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Scarcity and Spotlight Effects on Term Structure: Quantitative Easing in Japan 稀缺与聚光灯效应对期限结构的影响:日本量化宽松政策
Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive) Pub Date : 2017-11-17 DOI: 10.2139/ssrn.2979845
L. Pelizzon, M. Subrahmanyam, Reiko Tobe, Junko Uno
{"title":"Scarcity and Spotlight Effects on Term Structure: Quantitative Easing in Japan","authors":"L. Pelizzon, M. Subrahmanyam, Reiko Tobe, Junko Uno","doi":"10.2139/ssrn.2979845","DOIUrl":"https://doi.org/10.2139/ssrn.2979845","url":null,"abstract":"We investigate the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds (JGBs) show an improvement in liquidity through the spotlight effect but also experience a deterioration in liquidity through the scarcity effect. As for the yield, both the spotlight and scarcity effects work in the same direction (i.e., they raise bond prices). Overall, the prices of JGBs rise by reflecting only the strong demand from the QE, despite the deterioration in liquidity.","PeriodicalId":114455,"journal":{"name":"Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117268984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Limits of Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data 显微镜下的套利限制:来自对冲基金交易数据的证据
Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive) Pub Date : 2017-08-10 DOI: 10.2139/ssrn.2970756
Bastian von Beschwitz, Sandro Lunghi, Daniel Schmidt
{"title":"Limits of Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data","authors":"Bastian von Beschwitz, Sandro Lunghi, Daniel Schmidt","doi":"10.2139/ssrn.2970756","DOIUrl":"https://doi.org/10.2139/ssrn.2970756","url":null,"abstract":"We exploit detailed transaction and position data for a sample of long-short equity hedge funds to document new facts about the trading activity of sophisticated investors. We find that the initiation of both long and short positions is associated with significant abnormal returns, suggesting that the hedge funds in our sample possess investment skill. In contrast, the closing of long and short positions is followed by return continuation, implying that hedge funds close their positions too early and “leave money on the table.” As we demonstrate with a simple model, this behaviour can be explained by hedge funds being (risk) capital constrained and facing position monitoring costs. Consistent with our model, we document that the return continuation following closing orders is more pronounced when these constraints become more binding (e.g., after negative fund returns or increases in volatility).","PeriodicalId":114455,"journal":{"name":"Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133232732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
International Real Yields 国际实际收益率
Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive) Pub Date : 2017-07-07 DOI: 10.2139/ssrn.2977721
Andrey Ermolov
{"title":"International Real Yields","authors":"Andrey Ermolov","doi":"10.2139/ssrn.2977721","DOIUrl":"https://doi.org/10.2139/ssrn.2977721","url":null,"abstract":"I study market-implied real yields extracted from prices of inflation-linked government bonds for nine developed countries. The liquidity premium is an important component of breakeven inflation rates. Unconditional real yield curves are upward-sloping, providing empirical support for habit models. The cross-country real rate equality is rejected. Across countries, real yields are strongly positively correlated while liquidity premia are moderately positively correlated. Low nominal yields following the Great Recession are mainly due to low real yields, although the inflation risk premia have also decreased.","PeriodicalId":114455,"journal":{"name":"Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive)","volume":" 67","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132011154","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The Value of Bond Underwriter Relationships 债券承销商关系的价值
Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive) Pub Date : 2017-05-15 DOI: 10.2139/ssrn.2968328
Stine von Rueden, Jens Dick‐Nielsen, M. Nielsen
{"title":"The Value of Bond Underwriter Relationships","authors":"Stine von Rueden, Jens Dick‐Nielsen, M. Nielsen","doi":"10.2139/ssrn.2968328","DOIUrl":"https://doi.org/10.2139/ssrn.2968328","url":null,"abstract":"We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the issuer resulting in lower direct issuance costs and lower underpricing. However, if the underwriter becomes distressed, this spills over to the issuer's credit risk, because it weakens the relationship and increases the risk of involuntary relationship termination. The credit risk spillover is more pronounced for risky, opaque issuers with high rollover exposure, i.e., those issuers most in need of certification by an underwriter.","PeriodicalId":114455,"journal":{"name":"Paris December 2017 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122276549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
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