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作者：Kumar, Alok; Page, Jeremy K.; Spalt, Oliver G.
作者单位：University of Miami; Brigham Young University; Tilburg University
摘要：This study investigates whether geographic variation in religion-induced gambling norms affects aggregate market outcomes. We conjecture that gambling propensity would be stronger in regions with higher concentrations of Catholics relative to Protestants. Consistent with our conjecture, we show that in regions with higher Catholic-Protestant ratios, investors exhibit a stronger propensity to hold lottery-type stocks, broad-based employee stock option plans are more popular, the initial day ret...
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作者：Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias
作者单位：University of Guelph; University of Warwick; City St Georges, University of London
摘要：This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates. Using a new dataset of spot implied volatility quoted on over-the-counter currency options, we compute the forward implied volatility that corresponds to the delivery price of a forward...
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作者：Henkel, Sam James; Martin, J. Spencer; Nardari, Federico
作者单位：University of Houston System; University of Houston; University of Melbourne
摘要：In the G7 countries, the short-horizon performance of aggregate return predictors such as the dividend yield and the short rate appears non-existent during business cycle expansions but sizable during contractions. This phenomenon appears related to countercyclical risk premiums as well as the time-variation in the dynamics of predictors. Our empirical model outperforms the historical average out-of-sample in the US, but the results throughout the G7 are mixed. (C) 2010 Elsevier B.V. All right...
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作者：Kim, Jeong-Bon; Li, Yinghua; Zhang, Liandong
作者单位：City University of Hong Kong; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Using a large sample of U.S. firms for the period 1993-2009, we provide evidence that the sensitivity of a chief financial officer's (CFO) option portfolio value to stock price is significantly and positively related to the firm's future stock price crash risk. In contrast, we find only weak evidence of the positive impact of chief executive officer option sensitivity on crash risk. Finally, we find that the link between CFO option sensitivity and crash risk is more pronounced for firms in non...
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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：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：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...
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作者：McLean, R. David
作者单位：University of Alberta
摘要：Firms increasingly issue shares for the purpose of cash savings. During the 1970s, $1.00 of issuance resulted in $0.23 of cash savings; over the most recent decade, $1.00 of issuance resulted in $0.60 of cash savings. This increase is caused by increasing precautionary motives. Proxies for precautionary motives increase over the sample period, and firm-level increases in these proxies are associated with firm-level increases in share issuance-cash savings. Share issuance-cash savings are inver...
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作者：Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Boston University; Dublin City University; Columbia University
摘要：A growing literature suggests that, even in the absence of any ability to predict returns, holding options on the benchmarks or trading frequently can generate positive alpha. The ratio of alpha to its tracking error appraises a fund's performance. This paper derives the performance-maximizing strategy, which turns out to be a variant of a buy-write strategy, and the least upper bound on such performance enhancement. If common equity indices are used as benchmarks, the potential alpha generate...
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作者：Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Columbia University; National Bureau of Economic Research
摘要：The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic uncertainty are subject to rare jumps. The arrival of a jump triggers the updating of agents' beliefs about the likelihood of future jumps, which produces a market crash and a permanent shift in option...
