2期

最新文章

• Attention allocation and return co-movement: Evidence from repeated natural experiments AI翻译
  作者：Huang, Shiyang; Huang, Yulin; Lin, Tse-Chun
  作者单位：University of Hong Kong
  摘要：We hypothesize that when investors pay less attention to financial markets, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors' attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jack-pot days. This effect is stronger for stocks preferred ...
• Regulating a model AI翻译
  作者：Leitner, Yaron; Yilmaz, Bilge
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Pennsylvania
  摘要：We study a situation in which a regulator relies on risk models that banks produce in order to regulate them. A bank can generate more than one model and choose which models to reveal to the regulator. The regulator can find out the other models by monitoring the bank, but in equilibrium, monitoring induces the bank to produce less information. We show that a high level of monitoring is desirable when the bank's private gain from producing more information is either sufficiently high or suffic...
• Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation AI翻译
  作者：Jegadeesh, Narasimhan; Noh, Joonki; Pukthuanthong, Kuntara; Roll, Richard; Wang, Junbo
  作者单位：Emory University; University System of Ohio; Case Western Reserve University; University of Missouri System; University of Missouri Columbia; California Institute of Technology; Louisiana State University System; Louisiana State University
  摘要：To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual stocks. We propose an instrumental variables approach that allows the use of individual stocks as test assets, yet delivers consistent estimates of ex post risk premiums. This estimator also yields well-specified tests in small samples. The market risk premium under the capital asset pricing model (CAPM...
• Who benefits in a crisis? Evidence from hedge fund stock and option holdings AI翻译
  作者：Aragon, George O.; Martin, J. Spencer; Shi, Zhen
  作者单位：Arizona State University; Arizona State University-Tempe; University of Melbourne; University System of Georgia; Georgia State University
  摘要：We use a unique data set of hedge fund long equity and equity option positions to investigate a significant lockup-related premium earned during the tech bubble (1999-2001) and financial crisis (2007-2009). Net fund flows are significantly greater among lockup funds during crisis and noncrisis periods. Managers of hedge funds with locked-up capital trade opportunistically against flow-motivated trades of non-lockup managers, consistent with a hypothesis of rent extraction in providing crisis e...
• Inferring latent social networks from stock holdings AI翻译
  作者：Hong, Harrison; Xu, Jiangmin
  作者单位：Columbia University; Peking University
  摘要：We infer the latent social networks of investors using data on their stock holdings. We map linkages to portfolio weights using a portfolio-choice model. The precision of an investor's private signal about firm value is assumed to increase with his connections in the city where the firm is headquartered. Using money-manager data, we find that managerial linkages to a city are overly dispersed relative to the Erclos-Renyi model of i.i.d. connections. Managers at the tail of this distribution wi...
• Costs and benefits of financial conglomerate affiliation: Evidence from hedge funds AI翻译
  作者：Franzoni, Francesco; Giannetti, Mariassunta
  作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Stockholm School of Economics; European Corporate Governance Institute
  摘要：This paper explores how affiliation to financial conglomerates affects asset managers' access to capital, risk taking, and performance. Focusing on a sample of hedge funds, we find that financial conglomerate-affiliated hedge funds (FCAHFs) have lower flow-performance sensitivity than other hedge funds and that this difference is particularly pronounced during financial turmoil. Arguably, thanks to more stable funding, FCAHFs allow their investors to redeem capital more freely and are able to ...
• The cash conversion cycle spread AI翻译
  作者：Wang, Baolian
  作者单位：State University System of Florida; University of Florida
  摘要：The cash conversion cycle (CCC) refers to the time span between the outlay of cash for purchases to the receipt of cash from sales. It is a widely used metric to gauge the effectiveness of a firm's management and intrinsic need for external financing. This paper shows that a zero-investment portfolio that buys the lowest CCC decile stocks and shorts the highest CCC decile stocks earns 5%-7% alphas per year. The CCC effect is prevalent across industries, remains even for large capitalization st...
• Too good to be true? Fallacies in evaluating risk factor models AI翻译
  作者：Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Toronto; University of Warwick
  摘要：This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset pricing models estimated by maximum likelihood. Strikingly, when spurious factors (that is, factors that are uncorrelated with the returns on the test assets) are present, the model exhibits perfect fit, as measured by the squared correlation between the model's fitted expected returns and the average realized returns. Furthermore, factors that are spurious are selecte...
• Does skin-in-the-game affect security performance? AI翻译
  作者：Ashcraft, Adam B.; Gooriah, Kunal; Kermani, Amir
  作者单位：Bank of America Corporation; University of California System; University of California Berkeley; National Bureau of Economic Research
  摘要：This paper documents that complex financial innovations like collateralized debt obligations (CDOs) enabled informed parties in the commercial mortgage-backed securitization pipeline to reduce their skin-in-the-game in a way not observable to other market participants. This reduction in first-loss security retention significantly impacted the probability that more senior tranches ultimately defaulted. We show that this performance is entirely driven by the amount of first-loss sold to (affilia...
• The effect of bank monitoring on public bond terms AI翻译
  作者：Ma, Zhiming; Stice, Derrald; Williams, Christopher
  作者单位：Peking University; Hong Kong University of Science & Technology; University of Michigan System; University of Michigan
  摘要：This study examines the effect of bank loan monitoring on public bond contract design. We find that bond yield spreads are lower and that bond issuance amounts are larger when a borrower has recently obtained a private loan, consistent with bond issuers benefiting from the screening and ongoing monitoring of banks. We find that these bonds include more covenants than bonds issued without the cross-monitoring of banks, consistent with bondholders wanting to protect themselves from private lende...