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Reopening Effect of COVID-19 Vaccines on Corporate Earnings COVID-19疫苗对企业盈利的影响
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-10-29 DOI: 10.2139/ssrn.3689939
Harrison G. Hong, Jeffrey D. Kubik, Neng Wang, Xiao Xu, Jinqiang Yang
{"title":"Reopening Effect of COVID-19 Vaccines on Corporate Earnings","authors":"Harrison G. Hong, Jeffrey D. Kubik, Neng Wang, Xiao Xu, Jinqiang Yang","doi":"10.2139/ssrn.3689939","DOIUrl":"https://doi.org/10.2139/ssrn.3689939","url":null,"abstract":"We model the contribution of a vaccine to the rebound in corporate earnings the year following the onset of COVID-19 while accounting for the role of fiscal and monetary measures. A vaccine that reopens the economy leads to a jump in earnings, while temporary fiscal and monetary support for households and businesses leads to higher short-run earnings growth before a vaccine arrives. We show that our model can be consistently estimated using revisions of value-weighted industry-level consensus earnings forecasts. We first present reduced-form evidence that security analysts account for both effects. Our model estimates then suggest that the reopening effect is as important as the short-run growth effect in explaining the rebound in corporate earnings.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116661137","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
Mean-Semivariance Portfolio Optimization Using Minimum Average Partial 基于最小平均偏的均值-半方差投资组合优化
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-10-11 DOI: 10.2139/ssrn.3542727
Andrea Rigamonti, K. Lučivjanská
{"title":"Mean-Semivariance Portfolio Optimization Using Minimum Average Partial","authors":"Andrea Rigamonti, K. Lučivjanská","doi":"10.2139/ssrn.3542727","DOIUrl":"https://doi.org/10.2139/ssrn.3542727","url":null,"abstract":"Mean-semivariance and minimum semivariance portfolios are a preferable alternative to mean-variance and minimum variance portfolios whenever the asset returns are not symmetrically distributed. However, similarly to other portfolios based on downside risk measures, they are particularly affected by parameter uncertainty because the estimates of the necessary inputs are less reliable than the estimates of the full covariance matrix. We address this problem by performing PCA using Minimum Average Partial on the downside correlation matrix in order to reduce the dimension of the problem and, with it, the estimation errors. We apply our strategy to various datasets and show that it greatly improves the performance of mean-semivariance optimization, largely closing the gap in out-of-sample performance with the strategies based on the covariance matrix.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114252048","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
Extending Portfolio Theory to Compound Returns 将投资组合理论扩展到复合收益
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-09-07 DOI: 10.2139/ssrn.3875870
H. Bessembinder
{"title":"Extending Portfolio Theory to Compound Returns","authors":"H. Bessembinder","doi":"10.2139/ssrn.3875870","DOIUrl":"https://doi.org/10.2139/ssrn.3875870","url":null,"abstract":"Exact solutions are presented for the mean, variance, and skewness of compound portfolio returns, with and without periodic rebalancing, in a setting where single-period returns are symmetric. More frequent rebalancing reduces portfolio volatility and is unambiguously preferred by mean-variance investors in the absence of investment skill. However, more frequent rebalancing and broader diversification both reduce compound return skewness. An investor with a sufficiently strong taste for skewness may prefer a more concentrated portfolio that is rebalanced less frequently, even in the absence of investment skill, particularly if the investment horizon is long.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116029261","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
Asset Prices, Global Portfolios, and the International Financial System 资产价格、全球投资组合和国际金融体系
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-09-03 DOI: 10.2139/ssrn.3882255
Maxime Sauzet
