发布求助
文献互助 智能选刊 最新文献

Review of Asset Pricing Studies最新文献

筛选
英文 中文
Which Factors for Corporate Bond Returns? 哪些因素影响公司债券的回报?
Review of Asset Pricing Studies Pub Date : 2023-02-23 DOI: 10.1093/rapstu/raad005
Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk
{"title":"Which Factors for Corporate Bond Returns?","authors":"Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk","doi":"10.1093/rapstu/raad005","DOIUrl":"https://doi.org/10.1093/rapstu/raad005","url":null,"abstract":"Abstract Factors related to carry, duration, equity momentum, and the term structure are the most important risk factors in corporate bond markets. From a large set of factor candidates, we condense an optimal model with a two-step approach. First, we filter out factors that do not systematically move bond prices. Second, we use a Bayesian model selection approach to determine the optimal, parsimonious model. Many prominent factors do not move prices or are redundant. We document the new model’s good performance compared to that of existing models in time-series and cross-sectional tests and analyze the economic drivers of the factors. (JEL G12, C11, C52)","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"554 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136174814","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 Other Insiders: Personal Trading by Brokers, Analysts, and Fund Managers 其他内幕:经纪人、分析师和基金经理的个人交易
Review of Asset Pricing Studies Pub Date : 2023-02-14 DOI: 10.1093/rapstu/raad002
Henk Berkman, Paul Koch, P Joakim Westerholm
{"title":"The Other Insiders: Personal Trading by Brokers, Analysts, and Fund Managers","authors":"Henk Berkman, Paul Koch, P Joakim Westerholm","doi":"10.1093/rapstu/raad002","DOIUrl":"https://doi.org/10.1093/rapstu/raad002","url":null,"abstract":"Abstract When brokers, analysts, and fund managers buy or sell stocks for their own accounts, these “access employees” of financial institutions outperform retail investors over short windows up to a month. They earn particularly high abnormal returns when they trade before earnings announcements, revisions of analyst recommendations, and large stock price changes. We also find evidence consistent with profitable front-running and information leakage around the execution of corporate insider trades and block trades by mutual funds, as well as the release of revised recommendations by analysts who work at the same brokerage firm. (JEL G12, G14, G18) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135727307","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
Limits of Arbitrage and Primary Risk-Taking in Derivative Securities 衍生证券的套利限制与主要风险承担
Review of Asset Pricing Studies Pub Date : 2023-02-14 DOI: 10.1093/rapstu/raad003
Meng Tian, Liuren Wu
{"title":"Limits of Arbitrage and Primary Risk-Taking in Derivative Securities","authors":"Meng Tian, Liuren Wu","doi":"10.1093/rapstu/raad003","DOIUrl":"https://doi.org/10.1093/rapstu/raad003","url":null,"abstract":"Abstract Classic option pricing theory values a derivative contract via dynamic delta hedging and treating the contract as redundant relative to the underlying security. Dynamic delta hedging proves highly effective in practice, but the remaining risk is still large because of the practical limits of arbitrage. Derivatives can play primary roles in risk allocation. This paper quantifies the percentage variance reduction of delta hedging on U.S. stock options, proposes a top-down return attribution framework to identify the remaining risk sources of the delta-hedged option investment, and constructs a statistical return factor model to explain the variations of the delta-hedged option returns. (JEL C13, C51, G12, G13)","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"339 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135727306","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
Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns 产品市场竞争、劳动力流动与股票收益横截面
Review of Asset Pricing Studies Pub Date : 2023-01-09 DOI: 10.1093/rapstu/raad001
Shamim Ahmed, Ziwen Bu, Xiaoxia Ye
