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Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series最新文献

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The Impact of the Deposit Channel on the International Transmission of Monetary Shocks 存款渠道对货币冲击国际传导的影响
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2021-10-07 DOI: 10.2139/ssrn.3938284
S. Sarkisyan, Tasaneeya Viratyosin
{"title":"The Impact of the Deposit Channel on the International Transmission of Monetary Shocks","authors":"S. Sarkisyan, Tasaneeya Viratyosin","doi":"10.2139/ssrn.3938284","DOIUrl":"https://doi.org/10.2139/ssrn.3938284","url":null,"abstract":"What role do bank deposits play in the international transmission of US monetary policy shocks? Using a panel of US commercial banks, we find that the deposit channel acts on global banks to transmit US monetary policy shocks internationally. Specifically, we document that after a 1 p.p. unexpected increase to the Fed Funds rate, global banks increase deposit spreads on average by 0.2 p.p. and experience a 2.9% decline in deposit growth. As a result, global banks increase growth rates of net transfers from foreign branches by 39.4% to finance lending. Moreover, we find that global banks reduce lending growth by half as much as domestic banks per percent of deposit outflow. Finally, global banks contract foreign lending growth by 1.3%.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124973422","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
Do Managers Learn from Institutional Investors Through Direct Interactions? 管理者是否通过直接互动向机构投资者学习?
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2020-11-01 DOI: 10.2139/ssrn.3689966
R. Zhang
{"title":"Do Managers Learn from Institutional Investors Through Direct Interactions?","authors":"R. Zhang","doi":"10.2139/ssrn.3689966","DOIUrl":"https://doi.org/10.2139/ssrn.3689966","url":null,"abstract":"Prior evidence suggests that managers learn indirectly from stock prices, which contain private information impounded by informed investors’ trades. However, stock price is an indirect aggregate signal, which is likely to be insufficient for managerial learning. I propose that managers seek out direct interactions with institutional investors as a further mechanism to learn relevant information about their firms. Using investor conferences and investor days as the medium for direct learning, I find that managers seek more direct interactions when they have a high demand for information concerning industry trends and supply chain dynamics, and when they expect their current base of institutional investors to be knowledgeable. I also predict that information learned through direct interactions will be reflected in the manager’s subsequent corporate and personal decisions. I find that the frequency and accuracy of management forecasts increase after direct learning. Comparing insider trades in the same firm-month, trades executed by participating insiders within seven days after a conference earn greater positive abnormal returns, consistent with managers’ information set expanding as a result of their direct learning.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125693069","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: 10
Mutual Fund Flows and Performance in (Imperfectly) Rational Markets? (不完全)理性市场中的共同基金流动与表现?
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2020-10-26 DOI: 10.2139/ssrn.3744290
N. Roussanov, Hongxun Ruan, Y. Wei
{"title":"Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?","authors":"N. Roussanov, Hongxun Ruan, Y. Wei","doi":"10.2139/ssrn.3744290","DOIUrl":"https://doi.org/10.2139/ssrn.3744290","url":null,"abstract":"Does the observed relationship between mutual fund flows and recent performance represent irrational “return chasing” or rational learning about unobserved fund manager skill in the presence of decreasing returns to scale? We estimate a structural model of investor beliefs implicit in the fund flows and compare it with the rational Bayesian benchmark that estimated from past performance data. Our estimates imply that investors are more optimistic about fund manager’s average skill level than warranted by the historical data. They over-weight recent performance in a manner consistent with models based on the representativeness heuristic, yet respond slowly to changes in these beliefs, consistent with limited attention and/or informational frictions. Flows to retail funds imply more strongly biased beliefs than those to institutional funds.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134182177","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: 6
Information Chasing versus Adverse Selection 信息追逐与逆向选择
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2020-07-28 DOI: 10.2139/ssrn.3662566
Gábor Pintér, Chaojun Wang, Junyuan Zou
