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• Absolving beta of volatility's effects AI翻译
  作者：Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu
  作者单位：University of Pennsylvania; Shanghai Jiao Tong University; University of Pennsylvania; National Bureau of Economic Research
  摘要：The beta anomaly, negative (positive) alpha on stocks with high (low) beta, arises from beta's positive correlation with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative and stronger among overpriced stocks (Stambaugh, Yu, and Yuan, 2015). That stronger negative relation combines with the positive IVOL-beta correlation to produce the beta anomaly. The anomaly is significant only within overpriced stocks and only in periods w...
• Tradability of output, business cycles and asset prices AI翻译
  作者：Tian, Mary
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：I examine the effect of a firm's tradability, the proportion of output that is exported abroad, on its stock returns over business cycles from 1947-2015. Firms with higher tradability have more cyclical asset returns, even after controlling for the real exchange rate. Returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict changes in the real dollar exchange rate and trade volumes. The empirical patterns are consistent with t...
• The buyers' perspective on security design: Hedge funds and convertible bond call provisions AI翻译
  作者：Grundy, Bruce D.; Verwijmeren, Patrick
  作者单位：University of Melbourne; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
  摘要：We provide evidence that security design reflects the interplay of capital supplier and security issuer preferences. While call provisions have historically been the default option in convertible security design, only a minority of post-2005 issues are callable. Because hedge funds dominate the market for new convertibles today and because convertible arbitrage is less risky without callability, the recent diminution in the frequency of call provisions in new convertible bond issues illustrate...
• Capital gains lock-in and governance choices AI翻译
  作者：Dimmock, Stephen G.; Gerken, William C.; Ivkovic, Zoran; Weisbenner, Scott J.
  作者单位：Nanyang Technological University; University of Kentucky; Michigan State University; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：Differences in accrued gains and investors' tax-sensitivity induce variation in a capital gains lock-in effect across mutual funds even for the same stock at the same time. Exploiting this variation, we show this effect influences funds' governance decisions: higher capital gains decrease the likelihood a fund exits prior to contentious votes and increase the likelihood a fund votes against management. Consistent with tax motivation, these findings are concentrated among funds with tax-sensiti...
• Downside risks and the cross-section of asset returns AI翻译
  作者：Farago, Adam; Tedongap, Romeo
  作者单位：University of Gothenburg; ESSEC Business School
  摘要：In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent ...
• Quantitative easing auctions of Treasury bonds AI翻译
  作者：Song, Zhaogang; Zhu, Haoxiang
  作者单位：Johns Hopkins University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
  摘要：The Federal Reserve uses (reverse) auctions to implement its purchases of Treasury bonds in quantitative easing (QE). To evaluate dealers' offers across multiple bonds, the Fed relies on its internal yield curve model, fitted to secondary market bond prices. From November 2010 to September 2011, a one standard deviation increase in the cheapness of a Treasury bond (how much the market price of the bond is below a model-implied value) increases the Fed's purchase quantity of that bond by 276 mi...
• When saving is gambling AI翻译
  作者：Cookson, J. Anthony
  作者单位：University of Colorado System; University of Colorado Boulder
  摘要：Prize-linked savings (PLS) accounts, which allocate interest using lottery payments rather than fixed interest, encourage savings by appealing to households' gambling preferences. I introduce new data on casino cash withdrawals to measure gambling, and examine how individual gambling expenditures respond to the introduction of PLS in Nebraska using a difference-in-differences design. After PLS is introduced, individuals who live in counties that offer PLS reduce gambling by at least 3% more th...
• Pay me now (and later): Pension benefit manipulation before plan freezes and executive retirement AI翻译
  作者：Stefanescu, Irina; Wang, Yupeng; Xie, Kangzhen; Yang, Jun
  作者单位：Federal Reserve System - USA; Massachusetts Institute of Technology (MIT); Seton Hall University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
  摘要：Large US firms modify top executives' compensation before pension-related events. Top executives receive one-time increases in pensionable earnings through higher annual bonuses one year before a plan freeze and one year before retirement. Firms also boost pension payouts by lowering plan discount rates when top executives are eligible to retire with lump-sum benefit distributions. Increases in executive pensions do not appear to be an attempt to improve managerial effort or retention and are ...
• Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity AI翻译
  作者：Chen, Yong; Eaton, Gregory W.; Paye, Bradley S.
  作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Oklahoma State University System; Oklahoma State University - Stillwater; Virginia Polytechnic Institute & State University
  摘要：This paper constructs and analyzes various measures of trading costs in US equity markets covering the period 1926-2015. These measures contain statistically and economically significant predictive signals for stock market returns and real economic activity. We decompose illiquidity proxies into a component capturing aggregate volatility and a residual. The predictive content of these components differs in important ways. Specifically, we find strong evidence that the component of illiquidity ...
• Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market AI翻译
  作者：Li, Xindan; Subrahmanyam, Avanidhar; Yang, Xuewei
  作者单位：Nanjing University; Nanjing University; University of California System; University of California Los Angeles
  摘要：We examine the notion that financial products which cater to investors' behavioral biases can yield high trading activity and thus be profitable for issuers. Our setting considers options with a callback feature, namely, callable bull/bear contracts (CBBCs). Such contracts have high skewness when close to callback and thus appeal to cumulative prospect theory preferences. CBBCs with high skewness earn negative average returns, and issuers' gross profits vary positively with CBBC skewness. Over...