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作者：Liu, Laura Xiaolei; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; Hong Kong University of Science & Technology; National Bureau of Economic Research
摘要：Recent winners have temporarily higher loadings than recent losers on the growth rate of industrial production. The loading spread derives mostly from the positive loadings of winners. The growth rate of industrial production is a priced risk factor in standard asset pricing tests. In many specifications, this macroeconomic risk factor explains more than half of momentum profits. We conclude that risk plays an important role in driving momentum profits.
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作者：Kacperczyk, Marcin; Sialm, Clemens; Zheng, Lu
作者单位：University of Texas System; University of Texas Austin; University of British Columbia; National Bureau of Economic Research; University of California System; University of California Irvine
摘要：Despite extensive disclosure requirements, mutual fund investors do not observe all actions of fund managers. We estimate the impact of unobserved actions on fund returns using the return gap-the difference between the reported fund return and the return on a portfolio that invests in the previously disclosed fund holdings. We document that unobserved actions of some funds persistently create value, while such actions of other funds destroy value. Our main result shows that the return gap pred...
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作者：Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F.
作者单位：Reichman University; National Bureau of Economic Research; New York University
摘要：The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost perfectly correlated across horizons under the null hypothesis of no predictability. For the persistence levels of dividend yields, the analytical correlation is 99% between the 1- and 2-year horizon es...
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作者：Spiegel, Matthew
作者单位：Yale University
摘要：The Review of Financial Studies has among its missions the facilitation and promotion of a vigorous academic debate across unsettled questions in finance. This issue represents a cross section of views regarding one such debate: Can ourempirical models accurately forecast the equity premium any better than the historical mean ? Or, is the forecast our empirical models give us any more accurate than what we would get by simply using the historical mean ?
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作者：Butler, Alexander W.
作者单位：University of Texas System; University of Texas Dallas
摘要：Using a sample of municipal bond offerings, I find that local investment banks have substantial comparative and absolute advantages over nonlocal counterparts--locals charge lower fees and sell bonds at lower yields. Local investment banks' strongest comparative advantage is at underwriting bonds with higher credit risk and bonds not rated by rating agencies. These findings suggest that high-risk bonds and nonrated bonds are more difficult to evaluate and market, and that investment banks with...
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作者：Froot, Kenneth A.; Ramadorai, Tarun
作者单位：Harvard University; National Bureau of Economic Research; University of Oxford; University of London; London Business School
摘要：Using a new technique, and weekly data for 25 countries from 1994 to 1998, we analyze the relationship between institutional cross-border portfolio flows, and domestic and foreign equity returns. In emerging markets, institutional flows forecast statistically indistinguishable movements in country closed-end fund NAV returns and price returns. In contrast, closed-end fund flows forecast price returns, but not NAV returns. Furthermore, institutional flows display trend-following (trend-reversin...
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作者：Li, Haitao; Wells, Martin T.; Yu, Cindy L.
作者单位：University of Michigan System; University of Michigan; Cornell University; Iowa State University
摘要：We have developed Bayesian Markov chain Monte Carlo (MCMC) methods for inferences of continuous-time models with stochastic volatility and infinite-activity Levy jumps using discretely sampled data. Simulation studies show that (i) our methods provide accurate joint identification of diffusion, stochastic volatility, and Levy jumps, and (ii) the affine jump-diffusion (AJD) models fail to adequately approximate the behavior of infinite-activity jumps. In particular, the AJD models fail to captu...
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作者：Lettau, Martin; Ludvigson, Sydney C.; Wachter, Jessica A.
作者单位：Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research; University of Pennsylvania
摘要：Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to unprecedented levels in the 1990s. Even today, after the market declines since 2000, they remain well above historical norms. Why? We consider one particular explanation: a fall in macroeconomic risk, or the volatility of the aggregate economy. Empirically, we find a strong correlation between low-frequency movements in macroeconomic volatility and low-frequency movements in the stock market. To model t...
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作者：Kumar, Praveen; Sorescu, Sorin M.; Boehme, Rodney D.; Danielsen, Bartley R.
作者单位：University of Houston System; University of Houston; Texas A&M University System; Texas A&M University College Station; Mays Business School; Wichita State University; North Carolina State University
摘要：We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model. Innovations in market volatility, oil prices, exchange rates, and dispersion of analysts' forecasts not only help explain the cross section of stock returns,...
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作者：Lyandres, Evgeny; Sun, Le; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; Rice University; University of Rochester; National Bureau of Economic Research
摘要：An investment factor, long in low-investment stocks and short in high-investment stocks, helps explain the new issues puzzle. Adding the investment factor into standard factor regressions reduces the SEO underperformance by about 75%, the IPO underperformance by 80%, the underperformance following convertible debt offerings by 50%, and Daniel and Titman's (2006) composite issuance effect by 40%. The reason is that issuers invest more than nonissuers, and the investment factor earns a significa...