{"title":"Information Chasing versus Adverse Selection","authors":"Gábor Pintér, Chaojun Wang, Junyuan Zou","doi":"10.2139/ssrn.3662566","DOIUrl":"https://doi.org/10.2139/ssrn.3662566","url":null,"abstract":"Contrary to the prediction of the classic adverse selection theory, more informed traders could receive better pricing relative to less informed traders in over-the-counter financial markets. Dealers actively chase informed orders to better position their future quotes and avoid winner's curse in subsequent trades. On a multi-dealer platform, dealers' incentive of information chasing exactly offsets their fear of adverse selection. In a more general setting, information chasing can dominate adverse selection when dealers face differentially informed speculators, while adverse selection dominates when dealers face differentially informed trades from a given speculator. These two seemingly contrasting predictions are supported by empirical evidence from the UK government bond market.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134350622","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
Democratization, Inequality, and Risk Premia 民主化、不平等和风险溢价
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2019-12-24 DOI: 10.2139/ssrn.3488208
Max Miller
{"title":"Democratization, Inequality, and Risk Premia","authors":"Max Miller","doi":"10.2139/ssrn.3488208","DOIUrl":"https://doi.org/10.2139/ssrn.3488208","url":null,"abstract":"Periods of democratization exhibit economically large spikes in risk premia. Using a panel data set covering 57 countries over 200 years, I show that during periods of democratization, the equity premium and corporate credit spreads are significantly elevated, despite little to no effect on aggregate consumption and dividends. Further, I use a quasi-natural experiment coming from a shift in Catholic church attitudes toward democracy and show that this change was associated with a large increase in average excess returns for majority Catholic and autocratic countries. Finally, I show that these results can be rationalized through a standard political economy model in which the wealthiest segments of society are negatively impacted by the consolidation of democracy. These results are key to understanding how political institutions and the distribution of wealth and political power influence asset returns.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116469521","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
CMBS and Conflicts of Interest: Evidence from a Natural Experiment on Servicer Ownership CMBS与利益冲突:来自服务所有权自然实验的证据
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2015-05-12 DOI: 10.2139/ssrn.2605538
Maisy Wong
{"title":"CMBS and Conflicts of Interest: Evidence from a Natural Experiment on Servicer Ownership","authors":"Maisy Wong","doi":"10.2139/ssrn.2605538","DOIUrl":"https://doi.org/10.2139/ssrn.2605538","url":null,"abstract":"I study a natural experiment in commercial mortgage-backed securities (CMBS) where some special servicers changed owners (treatment group) from 2009-2010 but not others (placebo group). The ownership change linked sellers (special servicers who liquidate CMBS assets on behalf of bondholders) and buyers (new owners), presenting a classic self-dealing conflict. Average loss rates for liquidations are 11 percentage points higher (implying additional losses of $3.2 billion for bondholders) after treated special servicers changed owners, but not for the placebo group. I provide the first direct measure of self-dealing that links buyers and sellers in securities markets in the United States.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122291192","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
Sensitivity and Computational Complexity in Financial Networks 金融网络的敏感性和计算复杂性
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2015-03-26 DOI: 10.2139/ssrn.3680255
B. Hemenway, S. Khanna
{"title":"Sensitivity and Computational Complexity in Financial Networks","authors":"B. Hemenway, S. Khanna","doi":"10.2139/ssrn.3680255","DOIUrl":"https://doi.org/10.2139/ssrn.3680255","url":null,"abstract":"Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic Review, Elliott, Golub and Jackson proposed a simple model for capturing the dynamics of complex financial networks. In Elliott, Golub and Jackson's model, each institution in the network can buy underlying assets or percentage shares in other institutions (cross-holdings) and if any institution's value drops below a critical threshold value, its value suffers an additional failure cost. \u0000This work shows that even in simple model put forward by Elliott, Golub and Jackson there are fundamental barriers to understanding the risks that are inherent in a network. First, if institutions are not required to maintain a minimum amount