-
作者：Kuchler, Theresa; Zafar, Basit
作者单位：New York University; Arizona State University; Arizona State University-Tempe
摘要：Using novel survey data, we document that individuals extrapolate from recent personal experiences when forming expectations about aggregate economic outcomes. Recent locally experienced house price movements affect expectations about future U.S. house price changes and higher experienced house price volatility causes respondents to report a wider distribution over expected U.S. house price movements. When we exploit within-individual variation in employment status, we find that individuals wh...
-
作者：Piacentino, Giorgia
作者单位：Columbia University; Centre for Economic Policy Research - UK
摘要：I show that venture capitalists' motivation to build reputation can have beneficial effects in the primary market, mitigating information frictions and helping firms go public. Because uninformed reputation-motivated venture capitalists want to appear informed, they are biased against backing firms-by not backing firms, they avoid taking low-value firms to market, which would ultimately reveal their lack of information. In equilibrium, reputation-motivated venture capitalists back relatively f...
-
作者：Chinco, Alex; Clark-Joseph, Adam D.; Ye, Mao
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make rolling one-minute-ahead return forecasts using the entire cross-section of lagged returns as candidate predictors. The LASSO increases both out-of-sample fit and forecast-implied Sharpe ratios. This out-of-sample success comes from identifying predictors that are unexpected, short-lived, and sparse. Although the LASSO uses a statistical rule rather than economic intuition to identify predictors, the predict...
-
作者：Li, Dan; Schurhoff, Norman
作者单位：Federal Reserve System - USA; University of Lausanne; University of Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR)
摘要：Dealers in the over-the-counter municipal bond market form trading networks with other dealers to mitigate search frictions. Regulatory data show that this network has a core-periphery structure with 10 to 30 hubs and over 2,000 peripheral broker-dealers in which bonds flow from periphery to core and partially back. Central dealers charge investors up to double the round-trip markups compared to peripheral dealers. In turn, central dealers provide immediacy by matching buyers with sellers more...
-
作者：Doshi, Hitesh; Jacobs, Kris; Kumar, Praveen; Rabinovitch, Ramon
作者单位：University of Houston System; University of Houston
摘要：Building on theoretical asset pricing literature, we examine the role of market risk and the size, book-to-market (BTM), and volatility anomalies in the cross-section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross-section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevere...
-
作者：Clementi, Gian Luca; Palazzo, Berardino
作者单位：New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The data show that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets, reducing the risk faced by shareholders and the returns that they are likely to demand. In the one-factor production-based asset pricing model, when the frictions to capital adjustment are shaped to respect the evidence on investment, the model-generated cross-sectional dispersion of returns is only a small fraction of that documented in the data. ...
-
作者：Addoum, Jawad M.; Delikouras, Stefanos; Korniotis, George M.; Kumar, Alok
作者单位：Cornell University; University of Miami
摘要：We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value factor and first demonstrate that our demand estimates are correlated with the actual demands of retail and mutual fund investors. We then show that the aggregate high-minus-low (HML) demand predicts HML returns. Exploiting the state-level variation in income risk, we demonstrate that state-level hedging demands predict state-level HML returns. A long-short portfolio that expl...
-
作者：van Kervel, Vincent; Menkveld, Albert J.
作者单位：Pontificia Universidad Catolica de Chile; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategi...
-
作者：Jagannathan, Ravi; Ma, Tongshu; Zhang, Jiaqi
作者单位：Northwestern University; National Bureau of Economic Research; Northwestern University; State University of New York (SUNY) System; Binghamton University, SUNY
摘要：This note corrects an error in the proof of Proposition 2 of Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraint Helps that appeared in the Journal of Finance, August 2003.
-
作者：Lee, Jung Hoon; Trzcinka, Charles; Venkatesan, Shyam
作者单位：Tulane University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Western University (University of Western Ontario)
摘要：Most mutual fund managers have performance-based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid-year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk-shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow-performance relation, suggesting that ris...
