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Jump tail risk exposure and the cross-section of stock returns 跳跃尾部风险暴露与股票收益截面
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-02 DOI: 10.1016/j.jempfin.2024.101565
Lykourgos Alexiou , Leonidas S. Rompolis
{"title":"Jump tail risk exposure and the cross-section of stock returns","authors":"Lykourgos Alexiou ,&nbsp;Leonidas S. Rompolis","doi":"10.1016/j.jempfin.2024.101565","DOIUrl":"10.1016/j.jempfin.2024.101565","url":null,"abstract":"<div><div>We introduce a new jump tail risk measure retrieved from option prices. We examine the cross-sectional pricing of stocks according to their sensitivities to jump tail risk. We find a negative market price of jump tail risk. A high-low portfolio sorted by jump tail risk betas delivers a statistically and economically significant negative premium of -9.95% per year. Risk-adjusted returns are also negative and highly significant. We document that the negative jump tail risk premium is mainly driven by its downside jump tail risk component. On the contrary, the premium of the high-low portfolio sorted by upside jump tail risk betas is insignificant. The negative premium of downside jump tail risk is significant when controlling for various risk factor loadings and firm characteristics, and remains strong for large firms. Our results carry over to a predictive setting, in which we compare subsequent realized returns of the quintile portfolios sorted by downside jump tail risk betas estimated over the previous period.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101565"},"PeriodicalIF":2.1,"publicationDate":"2024-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
High-frequency realized stochastic volatility model 高频实现随机波动模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-02 DOI: 10.1016/j.jempfin.2024.101559
Toshiaki Watanabe , Jouchi Nakajima
{"title":"High-frequency realized stochastic volatility model","authors":"Toshiaki Watanabe ,&nbsp;Jouchi Nakajima","doi":"10.1016/j.jempfin.2024.101559","DOIUrl":"10.1016/j.jempfin.2024.101559","url":null,"abstract":"<div><div>A new high-frequency realized stochastic volatility model is proposed. Apart from the standard daily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit to intraday returns by extensively incorporating intraday volatility patterns. The daily realized volatility calculated using intraday returns is incorporated into the high-frequency stochastic volatility model by considering the bias in the daily realized volatility caused by microstructure noise. The volatility of intraday returns is assumed to consist of the autoregressive process, the seasonal component of the intraday volatility pattern, and the announcement component responding to macroeconomic announcements. A Bayesian method via Markov chain Monte Carlo is developed for the analysis of the proposed model. The empirical analysis using the 5-minute returns of E-mini S&amp;P 500 futures provides evidence that our high-frequency realized stochastic volatility model improves in-sample model fit and volatility forecasting over the high-frequency stochastic volatility model.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101559"},"PeriodicalIF":2.1,"publicationDate":"2024-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653723","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Trading volume shares and market quality: Pre- and post- zero commissions 交易量份额和市场质量：零佣金前和零佣金后
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jempfin.2024.101564
Pankaj K. Jain , Suchismita Mishra , Shawn M. O'Donoghue , Le Zhao
{"title":"Trading volume shares and market quality: Pre- and post- zero commissions","authors":"Pankaj K. Jain ,&nbsp;Suchismita Mishra ,&nbsp;Shawn M. O'Donoghue ,&nbsp;Le Zhao","doi":"10.1016/j.jempfin.2024.101564","DOIUrl":"10.1016/j.jempfin.2024.101564","url":null,"abstract":"<div><div>After the adoption of zero-commissions by major brokers, they increasingly route orders to wholesale market makers to possibly earn payment for order flow given the loss of commissions. Retail investors assets held by zero-commission and commission-charging brokers increase 7 % and decrease 9 %, respectively. Retail investors earn less price improvement per share and submit more orders and smaller orders. Effective spreads decline because retail limit prices are increasingly posted within the bid-ask spread. Intraday volatility increases and price impact falls, as orders become more uninformed, while realized spreads remain unchanged.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101564"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705149","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Time-varying variance decomposition of macro-finance term structure models 宏观金融期限结构模型的时变方差分解
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-30 DOI: 10.1016/j.jempfin.2024.101563
Anne Lundgaard Hansen
