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Eye in the Sky: Private Satellites and Government Macro Data 天空之眼:私人卫星和政府宏观数据
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-12-15 DOI: 10.2139/ssrn.3446701
Abhiroop Mukherjee, George Panayotov, Janghoon Shon
{"title":"Eye in the Sky: Private Satellites and Government Macro Data","authors":"Abhiroop Mukherjee, George Panayotov, Janghoon Shon","doi":"10.2139/ssrn.3446701","DOIUrl":"https://doi.org/10.2139/ssrn.3446701","url":null,"abstract":"We develop an approach to identify whether recent technological advancements -- such as the rise of commercial satellite-based macro estimates -- can provide an alternative to government data. We measure the extent to which satellite estimates affect the value of a government macro announcement using its asset price impact. Our identification relies on cloud cover, which prevents satellites from observing economic activity at a few key hubs. Applying our approach, we find that some satellite estimates are now so effective that markets are no longer surprised by government announcements. Our results point to a future in which the resolution of macro uncertainty is smoother, and governments have less control over macro information.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"156 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117325753","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: 25
Financial Market Implications of Trade War 贸易战对金融市场的影响
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-12-13 DOI: 10.2139/ssrn.3503156
Ali K. Ozdagli
{"title":"Financial Market Implications of Trade War","authors":"Ali K. Ozdagli","doi":"10.2139/ssrn.3503156","DOIUrl":"https://doi.org/10.2139/ssrn.3503156","url":null,"abstract":"The trade war between the United States and China has a significant impact on high-yield spreads, long-term interest rates, and stock prices. However, the 10-year-minus-2-year Treasury yield spread, whose inversion generated significant media chatter about a looming recession, does not seem to be influenced by news about the trade war. These results are consistent with the relatively modest macroeconomic impact of the trade war predicted by previous studies and suggest that the financial-market impact is primarily driven by changes in risk premia.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"121 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116897106","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
Diversifying Trends 多元化的趋势
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-12-01 DOI: 10.2139/ssrn.3523001
Charles-Marie Chevalier, S. Darolles
{"title":"Diversifying Trends","authors":"Charles-Marie Chevalier, S. Darolles","doi":"10.2139/ssrn.3523001","DOIUrl":"https://doi.org/10.2139/ssrn.3523001","url":null,"abstract":"This paper provides a new method to disentangle the systematic component from the idiosyncratic part of the risk associated with trend following strategies. A simple statistical approach, combined with standard dimension reduction techniques, enables us to extract the common trending part in any asset price. We apply this methodology on a large set of futures, covering all the major asset classes, and extract a common risk factor, called CoTrend. We show that common trends are higher for some cross-asset class pairs than from intra-asset class ones, such as JPY/USD and Gold. This result helps to create sectors in a portfolio diversification context, especially for trend following strategies. In addition, the CoTrend factor helps to understand arbitrage-based hedge fund strategies, which by essence are decorrelated with the standard risk factors.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116724598","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
Equity Financing, Equity Lending, and Price Pressure: The Case of DRIP Arbitrage 股权融资、股权借贷与价格压力:以DRIP套利为例
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-11-15 DOI: 10.2139/ssrn.3552416
Tze Chuan ‘Chewie’ Ang, X. Chang, Xiaoxiong Hu, P. Verwijmeren
{"title":"Equity Financing, Equity Lending, and Price Pressure: The Case of DRIP Arbitrage","authors":"Tze Chuan ‘Chewie’ Ang, X. Chang, Xiaoxiong Hu, P. Verwijmeren","doi":"10.2139/ssrn.3552416","DOIUrl":"https://doi.org/10.2139/ssrn.3552416","url":null,"abstract":"Dividend reinvestment plans (DRIPs) with discount offer shareholders the choice between receiving cash dividends or additional shares at a discount. We provide evidence on DRIP arbitrage where DRIP arbitrageurs extract the DRIP discount through short-term equity borrowing. We show the relation between equity lending, equity financing, and stock returns through DRIP arbitrage. DRIP arbitrage increases search costs in the equity lending market and creates negative price pressure in the stock market around dividend dates. Restrictions on equity lending impede DRIP arbitrage and negatively affect equity financing. Our results are more pronounced when the demand for DRIP arbitrage is higher.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116735587","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
An Empirical Analysis of Factor Seasonalities 因素季节性的实证分析
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-11-08 DOI: 10.2139/ssrn.2908720
F. Lam, Ya Li, G. Tang, Jing Xu
{"title":"An Empirical Analysis of Factor Seasonalities","authors":"F. Lam, Ya Li, G. Tang, Jing Xu","doi":"10.2139/ssrn.2908720","DOIUrl":"https://doi.org/10.2139/ssrn.2908720","url":null,"abstract":"Seasonalities in asset returns, including the January effect, the Halloween effect and the same-calendar-month effect, are widely documented in the literature. We show that a number of popular factors in the empirical asset pricing literature exhibit some well-known seasonalities. Most of the factor models we consider are able to effectively capture seasonalities in the returns of our test portfolios. Carhart four-factor performs the best in terms of explaining the seasonalities of underlying markets. It is the first attempt to empirically test Keloharju et al. (2016) hypothesis and extend it to compare asset pricing models.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123806843","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