{"title":"Asset Prices, Global Portfolios, and the International Financial System","authors":"Maxime Sauzet","doi":"10.2139/ssrn.3882255","DOIUrl":"https://doi.org/10.2139/ssrn.3882255","url":null,"abstract":"I adapt the framework of Sauzet (2021) to an international setting to characterize the global solution to the international portfolio problem in full generality, a long-standing open issue in international finance. In this two-country, two-good environment, investors have recursive preferences and a bias in consumption towards their local good. The framework highlights the role of the allocation of wealth across international investors for portfolios, asset prices, and risk sharing, an aspect that had received little emphasis in such a setting. The model allows to revisit various results in the international portfolio choice literature. In addition, I show that it can replicate a number of facts about the structure and dynamics of the international financial system, and of asset returns in that context.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129458436","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
Leverage Constraints Affect Portfolio Choice: Evidence from Closed-End Funds 杠杆约束影响投资组合选择:来自封闭式基金的证据
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-08-23 DOI: 10.2139/ssrn.3722010
Petri Jylha, Paul Rintamäki
{"title":"Leverage Constraints Affect Portfolio Choice: Evidence from Closed-End Funds","authors":"Petri Jylha, Paul Rintamäki","doi":"10.2139/ssrn.3722010","DOIUrl":"https://doi.org/10.2139/ssrn.3722010","url":null,"abstract":"The market for auction rate securities collapsed in February 2008, significantly constraining some closed-end funds' access to leverage. We use this exogenous shock to study empirically how leverage constraints affect investors' portfolio choice. We find that tightened constraints result in an increased appetite for systematic risk: in the months following the shock, the affected funds bought significantly more high-beta stocks, and sold significantly more low-beta stocks, than their unaffected peers. Our results are consistent with the theoretical predictions of Black (1972) and Frazzini and Pedersen (2014) and provide causal evidence of the central mechanism underlying asset pricing under leverage constraints.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131592978","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
Narrow Framing and Under-Diversification: Empirical Evidence from Chinese Households 狭义框架与多元化不足:来自中国家庭的经验证据
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3751769
Yuxin Xie, Ruohua Tang, A. Pantelous, Xiaomeng Lu
{"title":"Narrow Framing and Under-Diversification: Empirical Evidence from Chinese Households","authors":"Yuxin Xie, Ruohua Tang, A. Pantelous, Xiaomeng Lu","doi":"10.2139/ssrn.3751769","DOIUrl":"https://doi.org/10.2139/ssrn.3751769","url":null,"abstract":"“Narrow framing” is a widely documented behavioral bias that predicts, instead of evaluating all their risk components as a whole, people often evaluate risks in isolation, separately from other risks they are already facing. Using representative survey data from the China Household Finance Survey (CHFS), we estimate the extent of narrow framing among Chinese households, using their portfolio choices. Conditional on stock market participation, we find most Chinese households exhibit significant narrow framing. Based on the obtained estimates, we investigate whether the variation in narrow framing can help to explain households’ diversification decisions cross-sectionally. Our results support the theoretical view that narrow framing negatively predicts the extent of diversification. Most importantly, we argue that narrow framing is an irreplaceable ingredient of understanding households' portfolio choices, even after considering measurement error and a wide set of indicators of under-diversification.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114668459","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
Portfolio Selection: A Target-Distribution Approach 投资组合选择:目标分布方法
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-07-26 DOI: 10.2139/ssrn.3893870
Nathan Lassance, Frédéric Vrins
{"title":"Portfolio Selection: A Target-Distribution Approach","authors":"Nathan Lassance, Frédéric Vrins","doi":"10.2139/ssrn.3893870","DOIUrl":"https://doi.org/10.2139/ssrn.3893870","url":null,"abstract":"We introduce a general framework to the portfolio-selection problem in which investors aim at targeting a distribution of returns, which can accommodate a wide range of preferences. The resulting optimal portfolio has a return density that is as close as possible to the target-return density. We study the theoretical properties of this approach for two classes of target distribution that allow for different first four moments. Three results that stand out are, first, that the fit to higher moments is controlled by the entropy of standardized portfolio returns when targeting a Gaussian distribution. Second, when targeting a specific Dirac-delta distribution, no norm-constrained portfolio can stochastically dominate the proposed optimal portfolio. Third, if the target-return mean and variance are located on or above the efficient frontier, the optimal portfolio is mean-variance efficient when asset returns are Gaussian. For non-Gaussian returns, the optimal portfolio may move away from the frontier to better fit the higher moments of the target distribution. The empirical analysis illustrates that the proposed framework helps the investor obtain portfolio returns in line with her preferences.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122226878","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