{"title":"Time-varying variance decomposition of macro-finance term structure models","authors":"Anne Lundgaard Hansen","doi":"10.1016/j.jempfin.2024.101563","DOIUrl":"10.1016/j.jempfin.2024.101563","url":null,"abstract":"<div><div>This paper studies time-series patterns in the contribution of macroeconomic shocks to the variation in U.S. Treasury bond yields. I consider a term structure model with time-varying conditional volatility, which implies time variation in the decomposition of forecast error variances. Based on the model, I show that the macroeconomic contribution to the variation in short-term yields has increased since the 1970s. A similar pattern characterizes the variation in the expectations on future interest rates. This trend is not reflected in long-term yields because macroeconomic shocks drive negative correlations between short-rate expectations and term premia. Finally, I show that accounting for time-varying volatility is important even for estimating the average macroeconomic contribution to yield curve volatility over a fixed sample.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101563"},"PeriodicalIF":2.1,"publicationDate":"2024-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Technological shocks and stock market volatility over a century 一个世纪以来的技术冲击和股市波动
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-25 DOI: 10.1016/j.jempfin.2024.101561
Afees A. Salisu , Riza Demirer , Rangan Gupta
{"title":"Technological shocks and stock market volatility over a century","authors":"Afees A. Salisu ,&nbsp;Riza Demirer ,&nbsp;Rangan Gupta","doi":"10.1016/j.jempfin.2024.101561","DOIUrl":"10.1016/j.jempfin.2024.101561","url":null,"abstract":"<div><div>This paper provides a novel perspective on the innovation-stock market nexus by examining the predictive relationship between technological shocks and stock market volatility using data over a period of more than 140 years. Utilizing annual patent data for the U.S. and a large set of economies to create proxies for local and global technological shocks and a mixed-sampling data (MIDAS) framework, we present robust evidence that technological shocks capture significant predictive information regarding future realizations of stock market volatility, both in- and out-of-sample and at both the short and long forecast horizons. Further economic analysis shows that investment portfolios created by the volatility forecasts obtained from the forecasting models that incorporate technological shocks as predictors in volatility models experience significantly lower return volatility in the out-of-sample horizons, which in turn helps to improve the risk-return profile of those portfolios. Our findings present a novel take on the nexus between technological innovations and stock market dynamics and pave the way for several interesting avenues for future research regarding the role of technological innovations on asset pricing tests and portfolio models.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101561"},"PeriodicalIF":2.1,"publicationDate":"2024-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Is firm-level political risk priced in the corporate bond market? 公司层面的政治风险是否已在公司债券市场上定价？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-24 DOI: 10.1016/j.jempfin.2024.101562
Luis Ceballos , Vanja Piljak , Laurens Swinkels
{"title":"Is firm-level political risk priced in the corporate bond market?","authors":"Luis Ceballos ,&nbsp;Vanja Piljak ,&nbsp;Laurens Swinkels","doi":"10.1016/j.jempfin.2024.101562","DOIUrl":"10.1016/j.jempfin.2024.101562","url":null,"abstract":"<div><div>We investigate whether political risk is priced in the cross-section of corporate bond returns by using a text-based measure of firm-level political risk. We document a positive and significant political risk premium after controlling for bond and firm characteristics, conventional risk factors, and exposure to aggregate economic policy uncertainty. Bonds with higher political and credit risk, as well as smaller, more illiquid, and longer maturity corporate bonds exhibit a larger political risk premium. Time-series analysis indicates that monetary policy shocks and common shocks in the equity and bond market exhibit a statistically significant and positive association with the political risk premium. Our findings reveal the importance of idiosyncratic political risk beyond common risk factors and aggregate economic policy uncertainty.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101562"},"PeriodicalIF":2.1,"publicationDate":"2024-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571894","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are stablecoins the money market mutual funds of the future? 稳定币是未来的货币市场共同基金吗？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-22 DOI: 10.1016/j.jempfin.2024.101557
Nico Oefele, Dirk G. Baur, Lee A. Smales
{"title":"Are stablecoins the money market mutual funds of the future?","authors":"Nico Oefele,&nbsp;Dirk G. Baur,&nbsp;Lee A. Smales","doi":"10.1016/j.jempfin.2024.101557","DOIUrl":"10.1016/j.jempfin.2024.101557","url":null,"abstract":"<div><div>This paper is the first to provide a comprehensive comparison of two financial instruments: stablecoins and money market mutual funds (MMFs). We observe similar reserve asset backing for fiat reserve backed (FRB) stablecoins and MMFs, similar importance of sponsor support, and the same negative association between macroeconomic indicators and peg deviations. Both instruments serve as short-term facilities for investors to park funds and their primary market microstructure is similar. However, FRB stablecoins exhibit larger dispersions from the dollar peg, significantly higher volatility, and a lack of transparency in their market infrastructure. Larger FRB stablecoins show reduced volatility compared to their smaller counterparts, with peg deviation drivers more closely resembling those of MMFs. We conclude that FRB stablecoins demonstrate remarkable similarities to MMFs and have the potential to become the MMFs of the future.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101557"},"PeriodicalIF":2.1,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic? 现有的公司财务理论能否解释 COVID-19 大流行期间的证券发行？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-20 DOI: 10.1016/j.jempfin.2024.101558
