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作者：Della Corte, Pasquale; Ramadorai, Tarun; Sarno, Lucio
作者单位：Imperial College London; University of Oxford; City St Georges, University of London; Centre for Economic Policy Research - UK
摘要：We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive ability of currency volatility risk premia for currency returns. The volatility risk premium the difference between expected realized volatility and model-free implied volatility reflects the costs of insuring against currency volatility fluctuations. The strategy sells high insurance-cost currencies and buys low insurance-cost currencies. A distinctive feature of the stra...
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作者：Jiao, Yawen; Massa, Massimo; Zhang, Hong
作者单位：University of California System; University of California Riverside; INSEAD Business School; Tsinghua University
摘要：The existing literature treats the short side (i.e., short selling) and the long side of hedge fund trading (i.e., fund holdings) independently. The two sides, however, complement each other: opposite changes in the two are likely to be driven by information, whereas simultaneous increases (decreases) of the two may be motivated by hedging (unwinding) considerations. We use this intuition to identify informed demand and document that it exhibits highly significant predictive power over returns...
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作者：Bernile, Gennaro; Hu, Jianfeng; Tang, Yuehua
作者单位：Singapore Management University; State University System of Florida; University of Florida
摘要：Government agencies routinely allow pre-release access to information to accredited news agencies under embargo agreements. Using high-frequency data, we find evidence consistent with informed trading during embargoes of Federal Open Market Committee (FOMC) scheduled announcements. The E-mini Standard & Poor's 500 futures' abnormal order imbalances are in the direction of subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The esti...
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作者：Brown, Jeffrey R.; Farrell, Anne M.; Weisbenner, Scott J.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; University System of Ohio; Miami University; University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：This paper examines heterogeneity in the responsiveness to default options in a large state retirement plan, focusing on individuals' decision-making approaches as well as their economic and demographic characteristics. Analyses of a survey of plan participants show that procrastination and the need for cognitive closure are important determinants of the likelihood of default. This paper also explores an important implication of defaulting individuals who default are significantly more likely ...
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作者：Acemoglu, Daron; Johnson, Simon; Kermani, Amir; Kwak, James; Mitton, Todd
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of California System; University of California Berkeley; University of Connecticut; Brigham Young University
摘要：The announcement of Timothy Geithner as nominee for Treasury Secretary in November 2008 produced a cumulative abnormal return for financial firms with which he had a prior connection. This return was about 6% after the first full day of trading and about 12% after ten trading days. There were subsequently abnormal negative returns for connected firms when news broke that Geithner's confirmation might be derailed by tax issues. Personal connections to top executive branch officials can matter g...
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作者：Gu, Lifeng
作者单位：University of Hong Kong; University of Hong Kong
摘要：A standard real options model predicts a strong positive interaction effect between research and development (R&D) investment and product market competition. R&D-intensive firms tend to be riskier and earn higher expected returns than R&D-weak firms, particularly in competitive industries. Also, firms in competitiye industries earn higher expected returns than firms in concentrated industries, especially among R&D-intensive firms. Intuitively, R&D projects are more likely to fail in the presen...
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作者：Eser, Fabian; Schwaab, Bernd
作者单位：European Central Bank
摘要：We assess the yield impact of asset purchases within the European Central Bank's (ECB) Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010-11. In addition to large announcement effects, we find an impact of approximately -3 basis points at the five-year maturity for purchases of 1/1000 of the outstanding debt. Bond yield volatility and tail risk are lower on intervention days for most SMP countries. A dynamic specification points to both transitory and long-ru...
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作者：Halling, Michael; Yu, Jin; Zechner, Josef
作者单位：Stockholm School of Economics; Swedish House of Finance; Shanghai University of Finance & Economics
摘要：Surprisingly little is known about the business cycle dynamics of leverage. The existing evidence documents that target leverage evolves pro-cyclically either for all firms or financially constrained ones. In contrast, we show that, on average, target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting for variation in explanatory variables and model parameters. These counter-cyclical dynamics are robust to different subsamples of firms, data samp...
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作者：Comerton-Forde, Carole; Jones, Charles M.; Putnins, Tails J.
作者单位：University of Melbourne; Columbia University; University of Technology Sydney
摘要：We examine returns, order flow, and market conditions in the minutes before, during, and after NYSE and Nasdaq short sales. We find two distinct types of short sales: those that provide liquidity, and those that demand it. Liquidity-supplying shorts are strongly contrarian at intraday horizons. They trade when spreads are unusually wide, facing greater adverse selection. Liquidity-demanding shorts trade when spreads are narrow and tend to follow short-term price declines. These results support...
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作者：Gao, Meng; Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper examines the hypothesis that hedge fund managers gain an informational advantage in securities trading through their connections with lobbyists. Using data sets on the long-equity holdings and lobbyist connections of hedge funds from 1999 through 2012, we show that hedge funds outperform passive benchmarks by 56-93 basis points per month on their political holdings when they are connected to lobbyists. Furthermore, the political outperformance of connected funds decreased significan...
