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作者：Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua
作者单位：University of Toronto; Iowa State University; Hong Kong University of Science & Technology
摘要：Using available return data, many multi-factor asset pricing models present impressive in-sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a performance, however, contradicts the conventional wisdom in finance. Investors cannot realistically attain the in-sample Sharpe ratios. They obtain the out-of-sample Sharpe ratios, which are significantly lower. Estimation risk is one reason for this performance deterioration. We theoretically study the effect of estimati...
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作者：Reher, Michael; Sokolinski, Stanislav
作者单位：University of California System; University of California San Diego; Michigan State University; Michigan State University's Broad College of Business
摘要：We investigate how access to robo-advisors impacts the financial investment and welfare of less-wealthy investors. We leverage a quasi-experiment where a major U.S. robo-advisor significantly expands access by reducing its account minimum, increasing participation by middle-class investors but not the poor. A benchmark model calibrated to portfolio-level data rationalizes this increase: middle-class investors want sophisticated investing but cannot achieve it themselves. Their welfare rises mo...
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作者：Jiang, Zhengyang; Peng, Cameron; Yan, Hongjun
作者单位：Northwestern University; National Bureau of Economic Research; University of London; London School Economics & Political Science; DePaul University
摘要：We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five personality traits correlate with investors' beliefs about the stock market and economy, risk preferences, and social interaction tendencies. Two personality traits, Neuroticism and Openness, stand out in their explanatory power for equity investments. Investors with high Neuroticism and those with low Openness tend to allocate less investment to equities....
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作者：Baba-Yara, Fahiz; Boons, Martijn; Tamoni, Andrea
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Tilburg University; Universidade Nova de Lisboa; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：We study the horizon dimension of cross-sectional return predictability using a model where characteristics contain both persistent and transitory components. We test the implications of this model for the average returns of popular characteristic -based trading strategies at short versus long horizons after portfolio formation. Our evidence supports the claim that the relative compensation for persistent and transitory components varies across characteristics, in both magnitude and sign. Benc...
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作者：Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, Satchit
作者单位：State University System of Florida; University of Florida; University of Edinburgh; Koc University; University of London; London School Economics & Political Science
摘要：We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid-ask spreads in the options market through two main channels. First, options market makers' quotes are exposed to sniping risk from HFTs exploiting put-call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simul...
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作者：Li, Xiongshi; Ye, Mao; Zheng, Miles
作者单位：Guangxi University of Finance & Economics; Cornell University; National Bureau of Economic Research; Texas Christian University
摘要：To prevent issuers from inflating their share prices, SEC Rule 10b-18 sets price ceilings on share repurchases through open markets. We find that market-structure reforms in the 1990s and 2000s dramatically increased share repurchases because they relaxed constraints on issuers competing with other buyers under price ceilings. The Tick Size Pilot Program, a controlled experiment that partially reversed previous reforms, significantly reduced share repurchases. We estimate that price ceilings a...
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作者：Baldauf, Markus; Mollner, Joshua; Yueshen, Bart Zhou
作者单位：University of British Columbia; Northwestern University; Singapore Management University
摘要：We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio -based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off -exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner'...
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作者：Abis, Simona; Lines, Anton
作者单位：University of Colorado System; University of Colorado Boulder; Copenhagen Business School
摘要：What characteristics of mutual funds do investors care about? In addition to performance and fees, we show that investors exhibit a clear preference for managers who adhere to the strategies they describe in their prospectuses. Capital flows respond negatively when funds diverge from the average holdings of their text- based strategy peer groups, but positively when they outperform those peer averages. We identify this effect using a novel instrumental variables approach, and show that funds f...
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作者：Campello, Murillo; Kankanhalli, Gaurav; Kim, Hyunseob
作者单位：Cornell University; National Bureau of Economic Research; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We show how uncertainty shapes corporate asset allocation, composition, and productivity using data from the shipping industry. Firms curtail both ship acquisitions and disposals when uncertainty increases, primarily through cuts in new ship orders and ship demolitions - decisions that are costlier to reverse vis-a-vis secondary market transactions. Uncertainty also prompts firms to concentrate their fleets into narrower, less productive portfolios. We corroborate our findings using the 2009-2...
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作者：Haslag, Peter; Srinivasan, Kandarp; Thakor, Anjan, V
作者单位：Vanderbilt University; Northeastern University; Washington University (WUSTL); Massachusetts Institute of Technology (MIT)
摘要：RMBS sponsors contributed to the rise of new product features in securitized mortgages prior to the 2008 financial crisis. Using a regulatory shock to sponsor competition , we show securitization influences the design of mortgage contracts, empirically demonstrating a unique, feedback loop of product differentiation from the derived security (MBS) to the underlying asset (loans). Product differentiation in Prime MBS collateral rises faster than that of non-prime in the early boom period (2000-...
