem that the martingale component of the stochastic discount factor is identical to unity. Second, we consider the restrictio...
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作者：Giannetti, Mariassunta; Kahraman, Bige
作者单位：Stockholm School of Economics; Center for Economic & Policy Research (CEPR); University of Oxford
摘要：We provide evidence that open-end organizational structures undermine incentives for asset managers to attack long-term mispricing. We compare open-end funds with closed-end funds. Closed-end funds purchase more underpriced stocks than do open-end funds, especially if the stocks involve high arbitrage risk. We then show that hedge funds with high share restrictions having a lower degree of open-endedness also trade against long-term mispricing to a larger extent than do other hedge funds. Our ...
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作者：Linn, Matthew; Shive, Sophie; Shumway, Tyler
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Notre Dame; University of Michigan System; University of Michigan
摘要：A large literature finds evidence that pricing kernels nonparametrically estimated from option prices and historical returns are not monotonically decreasing in market index returns. We argue that existing estimation methods are inconsistent and propose a new nonparametric estimator of the pricing kernel that reflects the information available to investors who set asset prices. In simulations, the estimator outperforms existing techniques. Our empirical estimates using S&P 500 index option dat...
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作者：Avramov, Doron; Cederburg, Scott; Lucivjanska, Katarina
作者单位：Hebrew University of Jerusalem; Chinese University of Hong Kong; University of Arizona; University of Pavol Jozef Safarik Kosice
摘要：We study whether stocks are riskier or safer in the long run from the perspective of Bayesian investors who employ the long-run risk, habit formation, or prospect theory models to form prior beliefs about return dynamics. Economic theory delivers important guidance for long-run investment opportunities. Specifically, incorporating prior information from the habit formation or prospect theory models reinforces beliefs in mean reversion and inferences that stocks are safer over longer horizons. ...
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作者：Engle, Robert F.; Siriwardane, Emil N.
作者单位：New York University; Harvard University
摘要：In the aftermath of the financial crisis, institutions have been asked to reduce leverage in order to reduce risk. To address the effectiveness of this measure, we build a model of equity volatility that accounts for leverage. Our approach blends Merton's insights on capital structure with traditional time-series models of volatility. We estimate that precautionary capital needs for the entire financial sector reached $2 trillion during the crisis. We also investigate the long-standing observa...
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作者：Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris
作者单位：University of Toronto; Copenhagen Business School; Universite de Montreal; HEC Montreal; University of Houston System; University of Houston
摘要：Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P 500 index option volatility, skew, and term structure, respectively. We develop an equity option valuation model that captures this factor structure. The model predicts that firms with higher market betas have higher ...
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作者：Ibert, Markus; Kaniel, Ron; Van Nieuwerburgh, Stijn; Vestman, Roine
作者单位：Stockholm School of Economics; Swedish House of Finance; University of Rochester; Reichman University; Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research; Stockholm University
摘要：Compensation of mutual fund managers is paramount to understanding agency frictions in asset delegation. We collect a unique registry-based dataset on the compensation of Swedish mutual fund managers. We find a concave relationship between pay and revenue, in contrast to how investors compensate the fund company (firm). We also find a surprisingly weak sensitivity of pay to performance, even after accounting for the indirect effects of performance on revenue. Firm-level fixed effects, revenues...
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作者：Ghysels, Eric; Horan, Casidhe; Moench, Emanuel
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Center for Economic & Policy Research (CEPR); University of Michigan System; University of Michigan; Deutsche Bundesbank
摘要：A previous literature has documented that bond returns are predicted by macroeconomic information not contained in yields contemporaneously. That literature has mostly relied on final revised, rather than real time macroeconomic data. We show that the use of real time data substantially reduces the predictive power of macro variables for future bond returns as well as the implied countercyclicality of term premiums. We discuss potential interpretations of our results.
