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Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross-Section of Stock Returns with Delay 有聪明的钱吗?商品期货市场的信息如何在股票时滞收益的横截面上定价
Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive) Pub Date : 2019-11-29 DOI: 10.2139/ssrn.3077802
S. W. Ho, Alexandre R. Lauwers
{"title":"Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross-Section of Stock Returns with Delay","authors":"S. W. Ho, Alexandre R. Lauwers","doi":"10.2139/ssrn.3077802","DOIUrl":"https://doi.org/10.2139/ssrn.3077802","url":null,"abstract":"We document a new empirical phenomenon in which the positions of managed money (MM) traders, who are sophisticated speculators in the commodity futures market, as disclosed by the CFTC Disaggregated Commitments of Traders (DCOT) reports, can predict the cross-section of commodity producers' stock returns in the subsequent week. We employ empirical methodologies including single-sort, Jensen's alpha analysis, double-sort, and Fama-Macbeth regressions to confirm the predictability results. The results are more pronounced in firms with higher information asymmetry, proxied by analyst dispersion and historical volatility. We thus provide more empirical evidence to the literature on investor specialization, market segmentation, informational friction and gradual information diffusion, since after all, it is costly to acquire and process information and as a result investors do not specialize in all assets (Van Nieuwerburgh and Veldkamp, 2010). Our main results are not driven by the announcement effect of the DCOT reports.","PeriodicalId":123329,"journal":{"name":"Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133024953","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
Managerial Compensation Incentives and Corporate Debt Maturity: Evidence from FAS 123R 管理层薪酬激励与公司债务期限:来自FAS 123R的证据
Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive) Pub Date : 2019-06-01 DOI: 10.2139/ssrn.3076703
Jieying Hong
{"title":"Managerial Compensation Incentives and Corporate Debt Maturity: Evidence from FAS 123R","authors":"Jieying Hong","doi":"10.2139/ssrn.3076703","DOIUrl":"https://doi.org/10.2139/ssrn.3076703","url":null,"abstract":"Abstract This paper studies the effect of risk-taking incentives provided by option compensation on corporate debt maturity choices. The Financial Accounting Standard (FAS) 123R is used as a quasi-natural experiment to establish causality. FAS 123R requires firms to expense stock options at fair value, which has resulted in a dramatic reduction in option compensation and managerial risk-taking incentives. We find that treated firms significantly increased debt maturity relative to control firms. Further tests identify that the alleviation of creditor-shareholder agency conflicts due to the adoption of FAS 123R is the underlying mechanism driving the result.","PeriodicalId":123329,"journal":{"name":"Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive)","volume":"53 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114130358","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: 13
Dynamic Adverse Selection and Liquidity 动态逆向选择与流动性
Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive) Pub Date : 2018-11-16 DOI: 10.2139/ssrn.3190206
Ioanid Roşu
{"title":"Dynamic Adverse Selection and Liquidity","authors":"Ioanid Roşu","doi":"10.2139/ssrn.3190206","DOIUrl":"https://doi.org/10.2139/ssrn.3190206","url":null,"abstract":"Does a larger fraction of informed trading generate more illiquidity, as measured by the bid--ask spread? We answer this question in the negative in the context of a dynamic dealer market where the fundamental value follows a random walk, provided we consider the long run (stationary) equilibrium. More informed traders tend to generate more adverse selection and hence larger spreads, but at the same time cause faster learning by the market makers and hence smaller spreads. This latter effect offsets the adverse selection effect when the trading frequency is equal to one, and dominates at larger frequencies.","PeriodicalId":123329,"journal":{"name":"Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130460753","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
Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns 特质波动率、预期变化与股票收益的横截面
Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive) Pub Date : 2018-01-29 DOI: 10.2139/ssrn.2995069
Nicole Branger, Hendrik Hülsbusch, T. Frederik Middelhoff
{"title":"Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns","authors":"Nicole Branger, Hendrik Hülsbusch, T. Frederik Middelhoff","doi":"10.2139/ssrn.2995069","DOIUrl":"https://doi.org/10.2139/ssrn.2995069","url":null,"abstract":"We show that the widely documented negative relation between idiosyncratic volatility (IVOL) and expected returns can be explained by the mean reversion of stocks' idiosyncratic volatilities. We use option-implied information to extract the mean reversion speed of IVOL in an almost model-free fashion. This allows us to identify stocks for which past IVOL is a bad proxy for expected IVOL. These stocks solely drive the negative relation, and a long--short portfolio earns a monthly risk-adjusted return of 2.74%, on average. In a horse race, the mean reversion speed is superior to prominent competing explanations of the IVOL puzzle.","PeriodicalId":123329,"journal":{"name":"Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127755916","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: 5
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