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作者：An, Li; Engelberg, Joseph; Henriksson, Matthew; Wang, Baolian; Williams, Jared
作者单位：Tsinghua University; University of California System; University of California San Diego; University of Tennessee System; University of Tennessee Knoxville; State University System of Florida; University of Florida; State University System of Florida; University of South Florida
摘要：The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio-driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, portfolio rebalancing, tax considerations, or investor heterogeneity. Our evidence suggests that inves...
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作者：Bowles, Boone; Reed, Adam V.; Ringgenberg, Matthew C.; Thornock, Jacob R.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of North Carolina; University of North Carolina Chapel Hill; Utah System of Higher Education; University of Utah; Brigham Young University
摘要：We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, ...
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作者：Geng, Zhe; Pan, Jun
作者单位：Fudan University; Shanghai Jiao Tong University
摘要：Studying China's credit market using a structural default model that integrates credit risk, liquidity, and bailout, we document improved price discovery and a deepening divide between state-owned enterprises (SOEs) and non-SOEs. Amidst liquidity deterioration, the presence of government bailout helps alleviate the heightened liquidity-driven default, making SOE bonds more valuable and widening the SOE premium. Meanwhile, the increased importance of government support makes SOEs more sensitive...
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作者：Flanagan, Thomas; Purnanandam, Amiyatosh
作者单位：University System of Ohio; Ohio State University; University of Michigan System; University of Michigan
摘要：Financial institutions received investments under the Troubled Asset Relief Program in a bad state of the world but repaid them in a relatively good state. We show that the recipients paid considerably lower returns to taxpayers compared to private-market securities with similar risk over the same investment horizon, resulting in a subsidy of over $50 billion on the preferred equity investment by the government. Ex-post renegotiation of contract terms limited the upside gains received by taxpa...
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作者：Duarte, Jefferson; Jones, Christopher s.; Wang, Junbo l.
作者单位：Rice University; University of Southern California; Louisiana State University System; Louisiana State University
摘要：The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is -116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta-hedged at-the-money calls (puts) is -23 (-30) basis points. Fourth, the variance r...
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作者：Bhattacharya, Utpal; Kumar, Amit; Visaria, Sujata; Zhao, Jing
作者单位：Hong Kong University of Science & Technology; Singapore Management University; City St Georges, University of London; Hong Kong Polytechnic University
摘要：We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong. At financial planning firms, but not at securities firms, women were more likely than men to receive advice to buy only individual or only local securities. Female clients who signaled high confidence, high risk tolerance, or a domestic outlook were especially likely to receive this suboptimal advice. Our theoretical model explains these patterns as a resu...
