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作者：Muravyev, Dmitriy; Pearson, Neil D.; Broussard, John Paul
作者单位：Boston College; University of Illinois System; University of Illinois Urbana-Champaign; Rutgers University System; Rutgers University Camden; Rutgers University New Brunswick
摘要：We use tick-by-tick quote data for 39 liquid US stocks and options on them, and we focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option market quotes adjust to eliminate the disagreement, while the stock market quotes behave normally, as if there were no disagreement. The disagreement events are typically precipitated by stock price move...
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作者：Shive, Sophie; Yun, Hayong
作者单位：University of Notre Dame
摘要：We find that patient traders profit from the predictable, flow-induced trades of mutual funds. In anticipation of a 1%-of-volume change in mutual fund flows into a stock next quarter, the institutions in the same 13F category as hedge funds trade 0.29-0.45% of volume in the current quarter. A third of the trading is associated with the subset of 504 identified hedge funds. The effect is stronger when quarterly mutual fund portfolio disclosure is required and among hedge funds with more patient...
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作者：Kitsul, Yuriy; Wright, Jonathan H.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Johns Hopkins University
摘要：Recently a market in options based on consumer price index inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these probability density functions respond to news announcements and find that the implied odds of deflation are sensitive to certain macroeconomic news releases. We also estimate empirical pricing kernels using these option prices along with time series models fitted t...
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作者：Berzins, Janis; Liu, Crocker H.; Trzcinka, Charles
作者单位：Cornell University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We find evidence that conflicts of interest are pervasive in the asset management business owned by investment banks. Using data from 1990 to 2008, we compare the alphas of mutual funds, hedge funds, and institutional funds operated by investment banks and non-bank conglomerates. We find that, while no difference exists in performance by fund type, being owned by an investment bank reduces alphas by 46 basis points per year in our baseline model. Making lead loans increases alphas, but the dis...
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作者：Cao, Jie; Han, Bing
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Austin; Peking University
摘要：This paper presents a robust new finding that delta-hedged equity option return decreases monotonically with an increase in the idiosyncratic volatility of the underlying stock. This result cannot be explained by standard risk factors. It is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with market imperfections and constrained financial intermediaries. Dealers charge a higher premium for options on high idiosyncratic volatility ...
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作者：Hirshleifer, David; Hsu, Po-Hsuan; Li, Dongmei
作者单位：University of California System; University of California Irvine; University of Hong Kong; University of Hong Kong; University of California System; University of California San Diego
摘要：We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited ...
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作者：Hirshleifer, David; Schwert, G. William; Singleton, Kenneth J.
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作者：Custodio, Claudia; Ferreira, Miguel A.; Laureano, Luis
作者单位：Arizona State University; Arizona State University-Tempe; Universidade Nova de Lisboa; Instituto Universitario de Lisboa
摘要：We show that corporate use of long-term debt has decreased in the US over the past three decades and that this trend is heterogeneous across firms. The median percentage of debt maturing in more than 3 years decreased from 53% in 1976 to 6% in 2008 for the smallest firms but did not decrease for the largest firms. The decrease in debt maturity was generated by firms with higher information asymmetry and new firms issuing public equity in the 1980s and 1990s. Finally, we show that demand-side f...
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作者：Bonaparte, Yosef; Kumar, Alok
作者单位：University of British Columbia; University of British Columbia Okanagan; University of Miami
摘要：This paper examines whether political activism increases people's propensity to participate in the stock market. Our key conjecture is that politically active people follow political news more actively, which increases their chance of being exposed to financial news. Consequently, their information gathering costs are likely to be lower and the propensity to participate in the market would be higher. We find support for this hypothesis using multiple micro-level data sets, state-level data fro...
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作者：Morrison, Alan D.; White, Lucy
作者单位：University of Oxford; Harvard University
摘要：Existing studies suggest that systemic crises may arise because banks either hold correlated assets, or are connected by interbank lending. This paper shows that common regulation is also a conduit for interbank contagion. One bank's failure may undermine confidence in the banking regulator's competence, and, hence, in other banks chartered by the same regulator. As a result, depositors withdraw funds from otherwise unconnected banks. The optimal regulatory response to this behavior can be pri...
