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The Risk-Return Tradeoff Among Equity Factors 股票因素的风险收益权衡
ERN: Stock Market Risk (Topic) Pub Date : 2021-03-16 DOI: 10.2139/ssrn.3109456
Pedro Barroso, Paulo F. Maio
{"title":"The Risk-Return Tradeoff Among Equity Factors","authors":"Pedro Barroso, Paulo F. Maio","doi":"10.2139/ssrn.3109456","DOIUrl":"https://doi.org/10.2139/ssrn.3109456","url":null,"abstract":"We examine the time-series risk-return trade-off among several long-short equity factors by estimating univariate predictive regressions of monthly factor returns onto the lagged realized variances. We obtain a positive trade-off for alternative versions of the profitability and investment factors employed in the literature. Such relationship is robust to the presence of the realized covariance (with the market factor) in the forecasting regressions, which represents consistency with Merton's ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor risk-return trade-off tends to be weaker among most international equity markets. The out-of-sample forecasting power (of factor variances for own future returns) tends to be economically significant for the investment and profitability factors. Overall, our results suggest that the time-series risk-return trade-off is substantially stronger within segments of the stock market than for the whole.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"33 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81003229","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: 1
Predictive Regressions under Arbitrary Persistence and Stock Return Predictability 任意持续性下的预测回归与股票收益可预测性
ERN: Stock Market Risk (Topic) Pub Date : 2021-03-11 DOI: 10.2139/ssrn.3802472
Daniel D. Borup, B. Christensen, Yunus Emre Ergemen
{"title":"Predictive Regressions under Arbitrary Persistence and Stock Return Predictability","authors":"Daniel D. Borup, B. Christensen, Yunus Emre Ergemen","doi":"10.2139/ssrn.3802472","DOIUrl":"https://doi.org/10.2139/ssrn.3802472","url":null,"abstract":"We present a novel approach to analyzing stock return predictability that accommodates (i) arbitrary predictor persistence, (ii) panels with common factors, (iii) multiple predictors, (iv) short- and long-horizon analysis, and relies on standard inference from least-squares estimation of a suitably adjusted predictive regression. We analyze US and international equity premia and find that dividend- and earnings-related price ratios have negligible predictive power over long horizons, whereas the dividend yield has considerable predictive power over short horizons, with positive coefficients, consistent with present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five years.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90892452","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: 0
News and Trading After Hours 新闻和盘后交易
ERN: Stock Market Risk (Topic) Pub Date : 2021-03-03 DOI: 10.2139/ssrn.3796812
Bei Cui, A. Gozluklu
{"title":"News and Trading After Hours","authors":"Bei Cui, A. Gozluklu","doi":"10.2139/ssrn.3796812","DOIUrl":"https://doi.org/10.2139/ssrn.3796812","url":null,"abstract":"This paper explores after-hours trading (AHT) in U.S. equity markets. We collect a large set of news releases during AHT and document their effect on AHT activity and market quality. Three types of news events attract most AHT: earnings announcements, insider trades, and index reconstitutions. The majority of earnings announcements shift to AHT over time. Corporate insiders are more likely to delay their sales filings until markets close. Index reconstitutions during AHT lead to volume surge and contribute to the negative CAPM slope. During the Covid-19 pandemic, retail access (via Robinhood platform) leads to a sharp increase in after-hours trades.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"32 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75920420","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: 2
High-Frequency Arbitrage and Market Illiquidity 高频套利和市场流动性不足
ERN: Stock Market Risk (Topic) Pub Date : 2021-01-19 DOI: 10.2139/ssrn.3768926
Claudia E. Moise
{"title":"High-Frequency Arbitrage and Market Illiquidity","authors":"Claudia E. Moise","doi":"10.2139/ssrn.3768926","DOIUrl":"https://doi.org/10.2139/ssrn.3768926","url":null,"abstract":"During times of market stress, arbitrage capital cannot be timely deployed, and assets trade away from fundamentals. This gives rise to transitory price volatility, a latent factor that signals difficulties in the market-making process. I propose a market-wide illiquidity measure based on SPY's transitory volatility (SPY is an ETF that tracks the S&P500). While related to existing illiquidity proxies, the proposed measure provides additional information. It also captures commonality in stock-level illiquidity, and it is priced in the market. An investment strategy based on it earns, on average, a 8.64% annual return. This premium cannot be explained by classical risk factors, including existing illiquidity measures.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72941904","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: 0
President’s Confidence and the Stock Market Performance 总统信心与股市表现
ERN: Stock Market Risk (Topic) Pub Date : 2021-01-02 DOI: 10.2139/ssrn.3758905
Yosef Bonaparte
