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作者：Randl, Otto; Simion, Giorgia; Zechner, Josef
作者单位：Vienna University of Economics & Business
摘要：This paper derives a stochastic discount factor for currency-hedged government bonds of developed markets by projecting returns onto the unconditional mean-variance efficient (UMVE) portfolio. Priced risks of international bonds differ fundamentally from those of currencies. The UMVE portfolio achieves a Sharpe ratio over twice the average of individual markets, with the market price of risk peaking during crises and periods with high inflation dispersion. While bond returns exhibit a strong f...
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作者：Davis, Carter; Kargar, Mahyar; Li, Jiacui
作者单位：University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Urbana-Champaign; Utah System of Higher Education; University of Utah
摘要：Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower-by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: price pass-through, which captures how price movements forecast returns, and unspanned returns, reflecting a stock's lack of perfect substitutes. In a factor model framework, we show that un...
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作者：Abuzov, Rustam; Gornall, Will; Strebulaev, Ilya A.
作者单位：University of Virginia; University of British Columbia; Stanford University; National Bureau of Economic Research
摘要：We study how information disclosure concerns shape the choice of limited partners (LPs) by venture capitalists (VCs). Late-2002 court rulings prevented public LPs from providing confidentiality to investment managers. The best-performing VCs, but not other managers, responded by excluding public LPs from their new funds. Lost access reduced public LP returns by $1.6 billion relative to $14 billion of their VC commitments. Legislation reducing disclosure, contracts limiting information access, ...
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作者：von Meyerinck, Felix; Romer, Jonas; Schmid, Markus
作者单位：University of Zurich; University of St Gallen; University of St Gallen
摘要：This paper analyzes the reputational effects of forced CEO turnovers on outside directors. We find that directors interlocked to a forced CEO turnover experience large and persistent increases in withheld votes at subsequent re-elections relative to non-turnover-interlocked directors. Directors are not penalized for an involvement in a turnover per se but for forced CEO turnovers that are related to governance failures by the board. Our results challenge the widespread view that forcing out a ...
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作者：DeAngelo, Harry; Kahle, Kathleen; Skinner, Douglas J.
作者单位：University of Southern California; University of Arizona; University of Chicago
摘要：Jensen's (1986) analysis of the agency costs of free cash flow radically transformed our understanding of corporate payout policy. This paper details the main pre-Jensen advances in the payout literature, explains how his analysis profoundly altered the way financial economists view payout policy, and discusses prominent regularities that provide real-world texture for understanding the importance of his insights about payout policy. These regularities include: (i) the dominance (measured as a...
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作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; New York University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long ...
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作者：Jacobsen, Stacey; Venkataraman, Kumar
作者单位：Southern Methodist University
摘要：We study block trades in the corporate bond market, where dealers buy or sell blocks from initiating customers and offset their positions with receiving investors. Our findings indicate that while receivers benefit from trading cost savings, they primarily bear adverse selection costs and experience worse outcomes when informed trading is prevalent. Mandatory trade reporting improves receiver outcomes by revealing dealers' private information, but the benefits are reduced when reporting is del...
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作者：Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; Watugala, Sumudu W.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We exploit the 2020 Treasury market shock to analyze how external and internal constraints impact arbitrageurs. Using regulatory filings, we find that hedge funds reduced arbitrage activities and increased cash holdings, despite stable credit and low contemporaneous redemptions. Creditors' regulatory and liquidity constraints were not propagated to hedge funds through repo-Treasury arbitrageurs' predominant financing source. Fund-creditor borrowing data reveal more regulated dealers provided, ...
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作者：Lou, Dong; Pinter, Gabor; Uslu, Semih; Walker, Danny
作者单位：Hong Kong University of Science & Technology; University of London; London School Economics & Political Science; Bank for International Settlements (BIS); Johns Hopkins University; Bank of England
摘要：UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints playa role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news ...
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作者：Goyal, Amit; Reed, Adam, V; Smajlbegovic, Esad; Soebhag, Amar
作者单位：University of Lausanne; Swiss Finance Institute (SFI); University of North Carolina; University of North Carolina Chapel Hill; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Short sellers are widely known to be informed, which would typically suggest that they demand liquidity. We obtain comprehensive transaction-level data to decompose daily short volume into liquidity-demanding and liquidity-supplying components. Contrary to conventional wisdom, we show that the most informed short sellers are actually liquidity suppliers, not liquidity demanders. They are particularly informative about future returns on news days and trade on prominent cross-sectional return an...
