-
作者：Chen, Xilong; Ghysels, Eric
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We introduce a new class of parametric models applicable to a mixture of high and low frequency returns and revisit the concept of news impact curves introduced by Engle and Ng (1993). Overall, we find that moderately good (intra-daily) news reduces volatility (the next day), while both very good news (unusual high intra-daily positive returns) and bad news (negative returns) increase volatility, with the latter having a more severe impact. The asymmetries disappear over longer horizons. Model...
-
作者：Chun, Albert Lee
作者单位：Copenhagen Business School
摘要：Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage-free model of the yield curve, this research proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that survey expectations about inflation, output growth, and the anticipated path of monetary policy actions contain important information for explaining movements in bond yields. Estimates from a forward-looki...
-
作者：Titman, Sheridan; Tiu, Cristian
作者单位：University of Texas System; University of Texas Austin; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We provide a simple argument that suggests that better-informed hedge funds choose to have less exposure to factor risk. Consistent with this argument, we find that hedge funds that exhibit lower R-squareds with respect to systematic factors have higher Sharpe ratios, higher information ratios, and higher alphas. They also exhibit higher manipulation-proof performance measures and charge higher fees.
-
作者：Drechsler, Itamar; Yaron, Amir
作者单位：New York University; University of Pennsylvania; National Bureau of Economic Research
摘要：Uncertainty plays a key role in economics, finance, and decision sciences. Financial markets, in particular derivative markets, provide fertile ground for understanding how perceptions of economic uncertainty and cash-flow risk manifest themselves in asset prices. We demonstrate that the variance premium, defined as the difference between the squared VIX index and expected realized variance, captures attitudes toward uncertainty. We show conditions under which the variance premium displays sig...
-
作者：Bartolini, Leonardo; Hilton, Spence; Sundaresan, Suresh; Tonetti, Christopher
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Columbia University; New York University
摘要：Using data on repurchase agreements by primary securities dealers, we show that three classes of securities (Treasury securities, securities issued by government-sponsored agencies, and mortgage-backed securities) can be formally ranked in terms of their collateral values in the general collateral (GC) market. We then show that GC repurchase agreement (repo) spreads across asset classes display jumps and significant temporal variation, especially at times of predictable liquidity needs, consis...
-
作者：Inkmann, Joachim; Lopes, Paula; Michaelides, Alexander
作者单位：University of Melbourne; University of London; London School Economics & Political Science; University of Cyprus
摘要：Using microeconomic data for the United Kingdom, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation increases with financial wealth, life expectancy, and education and decreases with other pension income and a possible bequest motive for surviving spouses. We then show that these empirically motivated determinants of annuity market participation have the same, quantitatively important, effects in a life-cycle model of annuity and...
-
作者：Bonomo, Marco; Garcia, Rene; Meddahi, Nour; Tedongap, Romeo
作者单位：Universite Catholique de Lille; EDHEC Business School; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Stockholm School of Economics
摘要：We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-divid...
-
作者：Garcia, Diego; Strobl, Gunter
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This article studies how relative wealth concerns, in which a person's satisfaction with their own consumption depends on how much others are consuming, affect investors' incentives to acquire information. We find that such externalities can generate complementarities in information acquisition within the standard rational expectations paradigm. When agents are sensitive to the wealth of others, they herd on the same information, trying to mimic each other's trading strategies. We show that th...
