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作者：Tsai, Jerry; Wachter, Jessica A.
作者单位：University of Oxford; University of Pennsylvania; National Bureau of Economic Research
摘要：Why do value stocks have higher average returns than growth stocks, despite having lower risk? Why do these stocks exhibit positive abnormal performance, while growth stocks exhibit negative abnormal performance? This paper offers a rare-event-based explanation that can also account for the high equity premium and volatility of the aggregate market. The model explains other puzzling aspects of the data, such as joint patterns in time-series predictablity of aggregate market and value and growt...
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作者：Friewald, Nils; Hennessy, Christopher A.; Jankowitsch, Rainer
作者单位：Norwegian School of Economics (NHH); University of London; London Business School; Centre for Economic Policy Research - UK; Vienna University of Economics & Business
摘要：We develop and empirically test a theory of optimal security design under adverse selection accounting for strategic trading by uninformed investors who will liquidate a security in secondary markets only if their idiosyncratic carrying costs exceed the security's expected trading loss. Such investors demand primary market discounts equaling expected carrying costs borne plus trading losses incurred. Issuers minimize the total illiquidity discount by splitting cash-flow into tranched debt clai...
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作者：Anderson, Evan W.; Cheng, Ai-Ru (Meg)
作者单位：Northern Illinois University
摘要：We propose a Bayesian-averaging portfolio choice strategy with excellent out-of-sample performance. Every period a new model is born that assumes means and covariances are constant over time. Each period we estimate model parameters, update model probabilities, and compute robust portfolio choices by taking into account model uncertainty, parameter uncertainty, and non-stationarity. The portfolio choices achieve higher out-of-sample Sharpe ratios and certainty equivalents than rolling window s...
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作者：Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; Venter, Gyuri
作者单位：Bank for International Settlements (BIS); University of London; London School Economics & Political Science; Copenhagen Business School
摘要：We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory in natur...
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作者：Camargo, Braz; Kim, Kyungmin; Lester, Benjamin
作者单位：University of Iowa; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We study government interventions in markets suffering from adverse selection. Importantly, asymmetric information prevents both the realization of gains from trade and the production of information that is valuable to other market participants. We find a fundamental tension in maximizing welfare: while some intervention is required to restore trading, too much intervention depletes trade of its informational content. We characterize the optimal policy that balances these two considerations, a...
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作者：Schestag, Raphael; Schuster, Philipp; Uhrig-Homburg, Marliese
作者单位：Helmholtz Association; Karlsruhe Institute of Technology
摘要：In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market. We find that high-frequency measures based on intraday data are very strongly correlated, implying that previous results should be robust regarding the chosen measure. Most low-frequency proxies based on daily data generally also measure transactio...