{"title":"President’s Confidence and the Stock Market Performance","authors":"Yosef Bonaparte","doi":"10.2139/ssrn.3758905","DOIUrl":"https://doi.org/10.2139/ssrn.3758905","url":null,"abstract":"We show that the stock market pricing the presidential margin of victory in a nonlinear concave fashion, with a higher price for medium than slight or crushing victories. We conjecture that the margin of victory reflects president confidence and the ability to execute policies. A small margin sends instability signal to financial markets as a lack of confidence president, whereas a decisive victory provides excessive ‘political capital’ and a bold mandate to execute policies, which turns the president to be overconfident. Furthermore, margin of victory commoves with financial and political indicators: the greater the margin of victory the larger the policy uncertainty and partisan conflict. Our inference shed light on “the presidential puzzle,” as many Republican presidents won decisively (Raegan twice, Nixon, etc.), while more Democrats with medium victories. Collectively, president’s confidence affects the stock market and is a key exogenous determinant to consider.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"49 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90759403","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: 1
Shareholder-Creditor Conflicts and Limits to Arbitrage: Evidence From the Equity Lending Market 股东-债权人冲突与套利限制:来自股权借贷市场的证据
ERN: Stock Market Risk (Topic) Pub Date : 2020-12-10 DOI: 10.2139/ssrn.3747035
Yongqiang Chu, Lu Lin, P. Saffi, Jason Sturgess
{"title":"Shareholder-Creditor Conflicts and Limits to Arbitrage: Evidence From the Equity Lending Market","authors":"Yongqiang Chu, Lu Lin, P. Saffi, Jason Sturgess","doi":"10.2139/ssrn.3747035","DOIUrl":"https://doi.org/10.2139/ssrn.3747035","url":null,"abstract":"We show that conflicts of interests between shareholders and creditors affect limits-to-arbitrage through short-sale constraints. Using mergers of financial institutions as a shock to dual ownership, we show that dual holdings of debt and equity increases equity lending supply and reduces short-sale constraints. Shareholders are also less likely to restrict lending supply before shareholder votes when dual holders are present. Further, dual holdings are associated with faster corrections of mispricing, consistent with lower shareholder-creditor conflicts enhancing market efficiency. Our results suggest that shareholder-creditor conflicts give rise to limits to arbitrage and have a real effect on market efficiency.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73243777","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: 2
Forecasting Financial Crashes: A Dynamic Risk Management Approach 预测金融危机:动态风险管理方法
ERN: Stock Market Risk (Topic) Pub Date : 2020-12-10 DOI: 10.2139/ssrn.3744816
J-C Gerlach, Dongshuai Zhao, CFA, D. Sornette
{"title":"Forecasting Financial Crashes: A Dynamic Risk Management Approach","authors":"J-C Gerlach, Dongshuai Zhao, CFA, D. Sornette","doi":"10.2139/ssrn.3744816","DOIUrl":"https://doi.org/10.2139/ssrn.3744816","url":null,"abstract":"Since 2009, stock markets have resided in a long bull market regime. Passive investment strategies \u0000have succeeded during this low-volatility growth period. From 2018 on, however, there was a transition into a more volatile market environment interspersed by corrections increasing in amplitude and frequency. This calls for more adaptive dynamic risk management strategies, as opposed to static buy-and-hold strategies. To hedge against market drawdowns, the greatest source of risk that should accurately be estimated is crash risk. \u0000 \u0000This article applies the Log-Periodic Power Law Singularity (LPPLS) model of endogenous asset price bubbles to monitor crash risk. The model is calibrated to 15 years market history for five relevant equity country indices. Particular emphasis is put on the US S&P 500 Composite Index and the recent market history of the \"Corona\" year 2020. The results show that relevant historical bubble events, including the Corona crash, could be detected with the model and derived indicators. Many of these events were predicted in advance in monthly reports by the Financial Crisis Observatory (FCO) at ETH Zurich. The Corona crash, as the most recent event of interest, is discussed in further detail. Our conclusion is that unsustainable price dynamics leading to an unstable bubble, fuelled by quantitative easing and other policies, already existed well before the pandemic started. Thus, the bubble bursting in February 2020 as a reaction to the Corona pandemic was of endogenous nature and burst in response to the exogenous Corona crisis, which was predictable to some degree based on the endogenous price dynamics. Following the crash, a fast recovery of the price to pre-crisis levels ensued in the following months. This lets us conclude that, as long as the underlying origins and the macroeconomic environment that created this bubble do not change, the bubble will continue to grow and potentially spread to other sectors. This may cause even more hectic market behaviour, overreaction and volatile corrections in the future.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"112 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79311610","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: 0
When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases 什么时候注意力很重要?投资者关注对新闻发布前后股市波动的影响
ERN: Stock Market Risk (Topic) Pub Date : 2020-11-09 DOI: 10.2139/ssrn.3506720
Daniele Ballinari, F. Audrino, Fabio Sigrist
