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Dynamic Portfolio Execution 动态投资组合执行
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2017-05-22 DOI: 10.2139/ssrn.2089837
Gerry Tsoukalas, Jiang Wang, K. Giesecke
{"title":"Dynamic Portfolio Execution","authors":"Gerry Tsoukalas, Jiang Wang, K. Giesecke","doi":"10.2139/ssrn.2089837","DOIUrl":"https://doi.org/10.2139/ssrn.2089837","url":null,"abstract":"We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each individual asset, we consider cross-asset interactions in these two dimensions, which substantially enriches the nature of the problem. Focusing on the market microstructure, we develop a tractable order book model to capture liquidity supply/demand dynamics in a multi-asset setting, which allows us to formulate and solve the optimal portfolio execution problem. We find that cross-asset risk and liquidity considerations are of critical importance in constructing the optimal execution policy. We show that even when the goal is to trade a single asset, its optimal execution may involve transitory trades in other assets. In general, optimally managing the risk of the portfolio during the execution process affects the time synchronization of trading in different assets. Moreover, links in the liquidity across assets lead to complex patterns in the optimal execution policy. In particular, we highlight cases where aggregate costs can be reduced by temporarily overshooting one’s target portfolio.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"123 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125041350","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: 39
(Dis)Incentive Effects of Fund Flows in Money Management (二)资金流动在资金管理中的激励效应
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2017-02-01 DOI: 10.2139/ssrn.2132366
Juan M. Sotes-Paladino
{"title":"(Dis)Incentive Effects of Fund Flows in Money Management","authors":"Juan M. Sotes-Paladino","doi":"10.2139/ssrn.2132366","DOIUrl":"https://doi.org/10.2139/ssrn.2132366","url":null,"abstract":"I present a dynamic investment model in which mutual funds' inferior performance is an equilibrium response to incentives rather than the consequence of low skills. In the model, a skilled (informed) manager responds to investors' flows, which are a convex function of performance relative to lesser-informed peers. The manager shifts risk in certain situations but herds with her peers in most other situations. While risk shifting exacerbates portfolio risk, herding leads to low excess returns. The resulting policy is overly conservative and hurts risk-adjusted performance. I present evidence consistent with the model over a sample of U.S. mutual funds.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123315044","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
Risk Premia Harvesting Through Dual Momentum 通过双重动力获取风险溢价
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2016-10-01 DOI: 10.2139/SSRN.2042750
G. Antonacci
{"title":"Risk Premia Harvesting Through Dual Momentum","authors":"G. Antonacci","doi":"10.2139/SSRN.2042750","DOIUrl":"https://doi.org/10.2139/SSRN.2042750","url":null,"abstract":"Momentum is the premier market anomaly. It is nearly universal in its applicability. This paper examines multi-asset momentum with respect to what can make it most effective for momentum investors. We show that both absolute and relative momentum can enhance returns, but that absolute momentum does far more to lessen volatility and drawdown. We see that combining absolute and relative momentum gives the best results.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128644404","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: 22
Foreigners vs. Natives: Bank Lending Technologies and Loan Pricing 外国人与本国人:银行贷款技术和贷款定价
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2016-09-02 DOI: 10.2139/ssrn.2101037
Thorsten Beck, V. Ioannidou, Larissa Schäfer
{"title":"Foreigners vs. Natives: Bank Lending Technologies and Loan Pricing","authors":"Thorsten Beck, V. Ioannidou, Larissa Schäfer","doi":"10.2139/ssrn.2101037","DOIUrl":"https://doi.org/10.2139/ssrn.2101037","url":null,"abstract":"Can distance-related information asymmetries in credit markets be overcome with contract design and credit scoring models? To answer this question, we explore differences in foreign and domestic banks’ credit contract terms and pricing models. Using a sample of firms that borrow from both domestic and foreign banks in the same month, we show that foreign banks are more likely to demand collateral and grant shorter maturity loans than domestic banks. Foreign banks also base their pricing on internal credit ratings and collateral pledges, while domestic banks price according to the length, depth and breadth of their relationship with a firm. These findings confirm that foreign banks can overcome informational disadvantages using contract design and credit scoring models. However, we also show that there are limitations, with foreign banks facing higher default rates and lower returns on lending if not using collateral and short maturity as disciplining tools.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125876816","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: 82
Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets 股权结构、套利限制与股票收益:来自股权借贷市场的证据
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2016-07-10 DOI: 10.2139/ssrn.1787291
M. Prado, P. Saffi, Jason Sturgess
