-
作者：Lo, Andrew W.; Zhang, Ruixun
作者单位：Massachusetts Institute of Technology (MIT); The Santa Fe Institute; Peking University
摘要：We propose a quantitative framework for assessing the financial impact of any form of impact investing, including socially responsible investing; environmental, social, and governance (ESG) objectives; and other nonfinancial investment criteria. We derive conditions under which impact investing detracts from, improves on, or is neutral to the performance of traditional mean-variance optimal portfolios, which depends on whether the correlations between the impact factor and unobserved excess re...
-
作者：Cho, Chihoon; Frankel, Richard; Martin, Xiumin
作者单位：Washington University (WUSTL)
摘要：We study the used car market to understand how public enforcement that intends to increase information reliability affects disclosure, pricing, and liquidity. In 1986, federal rules mandated the creation of odometer records, and states enforced the law in a staggered fashion. We find that used car asking-price sensitivity to mileage increases by 32.6%, and mileage disclosure in classified ads increases by 23.4%. The findings suggest that strengthened law enforcement increases odometer credibil...
-
作者：Hu, Jianfeng; Kirilova, Antonia; Park, Seongkyu (Gilbert); Ryu, Doojin
作者单位：Singapore Management University; CUNEF Universidad; Willamette University; Sungkyunkwan University (SKKU)
摘要：We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors u...
-
作者：Baghai, Ramin P.; Becker, Bo; Pitschner, Stefan
作者单位：Stockholm School of Economics; European Corporate Governance Institute; Centre for Economic Policy Research - UK; City University of New York (CUNY) System
摘要：Investment mandates of fixed income funds constrain managers' portfolio decisions, often employing credit ratings to classify asset risk. We categorize U.S. and European fixed income funds' mandates using textual analysis and measure the use of ratings. Over the past two decades, despite the weaknesses of ratings revealed in the global financial crisis, ratings use has increased significantly. Since 2010, the fraction of funds not using ratings in any way has fallen by almost half in both the ...
-
作者：Long, Daniel Zhuoyu; Qi, Jin; Zhang, Aiqi
作者单位：Chinese University of Hong Kong; Hong Kong University of Science & Technology; Wilfrid Laurier University
摘要：In this paper, we solve a class of two-stage distributionally robust optimization problems that have the property of supermodularity. We exploit the explicit worst case expectation of supermodular functions and derive the worst case distribution for the robust counterpart. This enables us to develop an efficient method to obtain an exact optimal solution to these two-stage problems. Further, we provide a necessary and sufficient condition for checking whether any given two-stage optimization p...
-
作者：Borup, Daniel; Eriksen, Jonas N.; Kjaer, Mads M.; Thyrsgaard, Martin
作者单位：Aarhus University; Danish Finance Institute
摘要：This paper provides empirical evidence on predictable time variations in out-of sample bond return predictability. Bond return predictability is associated with periods of high (low) economic activity (uncertainty), which implies that violations of the expectations hypothesis are state dependent and linked to features of the business cycle. These state dependencies in predictability, established by introducing a new multivariate test for equal conditional predictive ability, can be used in rea...
-
作者：Schwerter, Frederik
作者单位：Frankfurt School Finance & Management; University of Cologne
摘要：Social reference points have been identified to be important determinants of individuals' welfare. We investigate the consequences of social reference points for risk taking in a laboratory experiment. In the main treatments, risk-taking subjects observe the predetermined earnings of peer subjects when making a risky choice. We exogenously manipulate peers' earnings and find a significant treatment effect: decision makers make less risk-averse choices in the case of larger peers' earnings. The...
-
作者：McMahon, Christopher; McGillivray, Donald; Desai, Ajit; Rivadeneyra, Francisco; Lam, Jean-Paul; Lo, Thomas; Marsden, Danica; Skavysh, Vladimir
作者单位：Bank of Canada; University of Waterloo
摘要：High-value payment systems (HVPSs) are typically liquidity intensive because payments are settled on a gross basis. State-of-the-art solutions to this problem include algorithms that seek netting sets and allow for ad hoc reordering of submitted payments. This paper introduces a new algorithm that explores the entire space of payments reordering to improve the liquidity efficiency of these systems without significantly increasing payment delays. Finding the optimal payment order among the enti...
-
作者：Bossaerts, Peter; Fattinger, Felix; Rotaru, Kristian; Xu, Kaitong
作者单位：University of Cambridge; Vienna University of Economics & Business; Monash University; Monash University; University of Melbourne
摘要：Emotional involvement is known to be necessary but not sufficient for good decision making in the face of uncertainty. It has been conjectured that emotional engagement in anticipation of risky outcomes constitutes good emotions. We introduce a new methodology to determine whether anticipatory emotional engagement is beneficial in the context of trading in financial markets. We focus on heart rate changes because they occur at a sufficiently high frequency to discern timing relative to events ...
-
作者：Balke, Florian; Barth, Andreas; Reichel, Arne; Wahrenburg, Mark
作者单位：Goethe University Frankfurt; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH)
摘要：Using a novel data set comprising bid-ask quotes for foreign exchange swaps from individual dealers, we examine the consequences of the Swiss National Bank's sudden termination of the Swiss franc/euro minimum exchange rate in 2015 on other pegged currencies. Our findings indicate a spillover effect as dealer banks began to reassess the risk associated with unexpected peg terminations, subsequently leading to wider bid-ask spreads for pegged currencies. This highlights that, even in strong econ...