{"title":"Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns","authors":"Shamim Ahmed, Ziwen Bu, Xiaoxia Ye","doi":"10.1093/rapstu/raad001","DOIUrl":"https://doi.org/10.1093/rapstu/raad001","url":null,"abstract":"Abstract This paper explores the impact of product market competition on the positive relation between labor mobility (LM) and future returns. We develop a production-based model and formalize the intuition that low exposure to systematic risk in a concentrated industry limits LM’s amplifying effect on operating leverage. Therefore, the model predicts a stronger positive relation between LM and expected returns for firms in competitive industries. Consistent with the model’s prediction, we empirically find that LM predicts returns only among firms in competitive industries. This evidence suggests that the intensity of competition in firms’ product market potentially drives the positive LM-return relation. (JEL G12, G14, J69) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136378272","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
Predicting Returns Out of Sample: A Naïve Model Averaging Approach 预测样本外收益:Naïve模型平均方法
IF 13.1
Review of Asset Pricing Studies Pub Date : 2022-12-19 DOI: 10.1093/rapstu/raac021
Huafeng (Jason) Chen, Liang Jiang, Weiwei Liu
{"title":"Predicting Returns Out of Sample: A Naïve Model Averaging Approach","authors":"Huafeng (Jason) Chen, Liang Jiang, Weiwei Liu","doi":"10.1093/rapstu/raac021","DOIUrl":"https://doi.org/10.1093/rapstu/raac021","url":null,"abstract":"We propose a naïve model averaging (NMA) method that averages the OLS out-of-sample forecasts and the historical means and produces mostly positive out-of-sample R2s for the variables significant in sample in forecasting market returns. Surprisingly, more sophisticated weighting schemes that combine the predictive variable and historical mean do not consistently perform better. With unstable economic relations and a limited sample size, sophisticated methods may lead to overfitting or be subject to more estimation errors. In such situations, our simple methods may work better. Model misspecification, rather than declining return predictability, likely explains the predictive performance of the NMA method.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"12 5","pages":""},"PeriodicalIF":13.1,"publicationDate":"2022-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138512359","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
Small Rebalanced Portfolios Often Beat the Market over Long Horizons 小型的再平衡投资组合往往在长期内优于市场
IF 13.1
Review of Asset Pricing Studies Pub Date : 2022-12-06 DOI: 10.1093/rapstu/raac020
Ádám Faragó, Erik Hjalmarsson
{"title":"Small Rebalanced Portfolios Often Beat the Market over Long Horizons","authors":"Ádám Faragó, Erik Hjalmarsson","doi":"10.1093/rapstu/raac020","DOIUrl":"https://doi.org/10.1093/rapstu/raac020","url":null,"abstract":"\u0000 The distribution of long-run compound returns to portfolio strategies is greatly affected by periodic rebalancing. Over time, buy-and-hold portfolios gradually lose diversification as extreme long-run skewness in individual stock returns leads to increasingly concentrated holdings. For long investment horizons, small rebalanced portfolios holding only a fraction of all stocks therefore achieve better diversification than much larger marketwide buy-and-hold portfolios. Consequently, over long horizons, rebalanced portfolios tend to outperform buy-and-hold portfolios, and risk-averse investors prefer the former. Empirical results strongly support the theoretical predictions and add further evidence to the strong empirical performance of (small) equal-weighted portfolios.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"39 1","pages":""},"PeriodicalIF":13.1,"publicationDate":"2022-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73188251","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
Cheaper Is Not Better: On the ‘Superior’ Performance of High-Fee Mutual Funds 便宜并不好:谈高费用共同基金的“优越”表现
IF 13.1
Review of Asset Pricing Studies Pub Date : 2022-11-21 DOI: 10.1093/rapstu/raac019
Jinfei Sheng, Mikhail Simutin, Terry Zhang
