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作者：Glode, Vincent; Green, Richard C.
作者单位：University of Pennsylvania; Carnegie Mellon University
摘要：We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition if informed investors were to partner with non-incumbent managers, incumben...
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作者：Ferreira, Miguel A.; Santa-Clara, Pedro
作者单位：Universidade Nova de Lisboa; European Corporate Governance Institute; National Bureau of Economic Research
摘要：We propose forecasting separately the three components of stock market returns the dividend-price ratio, earnings growth, and price-earnings ratio growth the sum-of-the-parts (SOP) method. Our method exploits the different time series persistence of the components and obtains out-of-sample R-squares (compared with the historical mean) of more than 1.3% with monthly data and 13.4% with yearly data. This compares with typically negative R-squares obtained in a similar experiment with predictive ...
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作者：Dimson, Elroy; Spaenjers, Christophe
作者单位：University of London; London Business School; University of Cambridge; Tilburg University
摘要：This paper uses stamp catalogue prices to investigate the returns on British collectible postage stamps over the period 1900-2008. We find an annualized return on stamps of 7.0% in nominal terms, or 2.9% in real terms. These returns are higher than those on bonds but below those on equities. The volatility of stamp prices approaches that of equities. Stamp returns are impacted by movements in the equity market, but the systematic risk of stamps remains low. Stamps partially hedge against unant...
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作者：Yu, Jianfeng; Yuan, Yu
作者单位：University of Pennsylvania; University of Minnesota System; University of Minnesota Twin Cities; University of Iowa
摘要：This study shows the influence of investor sentiment on the market's mean-variance tradeoff. We find that the stock market's expected excess return is positively related to the market's conditional variance in low-sentiment periods but unrelated to variance in high-sentiment periods. These findings are consistent with sentiment traders who, during the high-sentiment periods, undermine an otherwise positive mean-variance tradeoff. We also find that the negative correlation between returns and c...
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作者：Avramov, Doron; Kosowski, Robert; Naik, Narayan Y.; Teo, Melvyn
作者单位：University of London; London Business School; Hebrew University of Jerusalem; University System of Maryland; University of Maryland College Park; Imperial College London; Singapore Management University
摘要：This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strate...
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作者：Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen; Strebulaev, Ilya
作者单位：University of California System; University of California Los Angeles; Stanford University; National Bureau of Economic Research; University of London; London Business School
摘要：We study corporate bond default rates using an extensive new data set spanning the 1866-2008 period. We find that the corporate bond market has repeatedly suffered clustered default events much worse than those experienced during the Great Depression. For example, during the railroad crisis of 1873-1875, total defaults amounted to 36% of the par value of the entire corporate bond market. Using a regime-switching model, we examine the extent to which default rates can be forecast by financial a...
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作者：Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：We explore the sharp uptrend in recent trading activity and accompanying changes in market efficiency. Higher turnover has been associated with more frequent smaller trades, which have progressively formed a larger fraction of trading volume over time. Evidence indicates that secular decreases in trading costs have influenced the turnover trend. Turnover has increased the most for stocks with the greatest level of institutional holdings, suggesting professional investing as a key contributor t...
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作者：Fich, Eliezer M.; Cai, Jie; Tran, Anh L.
作者单位：Drexel University; City St Georges, University of London
摘要：Unscheduled stock options to target chief executive officers (CEOs) are a nontrivial phenomenon during private merger negotiations. In 920 acquisition bids during 1999-2007. over 13% of targets grant them. These options substitute for golden parachutes and compensate target CEOs for the benefits they forfeit because of the merger. Targets granting unscheduled options are more likely to be acquired but they earn lower premiums. Consequently, deal value drops by $62 for every dollar target CEOs ...
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作者：Lynch, Anthony W.; Tan, Sinan
作者单位：New York University; National Bureau of Economic Research; Fordham University
摘要：Young agents with low wealth-income ratios counter factually hold more stock than young, rich agents and old agents using the standard portfolio choice model with i.i.d. stock returns and labor income. This paper matches the countercyclical volatility and procyclical mean of U.S. labor income and finds that, consistent with U.S. data, young, poor agents now hold less stock than both young, rich agents and old agents, and no stock a large fraction of the time. Our results suggest that the predi...
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作者：Day, Theodore E.; Li, George Z.; Xu, Yexiao
作者单位：University of Texas System; University of Texas Dallas; New Jersey City University
摘要：Empirical support for the hypothesis that closed-end fund discounts are related to overhanging tax liabilities has been mixed. We introduce a new approach to testing this hypothesis by examining changes in discount levels following distributions of dividends and capital gains. Since distributions reduce future shareholder tax liabilities, the tax liability hypothesis implies that closed-end fund discounts should decline following distributions. Focusing on changes in discounts isolates this ta...