of self-holdings, an $epsilon$ change in investments by a single institution can have an arbitrarily magnified influence on the net worth of the institutions in the system. This sensitivity result shows that if institutions have small self-holdings, then estimating the market value of an institution requires almost perfect information about every cross-holding in the system. Second, we show that even if a regulator has complete information about all cross-holdings in the system, it may be computationally intractable to even estimate the number of failures that could be caused by an arbitrarily small shock to the system. Together, these results show that any uncertainty in the cross-holdings or values of the underlying assets can be amplified by the network to arbitrarily large uncertainty in the valuations of institutions in the network.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131983586","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: 21
Durable Goods, Inflation Risk, and Equilibrium Asset Prices 耐用品，通胀风险和均衡资产价格
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2015-01-01 DOI: 10.2139/ssrn.1786968
Bjørn Eraker, Ivan Shaliastovich, Wenyu Wang
{"title":"Durable Goods, Inflation Risk, and Equilibrium Asset Prices","authors":"Bjørn Eraker, Ivan Shaliastovich, Wenyu Wang","doi":"10.2139/ssrn.1786968","DOIUrl":"https://doi.org/10.2139/ssrn.1786968","url":null,"abstract":"High expected inflation is known to predict low future real growth. We show that, relative to nondurable goods sectors of the economy, such predictability is significantly more pronounced in durable sectors. Consistent with this macroeconomic evidence, the equity returns of durable goods-producing firms have a larger negative exposure to expected inflation risks. We estimate a two-good recursive utility model that features persistent growth fluctuations and inflation nonneutrality for durable and nondurable consumption. Our model can quantitatively account for the levels and volatilities of bond and equity prices, and correlations of equity returns with bond returns and with expected inflation. Received January 25, 2012; accepted July 13, 2015 by Editor Geert Bekaert.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122052397","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
Measuring Skill in the Mutual Fund Industry 共同基金行业的衡量技巧
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2014-08-14 DOI: 10.2139/ssrn.2038108
J. Berk, Jules H. van Binsbergen
{"title":"Measuring Skill in the Mutual Fund Industry","authors":"J. Berk, Jules H. van Binsbergen","doi":"10.2139/ssrn.2038108","DOIUrl":"https://doi.org/10.2139/ssrn.2038108","url":null,"abstract":"Using the value that a mutual fund extracts from capital markets as the measure of skill, we find that the average mutual fund has used this skill to generate about $3.2 million per year. Large cross-sectional differences in skill persist for as long as ten years. Investors recognize this skill and reward it by investing more capital with better funds. Better funds earn higher aggregate fees, and a strong positive correlation exists between current compensation and future performance. The cross-sectional distribution of managerial skill is predominantly reflected in the cross-sectional distribution of fund size, not gross alpha.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129384744","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: 597
Financial Crowding Out 金融挤出
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series Pub Date : 2013-06-24 DOI: 10.2139/ssrn.3676697
J. Graham, Mark T. Leary, Michael R. Roberts
{"title":"Financial Crowding Out","authors":"J. Graham, Mark T. Leary, Michael R. Roberts","doi":"10.2139/ssrn.3676697","DOIUrl":"https://doi.org/10.2139/ssrn.3676697","url":null,"abstract":"Using a novel dataset of accounting and market information that spans most publicly traded firms over the last century, we show that government deficit financing crowds out nonfinancial corporate debt financing and investment. Specifically, an increase in the supply of treasury debt is associated with a significant reduction in corporate leverage, debt issuances, and investment, but no significant change in corporate equity issuances. Further, this crowding out effect is present across industries and is more pronounced for larger, less risky firms whose debt is a closer substitute for treasuries. The channel through which this effect appears to operate is financial intermediaries, whose balance sheets reveal a substitution between lending to the federal government and lending to the corporate sector.","PeriodicalId":223772,"journal":{"name":"Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129224228","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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