{"title":"When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases","authors":"Daniele Ballinari, F. Audrino, Fabio Sigrist","doi":"10.2139/ssrn.3506720","DOIUrl":"https://doi.org/10.2139/ssrn.3506720","url":null,"abstract":"We empirically investigate how retail and institutional investor attention is related to the way stock markets process information. With a focus on 360 US stocks in the S&P 500 universe, our results show that higher retail investors' attention around news releases increases the post-announcement stock return volatility, whereas institutional investor attention has a small but negative impact on volatility on days following news releases on average over the cross-section of companies. These findings are in line with the hypotheses that attention of retail investors slows price-adjustments to new information and attention of institutional investors results in the opposite reaction. We show that these effects are heterogeneous in the type of news and the topic of the information being released. A portfolio allocation application highlights that these results are not only statistically significant but also sizeable in economic terms and can lead to an overperformance as large as dozens of basis points.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90106644","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: 9
Macroeconomic Variables and Stock Market Indices during the COVID-19 Pandemic: Evidence from USA and Canada COVID-19大流行期间的宏观经济变量和股票市场指数:来自美国和加拿大的证据
ERN: Stock Market Risk (Topic) Pub Date : 2020-10-15 DOI: 10.2139/ssrn.3712419
M. M. Rahman, Md. Mominur Rahman, Mohammad Zoynul Abedin
{"title":"Macroeconomic Variables and Stock Market Indices during the COVID-19 Pandemic: Evidence from USA and Canada","authors":"M. M. Rahman, Md. Mominur Rahman, Mohammad Zoynul Abedin","doi":"10.2139/ssrn.3712419","DOIUrl":"https://doi.org/10.2139/ssrn.3712419","url":null,"abstract":"Using Pooled Ordinary Least Square (Pooled OLS) on a daily panel dataset from the US and Canada from January 22 to September 22, 2020, this study examines the impact of macroeconomic indicators impact on the stock market indices during the COVID-19 pandemic. We improved the interaction relationship of government action variables with the trend in COVID-19 affected and death cases in finding the reaction of stock market returns. We find that the industrial production and money supply significantly influence the stock market return during this pandemic. As there is a paucity of literature together with unclear findings, we improved that social distancing and government economic support significantly affect the stock market returns. Further, this study implies that the interaction of social distancing with the trend in COVID-19 affected cases reduces the adverse reaction of stock market returns during this pandemic. But the interaction of social distancing with the trend in COVID-19 death cases enters negative and significant, suggesting that social distancing action with the trend in death cases of COVID-19 doesn’t weaken the inverse reaction of stock market returns. During this pandemic period, this study can be a policy dialog for the government, policymakers, researchers, and regulatory bodies.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"10 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89482176","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: 0
Determinants of Hedge Fund Investment in Corporate Endgames 公司末期对冲基金投资的决定因素
ERN: Stock Market Risk (Topic) Pub Date : 2020-10-15 DOI: 10.2139/ssrn.3712037
Ludwig Dobmeier, Renata Lavrova, B. Schwetzler
{"title":"Determinants of Hedge Fund Investment in Corporate Endgames","authors":"Ludwig Dobmeier, Renata Lavrova, B. Schwetzler","doi":"10.2139/ssrn.3712037","DOIUrl":"https://doi.org/10.2139/ssrn.3712037","url":null,"abstract":"Under German law the corporate endgame process of obtaining full control over a company offers multiple investment opportunities for investors with high investment flexibility, and is therefore particularly attractive to hedge funds. This paper investigates the determinants of hedge fund investment in corporate endgame processes based on a sample of 76 endgame situations of publicly listed German companies and investment data of 326 hedge funds. Examining characteristics of investment targets, we find that hedge funds invest in companies with a non-dominant majority owner and high stake of index funds as latter’s inability to react in change of control situations creates a supportive investment environment for hedge funds. Hedge funds are most likely to invest after takeover consummation and before announcement of a new endgame transaction. Investigating the determinants of ongoing engagement after initial investment, we find that the presence of other institutional investors, especially hedge funds positively affects engagement likelihood, serving as a validation of the own investment approach. Abnormal performance and trading liquidity of target stock also positively affect hedge funds’ engagement. The results indicate that the endgame process in Germany is an attractive investment opportunity for hedge funds, while hedge fund involvement also adds complexity to the corporate control process.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"41 2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88740562","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: 1
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