The Underpricing of Spanish REITs When Going Public 西班牙房地产投资信托基金上市时定价过低
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-10-31 DOI: 10.2139/ssrn.3577594
Leticia Castaño, José Emilio Farinós Viñas, A. Ibáñez
{"title":"The Underpricing of Spanish REITs When Going Public","authors":"Leticia Castaño, José Emilio Farinós Viñas, A. Ibáñez","doi":"10.2139/ssrn.3577594","DOIUrl":"https://doi.org/10.2139/ssrn.3577594","url":null,"abstract":"This study analyses underpricing in a sample of 41 Real Estate Investment Trusts (REITs) from the Spanish market between November 2013 and January 2019. The results show a significant underpricing on the initial-day (either when we compute raw or market-adjusted initial returns) concentrated in the primary market. Besides, price adjustment continues until the third day as we find significant raw and market-adjusted buy-and-hold returns. This underpricing is not accounted for by the theories of information asymmetry but instead by some signalling theories related to capital structure, by the pre-listing stock market conditions and by the peculiarities of the market analysed.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130342785","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
Dynamic Information Aggregation and Welfare 动态信息聚合与福利
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-10-23 DOI: 10.2139/ssrn.3474331
L. Bernardinelli, P. Guasoni, E. Mayerhofer
{"title":"Dynamic Information Aggregation and Welfare","authors":"L. Bernardinelli, P. Guasoni, E. Mayerhofer","doi":"10.2139/ssrn.3474331","DOIUrl":"https://doi.org/10.2139/ssrn.3474331","url":null,"abstract":"In a market with a safe rate and a risky asset that pays a continuous dividend stream depending on a latent state of the economy, several agents make consumption and investment decisions based on public information — prices and dividends — and private signals. We obtain the equilibrium in closed form, assuming that each investor has constant absolute risk aversion. Equilibrium prices do not reveal all the private signals, but lead to the same estimate of the state of the economy that one would hypothetically obtain from the knowledge of all private signals. Accurate information leads to low volatility, ostensibly improving market efficiency. But it also reduces each agent's consumption through a decrease in the price of risk. Overall, the equilibrium reaches perfect informational efficiency at the expense of agents' welfare.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130960216","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
Supplementary Appendix to 'Ambiguous State Dynamics, Learning, and Endogenous Long-Run Risk' “模糊状态动力学、学习和内生长期风险”的补充附录
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-09-30 DOI: 10.2139/ssrn.3500206
Hongseok Choi
{"title":"Supplementary Appendix to 'Ambiguous State Dynamics, Learning, and Endogenous Long-Run Risk'","authors":"Hongseok Choi","doi":"10.2139/ssrn.3500206","DOIUrl":"https://doi.org/10.2139/ssrn.3500206","url":null,"abstract":"This appendix proves the auxiliary claims in the paper (negative results concerning learning under ambiguity) and provides further details on the asset pricing example (derivation of the valuation PDEs, the numerical algorithm used to solve them, and further details on the simulations).","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115325670","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
Earnings Quality and Book-to-Market in the Cross Section of Expected Returns 预期收益横截面上的盈余质量和账面市值比
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-09-01 DOI: 10.2139/ssrn.3467747
V. Athanasakou, George Athanassakos
{"title":"Earnings Quality and Book-to-Market in the Cross Section of Expected Returns","authors":"V. Athanasakou, George Athanassakos","doi":"10.2139/ssrn.3467747","DOIUrl":"https://doi.org/10.2139/ssrn.3467747","url":null,"abstract":"The purpose of this paper is to examine whether earnings quality contributes to the book-to- market’s predictive power in the cross section of stock returns. Earnings quality is embedded in the value-growth effect given that retained earnings is a key part of the book value of equity. Earnings quality reflects the effects of managerial discretion on reported earnings, which has been shown to be associated with both risk and behavioral biases in asset pricing. Our results affirm the existence of a value premium and show that the value premium is more pronounced within poor earnings quality stocks. Moreover, we find that poor earnings quality contributes to the value premium mainly through the pricing of growth stocks. Our results suggest that the quality of reported earnings has an incremental role in shaping expected returns of value versus growth stocks.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121172255","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
Betting on the Likelihood of a Short Squeeze 押注空头挤压的可能性
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2019-08-13 DOI: 10.2139/ssrn.3437085
I. Filippou, P. A. Garcia-Ares, F. Zapatero
{"title":"Betting on the Likelihood of a Short Squeeze","authors":"I. Filippou, P. A. Garcia-Ares, F. Zapatero","doi":"10.2139/ssrn.3437085","DOIUrl":"https://doi.org/10.2139/ssrn.3437085","url":null,"abstract":"Short squeezes often lead to large increases in stock prices. Using a novel measure of the likelihood of short squeezes we show that it explains lottery or skewness-seeking-investing. As in other instances of securities with right-skewed returns documented in the literature, these investors buy call options instead of the underlying stocks, to maximize the right-skewness of their investment. In particular, they are willing to pay a premium for the upside potential. This type of investment strategy has attracted much attention recently, but we document that it has been used for decades.","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"136 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122773782","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
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