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作者：Cotter, John; Gabriel, Stuart; Roll, Richard
作者单位：University College Dublin; University of California System; University of California Los Angeles; California Institute of Technology
摘要：This study evaluates the effectiveness of geographic diversification in reducing housing investment risk. To characterize diversification potential, we estimate spatial correlation and integration among 401 U.S. metropolitan housing markets. The 2000s boom brought a marked uptrend in housing market integration associated with eased residential lending standards and rapid growth in private mortgage securitization. As boom turned to bust, other macroeconomic factors, including employment and inc...
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作者：Elkamhi, Redouane; Stefanova, Denitsa
作者单位：University of Toronto
摘要：The paper investigates the portfolio allocation effects of increased asset co-movements during market downturns. We develop a model for the stock price process that allows for increased and asymmetric dependence between extreme return realizations. We isolate the portfolio hedging demands that arise due to extreme co-movements and find a substantial shift of the portfolio holdings toward the risk-free asset. We demonstrate that accounting for dependence between extreme events in portfolio deci...
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作者：Fulop, Andras; Li, Junye; Yu, Jun
作者单位：ESSEC Business School; ESSEC Business School; Singapore Management University; Singapore Management University
摘要：The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has imp...
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作者：Kuo, Wei-Yu; Lin, Tse-Chun; Zhao, Jing
作者单位：National Chengchi University; National Chengchi University; University of Hong Kong
摘要：We hypothesize that cognitive limitation may be manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts. Using detailed limit order data in the Taiwan Futures Exchange, we find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater losses in their round-numbered and non-round-numbered limit orders, market orders, and round-trip ...
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作者：Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：Has the academic review process become excessive? In a setting where editors cannot distinguish significant flaws from mere blemishes, reviewers recommend the repair of blemishes in order to acquire reputations for high skill. In equilibrium, editors accede to reviewer insistence upon such cosmetic surgery. If blemishes are sometimes unremovable, demands for repair sometimes block good papers from publication. This implies a social value to active editing. Reviewer signal-jamming may especiall...
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作者：Huang, Dashan; Jiang, Fuwei; Tu, Jun; Zhou, Guofu
作者单位：Singapore Management University; Central University of Finance & Economics; Washington University (WUSTL)
摘要：We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices have both in and out of sample, and the predictability becomes both statistically and economically significant. In addition, it outperforms well-recognized macroeconomic variables and can also predict cross-sectional stock returns sorted b...
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作者：Tetlock, Paul C.
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作者：Hou, Kewei; Xue, Chen; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; University System of Ohio; University of Cincinnati; National Bureau of Economic Research
摘要：An empirical -factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. A comprehensive examination of nearly 80 anomalies reveals that about one-half of the anomalies are insignificant in the broad cross section. More importantly, with a few exceptions, the -factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3-factor...
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作者：Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK; New York University
摘要：We study the role of information in asset-pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In general, the short- and long-run components are unidentified. We propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from historical data....
