-
作者：Bordalo, Pedro; Gennaioli, Nicola; Kwon, Spencer Yongwook; Shleifer, Andrei
作者单位：University of Oxford; Bocconi University; Bocconi University; Harvard University; Harvard University
摘要：We introduce diagnostic expectations into a standard setting of price formation in which investors learn about the fundamental value of an asset and trade it. We study the interaction of diagnostic expectations with learning from prices and speculation (buying for resale). With diagnostic (but not with rational) expectations, these mechanisms lead to price paths exhibiting three phases: initial underreaction, then overshooting (the bubble), and finally a crash. With learning from prices, the m...
-
作者：Armstrong, Will J.; Cardella, Laura; Sabah, Nasim
作者单位：Texas Tech University System; Texas Tech University; Massachusetts System of Public Higher Education; Framingham State College
摘要：We examine the effects of investor disagreement on price discovery using a recurring public information event in the highly liquid crude oil futures market, a market free of short sale constraints. We show that prices reflect positive news within one-half second of trading but continue to drift for five minutes when news is negative. Evidence suggests the drift arises from a systematic surge in buying pressure that impedes the price discovery process when news is negative. Our results are cons...
-
作者：Schwert, G. William
作者单位：University of Rochester; National Bureau of Economic Research
摘要：The field of academic finance has grown and evolved in the 47 years since the Journal of Financial Economics (JFE) began publishing papers. This paper examines detailed data on the 3,003 papers written by 3,358 different authors published in the JFE over the pe-riod 1974-2020. Advances in computing power and electronic communication have driven trends toward more empirical work, more coauthorship, and more complex papers. The set of authors, referees, and editors has also evolved as the field ...
-
作者：Baltussen, Guido; Swinkels, Laurens; Van Vliet, Pim
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We examine 24 global factor premiums across equity, bond, commodity, and currency markets via replication and out-of-sample evidence between 1800 and 2016. Replication yields ambiguous evidence within a unified testing framework that accounts for p-hacking. Out of-sample tests reveal strong and robust presence of the large majority of global factor premiums, with limited out-of-sample decay of the premiums. We find global factor premiums to be generally unrelated to market, downside, or macroe...
-
作者：Anagol, Santosh; Balasubramaniam, Vimal; Ramadorai, Tarun
作者单位：University of Pennsylvania; University of London; Queen Mary University London; Imperial College London; Centre for Economic Policy Research - UK
摘要：We study a natural experiment in which 1.5 million investors participate in allocation lot-teries for Indian IPO stocks. Investors who win the lottery and obtain IPO stocks that rise in value increase portfolio trading volume in non-IPO stocks relative to lottery losers; the effects are negative for lottery winners obtaining IPO stocks that fall in value. A model in which agents learn from random experience about their ability to operate in the mar-ket environment best explains the results. In...
-
作者：Barroso, Pedro; Detzel, Andrew
作者单位：University of New South Wales Sydney; Universidade Catolica Portuguesa; University of Denver
摘要：We investigate whether transaction costs, arbitrage risk, and short-sale impediments ex-plain the abnormal returns of volatility-managed equity portfolios. Even using six cost-mitigation strategies, after transaction costs, volatility management of asset-pricing factors besides the market return generally produces zero abnormal returns and significantly re -duces Sharpe ratios. In contrast, abnormal returns of the volatility-managed market port-folio are robust to transaction costs and concent...
-
作者：Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth
作者单位：Yale University; Arizona State University; Arizona State University-Tempe
摘要：Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation. We formalize this argument with a conditional factor pricing model. Using instrumented principal components analysis, we estimate latent factors with time-varying factor loadings that depend on observable firm characteristics. We show that factor loadings vary significantly over time, e...
-
作者：Eaton, Gregory W.; Irvine, Paul J.; Liu, Tingting
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; Texas Christian University; Iowa State University
摘要：Using proprietary institutional trade data, we construct a price impact measure that represents the costs faced by institutional investors. We show that many widely used liquidity measures do not adequately capture institutional trading costs. We then find that institutional trading costs are not dramatically impacted by decimalization, casting doubt on the widely used identification strategy that employs decimalization as an exogenous shock to liquidity, particularly institutional liquidity. ...
-
作者：Moshirian, Fariborz; Tian, Xuan; Zhang, Bohui; Zhang, Wenrui
作者单位：University of New South Wales Sydney; University of New South Wales Sydney; Tsinghua University; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen; Chinese University of Hong Kong
摘要：We investigate the effect of stock market liberalization on technological innovation. Using a sample of 20 economies that experience stock market liberalization, we find that these economies exhibit a higher level of innovation output after liberalization and that this effect is disproportionately stronger in more innovative industries. The relaxation of financial constraints, enhanced risk sharing between domestic and foreign investors, and improved corporate governance are three plausible ch...
-
作者：Berg, Tobias; Reisinger, Markus; Streitz, Daniel
作者单位：Frankfurt School Finance & Management; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Friedrich Schiller University of Jena; Copenhagen Business School
摘要：Despite their importance, the discussion of spillover effects in empirical research often misses the rigor dedicated to endogeneity concerns. We analyze a broad set of workhorse models of firm interactions and show that spillovers naturally arise in many corporate finance settings. This has important implications for the estimation of treatment effects: (i) even with random treatment, spillovers lead to a complicated bias; (ii) fixed effects can exacerbate the spillover-induced bias. We propos...
