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Diversification Meltdown or Just Fat Tails? 多元化危机还是肥尾?
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-06-01 DOI: 10.2139/ssrn.908881
R. Pownall, Catherine S. Forbes, K. Koedijk, P. Kofman
{"title":"Diversification Meltdown or Just Fat Tails?","authors":"R. Pownall, Catherine S. Forbes, K. Koedijk, P. Kofman","doi":"10.2139/ssrn.908881","DOIUrl":"https://doi.org/10.2139/ssrn.908881","url":null,"abstract":"An increase in correlation during turbulent market conditions implies a reduction in the benefits arising from portfolio diversification. Unfortunately, it is exactly then that these benefits are most needed. We investigate the robustness of recent empirical results that indicate correlation breakdown by deriving theoretical truncated and exceedance correlations using alternative distributional assumptions. Analytical results show that the empirical meltdown in diversification could be a result of assuming conditional normally distributed returns. When assuming a popular alternative distribution model - the bivariate Student-t distribution - we find significantly less support for diversification meltdown.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134017234","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
Asset Pricing Anomalies and Time-Varying Betas: A New Specification Test for Conditional Factor Models 资产定价异常与时变贝塔:条件因子模型的新规范检验
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-06-01 DOI: 10.2139/ssrn.891234
D. Basu, A. Stremme
{"title":"Asset Pricing Anomalies and Time-Varying Betas: A New Specification Test for Conditional Factor Models","authors":"D. Basu, A. Stremme","doi":"10.2139/ssrn.891234","DOIUrl":"https://doi.org/10.2139/ssrn.891234","url":null,"abstract":"In this paper, we develop a new measure of specification error, and thus derive new statistical tests, for conditional factor models, i.e. models in which the factor loadings (and hence risk premia) are allowed to be time-varying. Our test exploits the close links between the stochastic discount factor framework and mean-variance efficiency. We show that a given set of factors is a true conditional asset pricing model if and only if the efficient frontiers spanned by the traded assets and the factor-mimicking portfolios, respectively, intersect. In fact, we show that our test is proportional to the difference in squared Sharpe ratios of these two frontiers. We draw three main conclusions from our empirical findings. First, optimal scaling clearly improves the performance of asset pricing models, to the point where several of the scaled models are capable of explaining asset pricing anomalies. However, even the optimally scaled models fall short of being true conditional asset pricing models in that they fail to price actively managed portfolios correctly. Second, there is significant time-variation in factor loadings and hence risk premia, which plays a significant role in asset pricing. Moreover, the optimal factor loadings display a high degree of non-linearity in the conditioning variables, suggesting that the linear scaling prevalent in the literature is sub-optimal and does not capture the inter-temporal pattern of risk premia. Third, skewness and kurtosis do matter in the conditional setting, while adding little to unconditional performance.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123373213","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
Time Costs of Risky Asset Management: Dynamic Portfolio Choice and Limited Participation 风险资产管理的时间成本:动态投资组合选择和有限参与
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-05-01 DOI: 10.2139/ssrn.904109
D. Ahn, I. Kim, Sun‐Joong Yoon
{"title":"Time Costs of Risky Asset Management: Dynamic Portfolio Choice and Limited Participation","authors":"D. Ahn, I. Kim, Sun‐Joong Yoon","doi":"10.2139/ssrn.904109","DOIUrl":"https://doi.org/10.2139/ssrn.904109","url":null,"abstract":"We posit the time required for managing risky asset investment including conducting research and monitoring its performance. An economic agent, who should allocate a limited amount of time to labor, leisure and risky investment, is subject to the opportunity time cost, which is forgone labor or leisure. We explore the dynamic optimal portfolio, consumption, labor and leisure choices in the presence of such time costs. Our model is shown to yield the stock holding ratio and limited participation in the stock market consistent with historical behavior of U.S. households. In addition, it outperforms benchmark models including standard consumption-based models in explaining the cross-sectional dispersion of consumption, wealth, income, and labor/leisure time observed in demographic data.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114142429","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: 5
European Financial Market Integration and German Cross Border Portfolio Flows 欧洲金融市场一体化与德国跨境投资组合流动
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-04-20 DOI: 10.2139/ssrn.903705
Barbara Berkel
{"title":"European Financial Market Integration and German Cross Border Portfolio Flows","authors":"Barbara Berkel","doi":"10.2139/ssrn.903705","DOIUrl":"https://doi.org/10.2139/ssrn.903705","url":null,"abstract":"The paper analyzes the effect of European financial integration, especially of the EMU, on gross portfolio flows between Germany and 47 countries from 1987 to 2002. A gravity model of asset trade a la Martin and Rey (2004) is estimated. The following results are found: (1) There is substantially more portfolio trade between Germany and countries also participating in stage one and three of the EMU. More specifically: Since 2001 cross border portfolio flows between Germany and EMU countries are significantly larger compared to flows between Germany and Denmark, the UK, and Sweden which are part of the EU-15 but not of the Euro area. (2) Developments intertwined with the formation of the EMU such as changes in exchange rate volatility, financial market development and increased real economic integration among EMU countries are not able to account for this effect. (3) The EMU effect on gross portfolio flows is larger for transacting countries with more developed banking and equity markets and for country pairs with more correlated business cycles.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"161 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132572093","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: 5
The Value of Public and Private Information in Firms: An Agency View 企业中公共信息和私人信息的价值:一个代理视角
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-03-01 DOI: 10.2139/ssrn.676063
M. Dierker
