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作者：Holden, Craig W.; Lu, Dong; Lugovskyy, Volodymyr; Puzzello, Daniela
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Renmin University of China; Renmin University of China; Indiana University System; Indiana University Bloomington
摘要：Chinese interbank foreign exchange trading was originally conducted through a centralized, anonymous limit order book (LOB). We determine the impact of the introduction of a parallel decentralized over-the-counter (OTC) market. We find that: (1) most trading migrated to the OTC, (2) the LOB price function is upward-sloping versus the OTC price function is downward-sloping, and (3) the LOB market has a single price function versus the OTC market has multiple price functions. Next, we develop a ...
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作者：Bartram, Sohnke M.; Grinblatt, Mark
作者单位：University of Warwick; Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (alpha) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The strategy's 40-70 basis point per month alpha difference between emerging and developed markets contrast with prior research findings. A country's pre-transaction cost alpha is positively related to its tr...
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作者：Ge, Shan; Weisbach, Michael S.
作者单位：New York University; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which detailed portfolio data are available, and can face financial shocks from exogenous weather events which help us establish causality. Among corporate bonds, for which we can control for regulatory treatmen...
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作者：Huang, Shiyang; Lin, Tse-Chun; Xiang, Hong
作者单位：University of Hong Kong; Renmin University of China; University of Hong Kong
摘要：We provide a psychological explanation for the delayed price response to news about eco-nomically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially ex -plain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to...
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作者：Kargar, Mahyar
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
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作者：Chabakauri, Georgy; Rytchkov, Oleg
作者单位：University of London; London School Economics & Political Science; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas trees. We identify two effects of indexing: lockstep trading of stocks increases market volatility and stock return correlations but reduction in risk sharing decreases them. Overall, indexing decreases market volatility but has an ambiguous effect on the correlations. Also, index investing decreases an investor's welfare, but indexing by other inve...
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作者：Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier
作者单位：University of Geneva; Hautes Etudes Commerciales (HEC) Paris
摘要：We propose an estimation methodology tailored for large unbalanced panels of individual stock returns to study the factor structure and expected returns in international stock markets. We show that the local market is necessary to capture the factor structure in both developed and emerging markets. Neither the presence of multiple world or regional risk factors, systematic currency risk factors, nor a country-specific currency subsumes the importance of the local market factor. All factors, in...
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作者：Cosemans, Mathijs; Frehen, Rik
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tilburg University
摘要：We present evidence on the asset pricing implications of salience theory. In our model, investors overweight salient past returns when forming expectations about future returns. Consequently, investors are attracted to stocks with salient upsides, which are overvalued and earn low subsequent returns. Conversely, stocks with salient downsides are undervalued and yield high future returns. We find empirical support for these predictions in the cross section of US stocks. The salience effect is s...
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作者：Croce, M.; Thien T Nguyen; Raymond, S.
作者单位：Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; University System of Ohio; Ohio State University; University of North Carolina; University of North Carolina Chapel Hill
摘要：When government debt is sluggish, consumption exhibits lower expected growth, more long-run uncertainty, and more long-run downside risk. Simultaneously, the risk premium on the consumption claim (Koijen et al. 2010;Lustig et al. 2013) increases and features more positive (adverse) skewness. We rationalize these findings in an endogenous growth model in which fiscal policy is distortionary, the value of innovation depends on fiscal risk, and the representative agent is sensitive to the resulti...
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作者：Wang, Zijun
作者单位：University of Texas System; University of Texas at San Antonio
摘要：Extending Kaniel et al. (2012) and many others, we present the first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its comovement with equity return factors an...
