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作者：Qiu, Jiaping; Yu, Fan
作者单位：Claremont Colleges; Claremont Graduate University; Claremont McKenna College; McMaster University; Shanghai University of Finance & Economics; Shanghai Jiao Tong University
摘要：We study study the determination of liquidity provision in the single-name credit default swap (CDS) market as measured by the number of distinct dealers providing quotes. We find that liquidity is concentrated among large obligors and those near the investment-grade/speculative-grade cutoff. Consistent with endogenous liquidity provision by informed financial institutions, more liquidity is associated with obligors for which there is a greater information flow from the CDS market to the stock...
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作者：Novy-Marx, Robert
作者单位：University of Rochester
摘要：Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate positive returns but are less profitable than those based on intermediate horizon past performance, especially among the largest, most liquid stocks. These facts are not particular to the momentum observed in the cross section of US equities. Similar results hold for mo...
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作者：Burlacu, Radu; Fontaine, Patrice; Jimenez-Garces, Sonia; Seasholes, Mark S.
作者单位：Hong Kong University of Science & Technology; Universite de Lorraine; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS)
摘要：This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to explain the cross section of returns in theoretical, numerical, and empirical analyses. Using Center for Research in Security Prices data, we show that a -1 sigma to +1 sigma change in our variable is ass...
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作者：Boone, Audra L.; Ivanov, Vladimir I.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; U.S. Securities & Exchange Commission (SEC)
摘要：This paper examines whether a party to a strategic alliance or joint venture suffers from spillover effects when the other partner files for bankruptcy. We find that the non-bankrupt strategic alliance partners, on average, experience a negative stock price reaction around their partner firm's bankruptcy filing announcement. This negative effect is strongest for longer partnerships and those with higher returns at the announcement of the initial alliance formation. Furthermore, horizontal alli...
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作者：Paye, Bradley S.
作者单位：University System of Georgia; University of Georgia
摘要：Aggregate stock return volatility is both persistent and countercyclical. This paper tests whether it is possible to improve volatility forecasts at monthly and quarterly horizons by conditioning on additional macroeconomic variables. I find that several variables related to macroeconomic uncertainty, time-varying expected stock returns, and credit conditions Granger cause volatility. It is more difficult to find evidence that forecasts exploiting macroeconomic variables outperform a univariat...
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作者：Agarwal, Sumit; Chang, Yan; Yavas, Abdullah
作者单位：National University of Singapore; Freddie Mac; University of Wisconsin System; University of Wisconsin Madison
摘要：Using several large data sets of mortgage loans originated between 2004 and 2007, we find that in the prime mortgage market, banks generally sold low-default-risk loans into the secondary market while retaining higher-default-risk loans in their portfolios. In contrast, these lenders retained loans with lower prepayment risk relative to loans they sold. Securitization strategy of lenders changed dramatically in 2007 as the crisis set in with most unwilling to retain higher-default-risk loans i...
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作者：Betermier, Sebastien; Jansson, Thomas; Parlour, Christine; Walden, Johan
作者单位：McGill University; University of California System; University of California Berkeley
摘要：We use a detailed panel data set of Swedish households to investigate the relation between their labor income risk and financial investment decisions. In particular, we relate changes in wage volatility to changes in the portfolio holdings for households that switched industries between 1999 and 2002. We find that households do adjust their portfolio holdings when switching jobs, which is consistent with the idea that households hedge their human capital risk in the stock market. The results a...
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作者：Garleanu, Nicolae; Kogan, Leonid; Panageas, Stavros
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of Chicago
摘要：We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on existing firms and workers, reducing the profits of existing firms and eroding the human capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor, which we call displacement risk This risk helps explain several empirical patterns, including the existence of the growth-value f...
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作者：Billio, Monica; Getmansky, Mila; Lo, Andrew W.; Pelizzon, Loriana
作者单位：Massachusetts Institute of Technology (MIT); Universita Ca Foscari Venezia; University of Massachusetts System; University of Massachusetts Amherst
摘要：We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can also identify and q...
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作者：Hong, Harrison; Yogo, Motohiro
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Princeton University; National Bureau of Economic Research
摘要：Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset prices. Movements in commodity market interest predict commodity returns, bond ...
