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PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series最新文献

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Tax Evasion and Managerial Incentives: Evidence from the FATCA and Offshore Mutual Funds 逃税和管理激励:来自FATCA和离岸共同基金的证据
PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series Pub Date : 2021-06-26 DOI: 10.2139/ssrn.3683674
S. Cheng, M. Massa, H. Zhang
{"title":"Tax Evasion and Managerial Incentives: Evidence from the FATCA and Offshore Mutual Funds","authors":"S. Cheng, M. Massa, H. Zhang","doi":"10.2139/ssrn.3683674","DOIUrl":"https://doi.org/10.2139/ssrn.3683674","url":null,"abstract":"Using the Foreign Account Tax Compliance Act (FATCA) as an exogenous shock that reduces the tax advantages of offshore funds sold to U.S. investors, we document that affected funds significantly enhance their performance as a response. Enhanced performance comes from more active management and better processing of information and is more substantial for tax-sensitive funds. Our results reveal a novel substitution effect between tax evasion and performance in the offshore market, which has important normative implications, showing that curbing offshore tax evasion can help improve efficiency in the global asset management industry and related markets.","PeriodicalId":128394,"journal":{"name":"PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131868557","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
Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements 彩票的时变需求:收益公告前的猜测
PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series Pub Date : 2019-11-09 DOI: 10.2139/ssrn.2881340
Bibo Liu, Huijun Wang, Jianfeng Yu, Shen Zhao
{"title":"Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements","authors":"Bibo Liu, Huijun Wang, Jianfeng Yu, Shen Zhao","doi":"10.2139/ssrn.2881340","DOIUrl":"https://doi.org/10.2139/ssrn.2881340","url":null,"abstract":"Abstract Investor preferences for holding speculative assets are likely to be more pronounced ahead of firms’ earnings announcements, probably because of lower inventory costs and immediate payoffs or because of enhanced investor attention. We show that the demand for lottery-like stocks is stronger ahead of earnings announcements, leading to a price run-up for these stocks. In sharp contrast to the standard underperformance of lottery-like stocks, lottery-like stocks outperform non-lottery stocks by about 52 basis points in the 5-day window ahead of earnings announcements. However, this return spread is reversed by 80 basis points in the 5-day window after the announcements. Moreover, this inverted-V-shaped pattern on cumulative return spreads is more pronounced among firms with a greater retail order imbalance, among firms with low institutional ownership, and in regions with a stronger gambling propensity, and it is also robust after controlling for past 12-month returns and various proxies for investor attention.","PeriodicalId":128394,"journal":{"name":"PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series","volume":"334 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122990714","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: 36
Variance Risk Premiums in Emerging Markets 新兴市场的差异风险溢价
PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series Pub Date : 2019-05-01 DOI: 10.2139/ssrn.3199522
Fang Qiao, Lai Xu, Xiaoyan Zhang, Hao Zhou
{"title":"Variance Risk Premiums in Emerging Markets","authors":"Fang Qiao, Lai Xu, Xiaoyan Zhang, Hao Zhou","doi":"10.2139/ssrn.3199522","DOIUrl":"https://doi.org/10.2139/ssrn.3199522","url":null,"abstract":"We provide first time the emerging market variance risk premiums (EMVRP) from 2006 to 2019, based on nine emerging stocks and options markets---Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan. The EMVRP significantly predicts international stock returns and currency appreciation rates, especially for horizons longer than five months. This is in sharp contrast with the predictive pattern of the developed market variance risk premium (DMVRP), which is more important over horizons shorter than five months. These findings are consistent with an illustrative model incorporating partial market integration and heterogeneous economic uncertainty.","PeriodicalId":128394,"journal":{"name":"PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116917808","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: 7
Investor Sentiment and the Pricing of Macro Risks for Hedge Funds 投资者情绪与对冲基金宏观风险定价
PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series Pub Date : 2019-02-08 DOI: 10.2139/ssrn.3330968
Zhuo Chen, Andrea Lu, Xiaoquan Zhu
{"title":"Investor Sentiment and the Pricing of Macro Risks for Hedge Funds","authors":"Zhuo Chen, Andrea Lu, Xiaoquan Zhu","doi":"10.2139/ssrn.3330968","DOIUrl":"https://doi.org/10.2139/ssrn.3330968","url":null,"abstract":"Hedge funds with larger macroeconomic-risk betas do not earn higher returns, in contrast to the theoretically predicted risk-return trade-off. Meanwhile, high macro-beta funds deliver higher returns than low macro-beta funds following low-sentiment months, whereas the risk-return relation is flat following high-sentiment months. Our findings are consistent with the conjecture that standard asset pricing theory is still at work when market participants are rational. On the other hand, sophisticatedly managed portfolios including hedge funds are likely to be affected by sentiment-induced mispricing, especially for those with high macro-risk loadings. Fund flows and fund managers' sentiment timing are possible driving forces underlying the observed pattern.","PeriodicalId":128394,"journal":{"name":"PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series","volume":"145 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122503961","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
A Study of the Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model 一个平方根利率扩散模型的EMM、GMM、QMLE和MLE的有限样本性质研究
PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series Pub Date : 2000-08-01 DOI: 10.2139/ssrn.249288
Hao Zhou
{"title":"A Study of the Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model","authors":"Hao Zhou","doi":"10.2139/ssrn.249288","DOIUrl":"https://doi.org/10.2139/ssrn.249288","url":null,"abstract":"This paper performs a Monte Carlo study on Efficient Method of Moments (EMM), Generalized Method of Moments (GMM), Quasi-Maximum Likelihood Estimation (QMLE), and Maximum Likelihood Estimation (MLE) for a continuous-time square-root model under two challenging scenarios--high persistence in mean and strong conditional volatility--that are commonly found in estimating the interest rate process. MLE turns out to be the most efficient of the four methods, but its finite sample inference and convergence rate suffer severely from approximating the likelihood function, especially in the scenario of highly persistent mean. QMLE comes second in terms of estimation efficiency, but it is the most reliable in generating inferences. GMM with lag-augmented moments has overall the lowest estimation efficiency, possibly due to the ad hoc choice of moment conditions. EMM shows an accelerated convergence rate in the high volatility scenario, while its overrejection bias in the mean persistence scenario is unacceptably large. Finally, under a stylized alternative model of the US interest rates, the overidentification test of EMM obtains the ultimate power for detecting misspecification, while the GMM J-test is increasingly biased downward in finite samples.","PeriodicalId":128394,"journal":{"name":"PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126768482","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: 12
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