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作者：Christoffersen, Susan E. K.; Simutin, Mikhail
作者单位：University of Toronto; Copenhagen Business School
摘要：Prior studies have documented that pension plan sponsors often monitor a fund's performance relative to a benchmark. We use a first-difference approach to show that in an effort to beat benchmarks, fund managers controlling large pension assets tend to increase their exposure to high-beta stocks, while aiming to maintain tracking errors around the benchmark. The findings support theoretical conjectures that benchmarking can lead managers to tilt their portfolio toward high-beta stocks and away...
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作者：Franzoni, Francesco; Schmalz, Martin C.
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of Michigan System; University of Michigan
摘要：This paper establishes a new empirical fact: Mutual funds' flow-performance sensitivity is a hump-shaped function of aggregate risk-factor realizations. Explanations based on extant theories can explain only a fraction of the pattern. We thus develop a new parsimonious model. It assumes Bayesian investors who are uncertain about the degree to which fund returns are exposed to systematic risk. Fund performance is then less informative about manager skill when factor realizations are larger in a...
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作者：Khan, Saqib; Khokher, Zeigham; Simin, Timothy
作者单位：University of Regina; Tulane University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：State-of-the-art term structure models of commodity prices have serious difficulties extrapolating the prices of long-maturity futures contracts from short-dated contracts. This situation is problematic for valuing real commodity-linked assets. We estimate a nonlinear four-factor continuous time model of commodity price dynamics. The model nests many previous specifications. To estimate the model, we use crude oil prices and inventories. The inventory data and nonlinear price dynamics have a l...
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作者：Chen, Andrew Y.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A standard real business-cycle model with external habit and capital adjustment costs matches a long list of asset price and business-cycle moments: equity, firm value, and risk-free rate volatility; the equity premium; excess return predictability; consumption growth predictability; basic moments of consumption, output, and investment; among others. The model also generates endogenous consumption volatility risk. Precautionary savings motives make consumption sensitive to shocks in bad times,...
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作者：He, Jie (Jack); Huang, Jiekun
作者单位：University System of Georgia; University of Georgia; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We analyze the effects of institutional cross-ownership of same-industry firms on product market performance and behavior. Our results show that cross-held firms experience significantly higher market share growth than do non-cross-held firms. We establish causality by relying on a difference-in-differences approach based on the quasi-natural experiment of financial institution mergers. We also find evidence suggesting that institutional cross-ownership facilitates explicit forms of product ma...
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作者：Andonov, Aleksandar; Bauer, Rob M. M. J.; Cremers, K. J. Martijn
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Maastricht University; University of Notre Dame
摘要：The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada, and Europe, we find that U.S. public pension funds act on their regulatory incentives. U.S. public pension funds with a higher level of underfunding per participant, as well as funds with more politici...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research; Stanford University
摘要：We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of inflation swaps and options. We find that the market expects inflation to average about 2.5% over the next 30 years. Despite this, the market places substantial weight on deflation scenarios in which prices significantly decline over extended horizons. The market prices the economic tail risk of deflation similarly to other types of tail risks, such as corporate default or cata...
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作者：Delikouras, Stefanos
作者单位：University of Miami
摘要：I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross-sectional variation in size/ book-to-market portfolios and more than 80% of the variation in the joint sample of stocks, bonds, and commodity futures. I also show that the performance of the disappointment model is comparable to that of the Fama-French...
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作者：Song, Dongho
作者单位：Boston College
摘要：The paper estimates a model that allows for shifts in the aggressiveness of monetary policy and time variation in the distribution of macroeconomic shocks. These model features induce variations in the cyclical properties of inflation and the riskiness of bonds. The estimation identifies inflation as procyclical from the late 1990s, when the economy shifted toward aggressive monetary policy and experienced procyclical macroeconomics shocks. Since bonds hedge stock market risks when inflation i...