{"title":"The Value of Public and Private Information in Firms: An Agency View","authors":"M. Dierker","doi":"10.2139/ssrn.676063","DOIUrl":"https://doi.org/10.2139/ssrn.676063","url":null,"abstract":"Both private and public information are valuable and affect the cost of capital (Easley and O'Hara, 2004). We endogenize the production of these types of information within the firm. In a simple agency problem in the presence of adverse selection, both private and public information are valuable because they lead to more efficient contracting. We solve for the optimal linear contract and obtain simple expressions of how the value of the firm depends on its information environment. Assuming that the manager has access to technologies that produce both public and private information, we solve for the equilibrium at the information acquisition stage.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128230105","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
A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets 两个价格的故事:多种市场中的流动性和资产价格
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-03-01 DOI: 10.2139/ssrn.685841
Justin S. P. Chan, Dong Hong, M. Subrahmanyam
{"title":"A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets","authors":"Justin S. P. Chan, Dong Hong, M. Subrahmanyam","doi":"10.2139/ssrn.685841","DOIUrl":"https://doi.org/10.2139/ssrn.685841","url":null,"abstract":"This paper investigates the liquidity effect in asset pricing by studying the liquidity-premium relationship of an American depositary receipt (ADR) and its underlying share. Using the [Amihud, Yakov, 2002. Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets 5, 31-56] measure, the turnover ratio and trading infrequency as proxies for liquidity, we show that a higher ADR premium is associated with higher ADR liquidity and lower home share liquidity, in terms of changes in these variables. We find that the liquidity effects remain strong after we control for firm size and a number of country characteristics, such as the expected change in the foreign exchange rate, the stock market performance, as well as several variables measuring the openness and transparency of the home market.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133205851","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: 100
Portfolio Choice and Menu Exposure 投资组合选择和菜单曝光
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-02-07 DOI: 10.2139/ssrn.888661
M. Massa, A. Karlsson, A. Simonov
{"title":"Portfolio Choice and Menu Exposure","authors":"M. Massa, A. Karlsson, A. Simonov","doi":"10.2139/ssrn.888661","DOIUrl":"https://doi.org/10.2139/ssrn.888661","url":null,"abstract":"We study the impact of menu representation on portfolio choice and we show that investors choose assets as a function of the way they are represented in the menu available to them. We use the choices of mutual funds for retirement accounts of the Swedish population. We show that investors prefer the funds that belong to categories that are more represented in the menu. More numerous categories attract more investment than what portfolio theory would suggest. Moreover, an exogenous change in the menu changes investor demand. An increase in the representation of a category in the menu increases investment in the funds belonging to the same category, including the already existing ones. By using information on the performance of the funds that investors choose and the degree of concentration of the investor portfolio, we show that there is a consistent positive correlation between the investor's sensitivity to menu exposure and his degree of informativeness. This suggests that menu exposure represents a rational way of coping with limited (private) information that decreases as information improves. Our findings shed light on the home bias puzzle and insight on the determinants of style investing. They also have direct normative implications in terms of Social Security reform.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"05 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127138361","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: 12
Systematic Movements in Macroeconomic Releases and the Term Structure of Interest Rates 宏观经济释放的系统运动和利率期限结构
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2005-06-01 DOI: 10.2139/ssrn.762367
Liuren Wu, Biao Lu
{"title":"Systematic Movements in Macroeconomic Releases and the Term Structure of Interest Rates","authors":"Liuren Wu, Biao Lu","doi":"10.2139/ssrn.762367","DOIUrl":"https://doi.org/10.2139/ssrn.762367","url":null,"abstract":"In this paper, we study the fundamental relation between the numerous macroeconomic releases and the term structure of interest rates via a dynamic factor model. We use two dynamic factors to extract the systematic information from a wide array of noisy and sparsely observed macroeconomic releases, and then link the two factors to the daily term structure of interest rates using no-arbitrage arguments. The two dynamic factors can predict over 76 percent of the daily variation in LIBOR and swap rates across all maturities from one month to ten years. Inflation-related releases have large and positive impacts on interest rates of all maturities. Shocks on these releases lead to parallel shifts on the yield curve. In contrast, shocks on many employment and output related releases generate a slope effect on the term structure. Upward shocks on these variables tend to flatten an otherwise upward sloping yield curve. The estimated factor dynamics and market prices of factor risks provide further insight on the fundamental reasons behind the different term structure impacts from different macroeconomic releases.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114836145","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
Trading the Forward Bias: Are There Limits to Speculation? 交易远期偏见:投机有限制吗?
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 1900-01-01 DOI: 10.2139/ssrn.702201
Markus Hochradl, C. Wagner
{"title":"Trading the Forward Bias: Are There Limits to Speculation?","authors":"Markus Hochradl, C. Wagner","doi":"10.2139/ssrn.702201","DOIUrl":"https://doi.org/10.2139/ssrn.702201","url":null,"abstract":"In this paper we investigate whether trading the forward bias allows for economically significant excess returns. We find that bias-trading strategies can be viewed as attractive investment opportunities per se, useful diversification devices, and promising portfolio extensions for active fund managers trying to beat their benchmarks. The empirical results, which also mirror the problems arising in attempts to explain the puzzle by risk-premia, are consistent with market evidence that the bias is traded in practice. Overall, our findings suggest that limits to speculation are unlikely to provide a (stand-alone) explanation for the persistence of the forward bias.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128447211","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: 49
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