{"title":"Cheaper Is Not Better: On the ‘Superior’ Performance of High-Fee Mutual Funds","authors":"Jinfei Sheng, Mikhail Simutin, Terry Zhang","doi":"10.1093/rapstu/raac019","DOIUrl":"https://doi.org/10.1093/rapstu/raac019","url":null,"abstract":"In contrast with theoretical predictions, high-fee active equity funds generate worse net-of-expenses performance. We show that this fee-performance puzzle is driven by the preference of high-fee funds for stocks with low operating profitability and high investment rates, characteristics associated with low expected returns. After controlling for exposures to profitability and investment factors, we find high-fee funds significantly outperform low-fee funds before expenses and achieve similarly poor net-of-fees performance. In resolving the fee-performance puzzle, our findings provide support to the theoretical prediction that net alphas are unrelated to fees and challenge the common advice to prefer low-fee funds over high-fee counterparts.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"7 3","pages":""},"PeriodicalIF":13.1,"publicationDate":"2022-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138512335","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
In Search of Habitat 寻找栖息地
IF 13.1
Review of Asset Pricing Studies Pub Date : 2022-11-15 DOI: 10.1093/rapstu/raac018
Xuanjuan Chen, Zhenzhen Sun, Tong Yao, Tong Yu
{"title":"In Search of Habitat","authors":"Xuanjuan Chen, Zhenzhen Sun, Tong Yao, Tong Yu","doi":"10.1093/rapstu/raac018","DOIUrl":"https://doi.org/10.1093/rapstu/raac018","url":null,"abstract":"We perform portfolio-level analyses to understand insurance firms’ preferred habitat behavior in the government bond market. Based on portfolio durations and portfolio weights across maturities, we find that interest rate risk exposures of insurers’ portfolios are related to their operating liabilities and financing constraints. We show that this habitat behavior significantly affects bond pricing. During the “quantitative easing” era, bond purchases by the Federal Reserve have a larger impact on the yields of Treasury bonds with a higher habitat demand.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"3 3","pages":""},"PeriodicalIF":13.1,"publicationDate":"2022-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138512343","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 Geography of Subadvisors, Managerial Structure, and the Performance of International Equity Mutual Funds 副顾问的地理分布、管理结构与国际股票共同基金的绩效
IF 13.1
Review of Asset Pricing Studies Pub Date : 2022-11-10 DOI: 10.1093/rapstu/raac017
Markus S. Broman, Mike Densmore, P. Nolan
{"title":"The Geography of Subadvisors, Managerial Structure, and the Performance of International Equity Mutual Funds","authors":"Markus S. Broman, Mike Densmore, P. Nolan","doi":"10.1093/rapstu/raac017","DOIUrl":"https://doi.org/10.1093/rapstu/raac017","url":null,"abstract":"\u0000 We study whether subadvising abroad provides an information advantage that improves the performance of international equity mutual funds. We find that it does not. In fact, internationally outsourced funds underperform on a risk-adjusted basis by up to 162 bps annually. The underperformance is concentrated in funds managed by single subadvisors, who are less likely to be terminated after poor performance compared to funds with multiple subadvisors. We dissect fund performance by the location of its subadvisors and find that international subadvisors underperform primarily in their local holdings. Finally, we show that the industry is nonetheless on a path toward equilibrium.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"28 1","pages":""},"PeriodicalIF":13.1,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90716508","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
What Drives the Size and Value Factors? 驱动规模和价值因素的因素是什么?
IF 13.1
Review of Asset Pricing Studies Pub Date : 2022-10-03 DOI: 10.1093/rapstu/raac016
Jiacui Li
{"title":"What Drives the Size and Value Factors?","authors":"Jiacui Li","doi":"10.1093/rapstu/raac016","DOIUrl":"https://doi.org/10.1093/rapstu/raac016","url":null,"abstract":"I find that approximately 30% of price fluctuations in the Fama-French size and value factors are nonfundamental price pressures driven by correlated fund flows, which generate price movements that revert over time. Is this really demand-based price pressure? I show that the price effects happen exclusively in periods when mutual funds place trades, a fact that is difficult to explain using traditional mechanisms such as unobserved investor preference changes. The estimated price elasticity is also consistent with other studies. Overall, my findings show that a sizable fraction of size and value factor movements do not represent economic risk.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"4 2","pages":""},"PeriodicalIF":13.1,"publicationDate":"2022-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138512341","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信