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作者：Ait-Sahalia, Yacine; Jacod, Jean; Xiu, Dacheng
作者单位：Princeton University; National Bureau of Economic Research; Sorbonne Universite; University of Chicago
摘要：We develop an asymptotic framework for conducting inference on continuous-time asset pricing models using high-frequency returns over an increasing time horizon. Our study focuses on the identification and estimation of risk premiums associated with the continuous component and jumps of various size brackets. We extend the classical Fama-MacBeth regression from the discrete-time setting to a continuous-time factor model, incorporating general dynamics for factors, idiosyncratic components, and...
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作者：Zhang, Yingguang; Zhu, Yandi; Linnainmaa, Juhani T.
作者单位：Peking University; Central University of Finance & Economics; Dartmouth College; National Bureau of Economic Research
摘要：Binsbergen, Han, and Lopez-Lira (2023) predict analysts' forecast errors using a random forest model. A strategy that trades against this model's predictions earns a monthly alpha of 1.54% ($ t $-value = 5.84). This estimate represents a large improvement over studies using classical statistical methods. We attribute the difference to a look-ahead bias. Removing the bias erases the alpha. Linear models yield as accurate forecasts and superior trading profits. Neither alternative machine learni...
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作者：Agarwal, Vikas; Aragon, George O.; Nanda, Vikram; Wei, Kelsey
作者单位：University System of Georgia; Georgia State University; Arizona State University; Arizona State University-Tempe; University of Texas System; University of Texas Dallas
摘要：Stocks expected to be sold by distressed mega hedge funds (MHFs) face anticipatory institutional selling and increased short interest. However, no evidence of anticipatory trading is found in stocks held by nondistressed MHFs, distressed non-MHFs, or stocks confidentially held by distressed MHFs, suggesting that public portfolio disclosure by large and closely followed distressed investors, and not common investment signals, drives anticipatory trading. Distressed MHFs with greater exposure to...
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作者：Jegadeesh, Narasimhan; Luo, Jiang; Subrahmanyam, Avanidhar; Titman, Sheridan
作者单位：Emory University; Nanyang Technological University; University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Stock returns exhibit reversals at short horizons but slowly transition to momentum over longer horizons. To help understand this pattern, we develop a multiperiod model with short- and long-horizon noise traders, and active investors who underreact to information they do not themselves produce. The model accords with the transition from reversals to momentum and yields the following novel predictions: (a) attenuated reversals after earnings announcements, (b) a negative relation between month...
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作者：Jiang, Hao; Vayanos, Dimitri; Zheng, Lu
作者单位：Michigan State University; University of London; Centre for Economic Policy Research - UK; London School Economics & Political Science
摘要：We study how passive investing affects asset prices. Flows into passive funds disproportionately raise the stock prices of the economy's largest firms, especially those large firms in high demand by noise traders. Because of this effect, the aggregate market can rise even when flows are entirely due to investors switching from active to passive funds. Intuitively, passive flows increase the idiosyncratic risk of large firms in high demand, which discourages investors from correcting the flows'...
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作者：Driessen, Joost; Ebert, Sebastian; Koeter, Joren
作者单位：Tilburg University; Ruprecht Karls University Heidelberg; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model-the $ \Pi $-CAPM-generates several new predictions: (i) skewness has a positive price effect, amplified by volatility; (ii) the price effect of volatility is negative for left-skewed assets but positive for right-skewed assets; and (iii) option-implied variance premiums for stocks have a U-shaped relation to ...
