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作者：Joslin, Scott; Singleton, Kenneth J.; Zhu, Haoxiang
作者单位：Massachusetts Institute of Technology (MIT); Stanford University; National Bureau of Economic Research
摘要：In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To establish these results, we develop a novel canonical GDTSM in which the pricing factors are observable portfolios of yields. For our normalization, standard maximum likelihood algorithms converge to ...
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作者：Carlin, Bruce Ian; Manso, Gustavo
作者单位：University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
摘要：Investor sophistication has lagged behind the growing complexity of retail financial markets. To explore this, we develop a dynamic model to study the interaction between obfuscation and investor sophistication in mutual fund markets. Taking into account different learning mechanisms within the investor population, we characterize the optimal timing of obfuscation for financial institutions who offer retail products. We show that educational initiatives that are directed to facilitate learning...
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作者：Jin, Li; Scherbina, Anna
作者单位：University of California System; University of California Davis; Harvard University
摘要：We show that new managers who take over mutual fund portfolios sell off inherited momentum losers at higher rates than stocks in any other momentum decile, even after adjusting for concurrent trades in these stocks by continuing fund managers. This behavior is observed regardless of fund characteristics and is stronger when new managers are external hires. The tendency of continuing fund managers to hold on to losers could be consistent with either a behavior bias stemming from an inability to...
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作者：Parlour, Christine A.; Stanton, Richard; Walden, Johan
作者单位：University of California System; University of California Berkeley
摘要：We show that several well-known asset pricing puzzles are largely mitigated if we endow the representative agent with an arbitrarily small minimum consumption level. This allows us to solve the model for parameter values where the standard Lucas tree model is not defined. For these parameters, disasters become more important, and the market risk premium therefore higher, even though consumption is less risky. Our model yields reasonable risk premia, Sharpe ratios, and discount rates; excess pr...
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作者：Burnside, Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio
作者单位：Northwestern University; Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Washington University (WUSTL)
摘要：We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs.
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作者：Da, Zhi; Gao, Pengjie; Jagannathan, Ravi
作者单位：University of Notre Dame; Northwestern University; National Bureau of Economic Research
摘要：We show that a mutual fund's stock selection skill can be decomposed into additional components that include liquidity-absorbing impatient trading and liquidity provision. We find that past performance predicts future performance better among funds trading in stocks affected more by information events: Past winners earn a risk-adjusted after-fee excess return of 35 basis points per month in the future. Most of that superior performance comes from impatient trading. We also find that impatient ...
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作者：Dasgupta, Amil; Prat, Andrea; Verardo, Michela
作者单位：University of London; London School Economics & Political Science
摘要：We develop a simple model of the price impact of institutional herding. The empirical literature indicates that institutional herding positively predicts short-term returns but negatively predicts long-term returns. We offer a theoretical resolution to this dichotomy. In our model, career-concerned money managers trade with security dealers endowed with market power and exhibit an endogenous tendency to imitate past trades. This tendency is exploited by dealers and thus affects prices. In equi...
