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作者：Bassi, Anna; Colacito, Riccardo; Fulghieri, Paolo
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Although weather has been shown to affect financial markets and financial decision making, a still open question is the channel through which such influence is exerted. By employing a multiple price list method, this paper provides direct experimental evidence that sunshine and good weather promote risk-taking behavior. This effect is present whether relying on objective measures of meteorological conditions or subjective weather assessments. Finally, employing a psychological test, we find ev...
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作者：Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta
作者单位：Stockholm School of Economics; Indiana University System; Indiana University Bloomington
摘要：This paper shows that during episodes of market turmoil, 13F institutional investors with short trading horizons sell their stockholdings to a larger extent than 13F institutional investors with longer trading horizons. This creates price pressure for stocks held mostly by short-horizon investors, which, as a consequence, experience larger price drops, and subsequent reversals, than stocks held mostly by long-horizon investors. These findings, obtained after controlling for the withdrawals exp...
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作者：Epstein, Larry G.; Ji, Shaolin
作者单位：Boston University; Shandong University
摘要：We formulate a model of utility for a continuous-time framework that captures aversion to ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Because ambiguous volatility implies market incompleteness, hedging arguments determine prices only up to intervals. In order to obtain sharper predictions, we apply the model of utility to a representativ...
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作者：Carrieri, Francesca; Chaieb, Ines; Errunza, Vihang
作者单位：McGill University; University of Geneva
摘要：Market liberalization may not result in full market integration if implicit barriers are important. We test this proposition for investable and non-investable segments of twenty-two emerging markets (EMs). We also measure the degree of integration for six major developed markets (DMs) as a meaningful benchmark. We find that while the DMs are close to fully integrated, both EM segments are not effectively integrated with the global economy. We quantify the importance of implicit barriers and sh...
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作者：Jostova, Gergana; Nikolova, Stanislava; Philipov, Alexander; Stahel, Christof W.
作者单位：George Washington University; University of Nebraska System; University of Nebraska Lincoln; George Mason University
摘要：This paper documents significant momentum in a comprehensive sample of 81,491 U.S. corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by noninvestment grade (NIG) bonds. Momentum profits have increased over time, along with the growth of this segment. From 1991 to 2011, they average 59 basis points (bps) per month across all bonds and 192 bps in NIG bonds. NIG bonds issued by private firms earn even higher profits (282 bps). Momentum profits do no...