Household Responses to Social Security Policy Risk 家庭对社会保障政策风险的反应
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-07-25 DOI: 10.2139/ssrn.3934894
David A. Chapman, Michael Gallmeyer, Chunyu Yang
{"title":"Household Responses to Social Security Policy Risk","authors":"David A. Chapman, Michael Gallmeyer, Chunyu Yang","doi":"10.2139/ssrn.3934894","DOIUrl":"https://doi.org/10.2139/ssrn.3934894","url":null,"abstract":"We examine the optimal consumption/saving and portfolio allocation responses of rational households subject to an exogenous change in the terms of the Social Security contract. Our analysis uses key features of the actual contract, an exogenous labor income process calibrated to IRS administrative records, and one-time random shocks that are calibrated to the intermediary assumptions of the Social Security Administration's actuary. Our calibrated experiments show that inaction following a policy shock, on its own, does not imply inattention or some other form of behavioral decision making. Inaction is a common occurrence in the optimal responses of rational households of different ages and wealth levels given realistic levels of background risk.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123594589","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
Managing Political Risk in International Portfolios 管理国际投资组合中的政治风险
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-07-20 DOI: 10.2139/ssrn.3891070
G. Pagliardi, S. Lotfi, E. Paparoditis, S. Zenios
{"title":"Managing Political Risk in International Portfolios","authors":"G. Pagliardi, S. Lotfi, E. Paparoditis, S. Zenios","doi":"10.2139/ssrn.3891070","DOIUrl":"https://doi.org/10.2139/ssrn.3891070","url":null,"abstract":"We show that internationally diversified portfolios carry sizeable political risk premia. Using a portfolio selection model with tail risk, we obtain political efficient frontiers from skewed return distributions to manage political risk, and design an inference test to draw conclusions. We find that politically hedged international portfolios of US investors realize performance gains against a broad market index (and other benchmarks). Currency hedging does not eliminate political risk. The diversification gains increase for long-horizon investors. Qualitatively identical results are obtained for Eurozone and Japan. Our findings inform the home equity bias puzzle literature, and are robust to several model specifications.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121520534","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
Optimal Portfolio Selection With VaR and Portfolio Insurance Constraints Under Rank-Dependent Expected Utility Theory 等级依赖期望效用理论下VaR和组合保险约束下的最优投资组合选择
Econometric Modeling: Capital Markets - Portfolio Theory eJournal Pub Date : 2021-07-05 DOI: 10.2139/ssrn.3880289
Hui Mi, Z. Xu
{"title":"Optimal Portfolio Selection With VaR and Portfolio Insurance Constraints Under Rank-Dependent Expected Utility Theory","authors":"Hui Mi, Z. Xu","doi":"10.2139/ssrn.3880289","DOIUrl":"https://doi.org/10.2139/ssrn.3880289","url":null,"abstract":"This paper investigates two optimal portfolio selection problems for a rank-dependent utility investor who needs to manage his risk exposure: one with a single Value-at-Risk (VaR) constraint and the other with joint VaR and portfolio insurance constraints. The two models generalize existing models under expected utility theory and behavioral theory. To obtain explicit optimal solutions, the martingale method, quantile formulation, and relaxation method are used. We have specifically identified an equivalent condition under which the VaR constraint is effective. A numerical analysis is carried out to demonstrate theoretical results, and additional financial insights are presented. We find that, in bad market states, the risk of the optimal investment outcome is reduced when compared to existing models without or with one constraint.","PeriodicalId":215177,"journal":{"name":"Econometric Modeling: Capital Markets - Portfolio Theory eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124269342","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
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