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作者：Ang, Andrew; Kristensen, Dennis
作者单位：University of London; University College London; Columbia University; National Bureau of Economic Research
摘要：Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented for a single asset or jointly across portfolios. The traditional Gibbons, Ross, and Shanken (1989) test arises as a special case of no time variation in the alphas and factor loadings and homoskedasticity. As applications of th...
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作者：Wurgler, Jeffrey
作者单位：New York University; National Bureau of Economic Research
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作者：Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur
作者单位：New York University; Georgetown University; University of Melbourne; Ozyegin University
摘要：This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund-specific or residual risk components. Contrary to the popular understanding that hedge funds are market neutral, we find that systematic risk is a highly significant factor explaining the dispersion of c...
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作者：Ovtchinnikov, Alexei V.; Pantaleoni, Eva
作者单位：Vanderbilt University; Vanderbilt University
摘要：We present evidence that individuals make political contributions strategically by targeting politicians with power to affect their economic well-being. Individuals in Congressional districts with greater industry clustering choose to support politicians with jurisdiction over the industry. Importantly, individual political contributions are associated with improvements in operating performance of firms in industry clusters. The relation between contributions and firm performance is strongest ...
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作者：Berger, Dave; Pukthuanthong, Kuntara
作者单位：Oregon State University; California State University System; San Diego State University
摘要：We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following increases of our risk measure. High levels of our risk measure indicate the probability of a global crash is greater than the probability of a local crash. That is, conditional on high levels of systemic risk...
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作者：Nadauld, Taylor D.; Weisbach, Michael S.
作者单位：Brigham Young University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：This paper investigates whether the securitization of corporate bank loan facilities had an impact on the price of corporate debt. Our results suggest that loan facilities that are subsequently securitized are associated with a 17 basis point lower spread than that of facilities that are not subsequently securitized. We consider facility characteristics that are associated with the likelihood of securitization and estimate the extent to which these characteristics are related to spreads. We do...
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作者：Li, Jun; Yu, Jianfeng
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：Motivated by psychological evidence on limited investor attention and anchoring, we propose two proxies for the degree to which traders under- and overreact to news, namely, the nearness to the Dow 52-week high and the nearness to the Dow historical high, respectively. We find that nearness to the 52-week high positively predicts future aggregate market returns, while nearness to the historical high negatively predicts future market returns. We further show that our proxies contain information...
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作者：Cocco, Joao F.; Gomes, Francisco J.
作者单位：University of London; London Business School
摘要：Over the last couple of decades unprecedented increases in life expectancy have raised important concerns for retirement savings. We solve a life-cycle model with longevity risk, which can be hedged through endogenous saving and retirement decisions. We investigate the benefits of financial assets designed to hedge the shocks to survival probabilities. When longevity risk is calibrated to match forward-looking projections, those benefits are substantial. This lends support to the idea that suc...
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作者：Chatterji, Aaron K.; Seamans, Robert C.
作者单位：New York University; Duke University
摘要：This paper examines the impact of financial deregulation on entrepreneurship. We assess the impact of credit card deregulation on transitions into self-employment using state-level removal of credit card interest rate ceilings following the US Supreme Court's 1978 Marquette decision as a quasi-natural experiment. We find that credit card deregulation increases the probability of entrepreneurial entry, with a particularly strong effect for black entrepreneurs. We demonstrate that these effects ...
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作者：Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar; Tong, Qing
作者单位：University of California System; University of California Los Angeles; University of Manchester; King Abdulaziz University; Emory University; Singapore Management University
摘要：We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that the average difference between sell and buy lambdas is generally positive throughout our sample period. Both buy and sell lambdas ar...
