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作者：Andrade, Sandro C.; Ekponon, Adelphe; Jeanneret, Alexandre
作者单位：University of Miami; University of Liverpool; University of Ottawa; University of New South Wales Sydney
摘要：We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to higher-frequency macroeconomic shocks. Our model predicts that the first source, labeled long-run macro risk, is the primary driver of the level and the cross-sectional variation in sovereign bond premia. We find s...
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作者：De Miguel, Victor; Gil-Bazo, Javier; Nogales, Francisco J.; Santos, Andre A. P.
作者单位：University of London; London Business School; Pompeu Fabra University; Barcelona School of Economics; Universidad Carlos III de Madrid; CUNEF Universidad
摘要：Machine-learning methods exploit fund characteristics to select tradable long-only portfolios of mutual funds that earn significant out-of-sample annual alphas of 2.4% net of all costs. The methods unveil interactions in the relation between fund characteristics and future performance. For instance, past performance is a particularly strong predictor of future performance for more active funds. Machine learning identifies managers whose skill is not sufficiently offset by diseconomies of scale...
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作者：Glebkin, Sergei; Kuong, John Chi-Fong
作者单位：INSEAD Business School
摘要：We consider a market where large investors do not only trade on information about asset fundamentals. When they trade more aggressively, the price becomes less informative. Other investors who learn from prices, in turn, are less concerned about adverse selection and provide more liquidity, causing large investors to trade even more aggressively. This trading complementarity can engender three unconventional results: i) increased competition among large investors makes all investors worse off,...
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作者：Jiang, Zhengyang; Richmond, Robert J.
作者单位：Northwestern University; National Bureau of Economic Research; New York University
摘要：We show that exchange rate correlations tend to be explained by the global trade net-work while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade net-work with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the driv...
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作者：Tran, Anh; Wang, Pingle
作者单位：University of Connecticut; University of Texas System; University of Texas Dallas
摘要：This paper examines investors' retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a return-chasing strategy. In contrast, the remaining 17% of wealthy investors with relatively higher financial literacy follow CAPM alpha. This difference between the two investor groups explains why fund flows respond to returns at the plan level but to CAPM alpha at the aggregated fund level. Return-...
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作者：Guiso, Luigi; Zaccaria, Luana
摘要：We obtain a model-driven measure of gender norms on intra-household financial decision making by leveraging dramatic variation across Italian cohorts and regions in the gender of the household head. We use these estimates to identify the effects of gender parity on household financial decisions. More egalitarian norms increase household participation in financial markets, equity holdings, asset diversification, and returns on investments. This evidence suggests that gender roles can have large...
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作者：Mohammadi, Samira; Cremaschi, Selen
作者单位：Auburn University System; Auburn University
摘要：High-fidelity simulations are computationally expensive to evaluate for optimization and sensitivity analysis applications. One popular method to avoid this problem is utilizing surrogate models, which approximate the simulations with cheaper-to-evaluate functions. The existing surrogate modeling techniques are designed for deterministic systems, with only a few approaches available for stochastic simulations. This study proposes a new method, called PARIN (PARameter as INput), to efficiently ...
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作者：Chen, Zilin; Da, Zhi; Huang, Dashan; Wang, Liyao
作者单位：Southwestern University of Finance & Economics - China; Southwestern University of Finance & Economics - China; University of Notre Dame; Singapore Management University; Hong Kong Baptist University
摘要：We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president's handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR b...
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作者：Li, Sida; Ye, Mao; Zheng, Miles
作者单位：Brandeis University; Cornell University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：The Regulation National Market System (Reg NMS) links fragmented stock exchanges by routing orders to the National Best Bid and Offer (NBBO). As the NBBO ignores exchange fees, 62% of routings lead to worse net prices. An increase in fee differences increases the market share captured by orders that refuse Reg NMS routings, particularly for stocks whose fees account for a large portion of transaction costs. Heterogeneous opportunity costs rationalize routing choices: non-routable orders entail...
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作者：Segura, Anatoli; Villacorta, Alonso
作者单位：European Central Bank; Bank of Italy; University of California System; University of California Santa Cruz
摘要：We study optimal government support following a rare disaster that creates heterogeneous firm liquidity needs. Firms' increase in debt reduces their output due to moral hazard. Banks are subject to a minimum capital requirement that limits deposit insurance costs upon bad aggregate shocks. Without government support, firms' moral hazard and banks' funding frictions reinforce each other amplifying output losses. Optimal support is imple-mented with firm-specific transfers combined with the prov...
