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作者：Starks, Laura T.
作者单位：University of Texas System; University of Texas Austin
摘要：In this address, I discuss differences across investor and manager motivations for considering sustainable finance-value versus values motivations-and how these differences contribute to misunderstandings about environmental, social, and governance investment approaches. The finance research community has the ability and responsibility to help clear up these misunderstandings through additional research, which I suggest.
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作者：Hazelkorn, Todd M. M.; Moskowitz, Tobias J. J.; Vasudevan, Kaushik
作者单位：Yale University
摘要：Deviations from the law of one price between futures and spot prices-the futures-cash basis-capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures-cash basis reflecting liquidity demand that is common to futures...
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作者：Hanley, Kathleen Weiss
作者单位：Lehigh University
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作者：Liu, Xuewen
作者单位：University of Hong Kong; University of Hong Kong
摘要：We develop a tractable model of systemic bank runs. The market-based banking system features a two-layer structure: banks with heterogeneous fundamentals face potential runs by their creditors while they trade short-term funding in the asset (interbank) market in response to creditor withdrawals. The possibility of a run on a particular bank depends on its assets' interim liquidation value, and this value depends endogenously in turn on the status of other banks in the asset market. The within...
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作者：Gormsen, Niels Joachim; Lazarus, Eben
作者单位：University of Chicago; Massachusetts Institute of Technology (MIT); University of Chicago
摘要：We propose a duration-based explanation for the premia on major equity factors, including value, profitability, investment, low-risk, and payout factors. These factors invest in firms that earn most of their cash flows in the near future and could therefore be driven by a premium on near-future cash flows. We test this hypothesis using a novel data set of single-stock dividend futures, which are claims on dividends of individual firms. Consistent with our hypothesis, the expected Capital Asset...
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作者：Bryzgalova, Svetlana; Pavlova, Anna; Sikorskaya, Taisiya
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK
摘要：We document a rapid increase in retail trading in options in the United States. Facilitated by payment for order flow (PFOF) from wholesalers executing retail orders, retail trading recently reached over 60% of total market volume. Nearly 90% of PFOF comes from three wholesalers. Exploiting new flags in transaction-level data, we isolate wholesaler trades and build a novel measure of retail options trading. Our measure comoves with equity-based retail activity proxies and drops significantly d...
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作者：Eisfeldt, Andrea L. L.; Lustig, Hanno; Zhang, Lei
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Stanford University; University of Hong Kong; University of California System; University of California Los Angeles
摘要：Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios. However, despite the attractive risk-return trade-off, participation is limited. This is because effective Sharpe ratios in complex asset markets vary with investors' expertise. Investors with higher expertise, better models, and lower resulting idiosyncratic risk exposures realize higher Sharpe ratios. Their demand deters entry by less sophisticated ...
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作者：Chen, Hui; Chen, Zhuo; He, Zhiguo; Liu, Jinyu; Xie, Rengming
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Tsinghua University; University of International Business & Economics; University of Chicago
摘要：We provide causal evidence on the value of asset pledgeability by exploiting a unique feature of Chinese corporate bond markets: bonds with identical fundamentals are traded on two segmented markets with different rules for repo transactions. Using a policy shock that rendered AA+ and AA bonds ineligible for repo on one market only, we compare how bond prices changed across markets and rating classes around this event. When the haircut increases from 0% to 100%, bond yields increase by 39 bps ...
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作者：[Anonymous]
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作者：Boyer, Brian H.; Nadauld, Taylor D.; Vorkink, Keith P.; Weisbach, Michael S.
作者单位：Brigham Young University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Measures of private equity (PE) performance based on cash flows do not account for a discount-rate risk premium that is a component of the capital asset pricing model (CAPM) alpha. We create secondary market PE indices and find that PE discount rates vary considerably. Net asset values are too smooth because they fail to reflect variation in discount rates. Although the CAPM alpha for our index is zero, the generalized public market equivalent based on cash flows is large and positive. We obta...
