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作者：Menkveld, Albert J.; Zoican, Marius A.
作者单位：Vrije Universiteit Amsterdam; Universite PSL; Universite Paris-Dauphine
摘要：A faster exchange does not necessarily improve liquidity. On the one hand, speed enables a high-frequency market maker (HFM) to update quotes faster on incoming news. This reduces payoff risk and thus lowers the competitive bid-ask spread. On the other hand, HFM price quotes are more likely to meet speculative high-frequency bandits, and thus are less likely to meet liquidity traders. This raises the spread. The net effect of exchange speed depends on a security's news-to-liquidity-trader ratio.
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作者：Cole, Shawn; Gine, Xavier; Vickery, James
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作者：Stambaugh, Robert F.; Yuan, Yu
作者单位：University of Pennsylvania; National Bureau of Economic Research; Shanghai Jiao Tong University; University of Pennsylvania
摘要：A four-factor model with two mispricing factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four-and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing factors aggregate information across 11 prominent anomalies by averaging rankings within two clusters exhibiting the greatest return co-movement. Investor sentiment predicts the mispricing factors, especially t...
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作者：Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Warwick; University of New South Wales Sydney
摘要：Short-lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and faster responses to these opportunities should impair liquidity. We provide supporting evidence using data on triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and arbitrageurs' rel...
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作者：Duffie, Darrell; Zhu, Haoxiang
作者单位：Stanford University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to price pressure. Primary examples include workup in Treasury markets, matching sessions in corporate bond and CDS markets, and block-trading dark pools in equity markets. By freezing the execution price and giving up on market-clearing, size-discovery mechanisms overcome concerns by large investors over their price impacts. Price-discovery mechanisms clear the market, but cause inves...
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作者：Light, Nathaniel; Maslov, Denys; Rytchkov, Oleg
作者单位：American University of Sharjah; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We propose a new approach for estimating expected returns on individual stocks from a large number of firm characteristics. We treat expected returns as latent variables and apply the partial least squares (PLS) estimator that filters them out from the characteristics under an assumption that the characteristics are linked to expected returns through one or few common latent factors. The estimates of expected returns constructed by our approach from 26 firm characteristics generate a wide cros...
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作者：De Angelis, David; Grullon, Gustavo; Michenaud, Sebastien
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作者：Rosch, Dominik M.; Subrahmanyam, Avanidhar; van Dijk, Mathijs A.
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of California System; University of California Los Angeles; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We study the dynamics of high-frequency market efficiency measures. We provide evidence that these measures comove across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a proxy for algorithmic trading are significantly associated with systematic market efficiency. Thus, stock market efficiency is prone to systematic flu...
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作者：Bongaerts, Dion; de Jong, Frank; Driessen, Joost
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University
摘要：We use an asset pricing approach to compare the effects of the liquidity level and liquidity risk on expected U.S. corporate bond returns. Using signed transaction data, we estimate effective transaction costs for bond portfolios by a repeat-sales method. We find that the liquidity level and exposure to equity market liquidity risk affect expected bond returns. In contrast, exposure to corporate bond liquidity shocks carries an economically negligible risk premium. A simulation study shows tha...
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作者：Barillas, Francisco; Shanken, Jay
作者单位：Emory University; National Bureau of Economic Research
摘要：A common approach to comparing asset pricing models involves a competition in pricing test-asset returns. In contrast, we show that for models with traded factors, when the comparison is framed appropriately in terms of success in pricing both the test-asset and factor returns, the extent to which each model is able to price the factors in the other model is what matters for model comparison. Test assets are irrelevant based on several prominent criteria. For models with nontraded factors, tes...