Marie Dutordoir , Joshua Shemesh , Chris Veld , Qing Wang
{"title":"Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?","authors":"Marie Dutordoir ,&nbsp;Joshua Shemesh ,&nbsp;Chris Veld ,&nbsp;Qing Wang","doi":"10.1016/j.jempfin.2024.101558","DOIUrl":"10.1016/j.jempfin.2024.101558","url":null,"abstract":"<div><div>We document substantial increases in corporate security offerings during the COVID pandemic. While the increase in seasoned equity offerings (SEOs) can be attributed to shifts in macroeconomic conditions, increases in convertible and straight bond offerings cannot be explained by standard security choice determinants. We furthermore find that COVID-period SEO announcements are often contaminated with Research and Development (R&amp;D)-related news, with the SEO proceeds more likely to be hoarded as cash. Overall, COVID-period SEOs align with market timing behavior, but the increase in COVID-period convertibles and straight bonds cannot be reconciled with pre-pandemic corporate financing rationales or government interventions. We furthermore demonstrate that the COVID pandemic differs substantially from the Global Financial Crisis (GFC) in terms of security offering choices and announcement returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101558"},"PeriodicalIF":2.1,"publicationDate":"2024-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142553629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio 短期动能和反转、换手率以及股价与 52 周最高价的比率
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-18 DOI: 10.1016/j.jempfin.2024.101556
Chen Chen , Chris Stivers , Licheng Sun
{"title":"Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio","authors":"Chen Chen ,&nbsp;Chris Stivers ,&nbsp;Licheng Sun","doi":"10.1016/j.jempfin.2024.101556","DOIUrl":"10.1016/j.jempfin.2024.101556","url":null,"abstract":"<div><div>We show that short-term reversal behavior declines with a stock’s turnover and the prior month’s price-to-52-week-high ratio (PTH), shifting to momentum for stocks with both a relatively high turnover and PTH. This behavior of consecutive one-month individual stock returns is robust to subperiod analysis, risk adjustments, and alternative methodologies. Our findings suggest opposing channels. First, promoting short-term momentum, our evidence implies a PTH-anchoring underreaction to recent news, consistent with the short-term contrarian price-dampening channel of Atmaz et al. (2024) with higher turnover implying a stronger contrarian-induced underreaction. Second, promoting short-term reversals, our evidence reinforces the importance of the well-known liquidity-provision-compensation channel. Reversals are especially strong for low-PTH, low-turnover stocks, where the lower PTH implies a generally smaller-cap, less-liquid stock and the lower turnover implies a weaker contrarian-induced underreaction. We also find that the return behaviors vary with dispersion in analysts’ earnings forecasts and with market-wide sentiment, in a manner consistent with these channels.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101556"},"PeriodicalIF":2.1,"publicationDate":"2024-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142532660","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial statement disaggregation and bank loan pricing 财务报表分类和银行贷款定价
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-30 DOI: 10.1016/j.jempfin.2024.101555
Chien-Lin Lu , Chih-Yung Lin , Tse-Chun Lin , Bin Miao
{"title":"Financial statement disaggregation and bank loan pricing","authors":"Chien-Lin Lu ,&nbsp;Chih-Yung Lin ,&nbsp;Tse-Chun Lin ,&nbsp;Bin Miao","doi":"10.1016/j.jempfin.2024.101555","DOIUrl":"10.1016/j.jempfin.2024.101555","url":null,"abstract":"<div><div>We analyze whether the disaggregation quality (DQ) of a borrower's financial statement is associated with its bank loan pricing. We find that firms with high DQ have low spreads on their bank loans. This result is more pronounced for firms with positive financial prospects, higher risk, and no prior banking relationship with the lenders. Moreover, a high DQ is associated with a low total cost of borrowing, high credit rating, and low spreads on bond issues. Overall, our results show that disaggregated financial statements facilitate bank loan pricing by enabling lenders to make better predictions of their borrowers’ future performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101555"},"PeriodicalIF":2.1,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142424067","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","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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