{"title":"Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets","authors":"M. Prado, P. Saffi, Jason Sturgess","doi":"10.2139/ssrn.1787291","DOIUrl":"https://doi.org/10.2139/ssrn.1787291","url":null,"abstract":"We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short-sale constraints. Stocks with lower, more concentrated, short-term, and less passive ownership exhibit lower lending supply, higher costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions and delay the correction of mispricing. Stocks with more concentrated ownership exhibit smaller announcement day reactions, larger post-earnings announcement drift, and an additional negative abnormal return of 0.47% in the week following a positive shorting demand shock.Received June 16, 2014; accepted June 8, 2016 by Editor Laura Starks.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127623206","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: 29
The Dynamics of Market Efficiency 市场效率动力学
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2016-05-04 DOI: 10.2139/ssrn.2062926
Dominik Rösch, A. Subrahmanyam, Mathijs A. Van Dijk
{"title":"The Dynamics of Market Efficiency","authors":"Dominik Rösch, A. Subrahmanyam, Mathijs A. Van Dijk","doi":"10.2139/ssrn.2062926","DOIUrl":"https://doi.org/10.2139/ssrn.2062926","url":null,"abstract":"We study the dynamics of high-frequency market efficiency measures. We provide evidence that these measures comove across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding liquidity (the TED spread), hedge fund assets under management, and a proxy for algorithmic trading are significantly associated with systematic market efficiency. Thus, stock market efficiency is prone to systematic fluctuations, and, consistent with recent theories, events and policies that impact funding liquidity can affect the aggregate degree of price efficiency.Received April 30, 2016; editorial decision June 27, 2016 by Editor Stefan Nagel","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133102256","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: 77
Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis 从互联网泡沫、次贷危机和亚洲金融危机中获利
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2016-01-01 DOI: 10.2139/ssrn.2136097
Michael McAleer, John Suen, Wing-Keung Wong
{"title":"Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis","authors":"Michael McAleer, John Suen, Wing-Keung Wong","doi":"10.2139/ssrn.2136097","DOIUrl":"https://doi.org/10.2139/ssrn.2136097","url":null,"abstract":"This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with knowing and without trading rules. The empirical results show that by applying long and short strategies during the bubble formation and short strategies after the bubble burst, it not only produces returns that are significantly greater than buy and hold strategies, but also produces greater wealth compared with TA strategies without trading rules. We conclude these bubble detection signals help investors generate greater wealth from applying appropriate long and short Moving Average (MA) strategies.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121814396","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: 15
Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability 工资刚性会增加企业风险吗?来自长期回报可预测性的证据
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2015-11-30 DOI: 10.2139/ssrn.2158738
Jack Y Favilukis, Xiaoji Lin
{"title":"Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability","authors":"Jack Y Favilukis, Xiaoji Lin","doi":"10.2139/ssrn.2158738","DOIUrl":"https://doi.org/10.2139/ssrn.2158738","url":null,"abstract":"The relationship between sticky wages and risk has important asset pricing implications. Like operating leverage, sticky wages are a source of risk for the firm. Firms, industries, regions, or times with especially high or rigid wages are especially risky. If wages are sticky, then wage growth should negatively forecast future stock returns because falling wages are associated with even bigger falls in output, and increases in operating leverage. Indeed, this is the case in aggregate, industry, and U.S. state level data. Furthermore, this relation is stronger in industries and U.S. states with higher wage rigidity.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130633210","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: 58
Does Academic Research Destroy Stock Return Predictability? 学术研究破坏了股票收益的可预测性吗?
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2015-01-07 DOI: 10.2139/ssrn.2156623
R. McLean, Jeffrey Pontiff
{"title":"Does Academic Research Destroy Stock Return Predictability?","authors":"R. McLean, Jeffrey Pontiff","doi":"10.2139/ssrn.2156623","DOIUrl":"https://doi.org/10.2139/ssrn.2156623","url":null,"abstract":"We study the out-of-sample and post-publication return predictability of 97 variables shown to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining effects. We estimate a 32% (58%–26%) lower return from publication-informed trading. Post-publication declines are greater for predictors with higher in-sample returns, and returns are higher for portfolios concentrated in stocks with high idiosyncratic risk and low liquidity. Predictor portfolios exhibit post-publication increases in correlations with other published-predictor portfolios. Our findings suggest that investors learn about mispricing from academic publications.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128997948","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: 990
The Bottom-Up Beta of Momentum 自下而上的贝塔动量
ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2014-11-01 DOI: 10.2139/ssrn.2144204
Pedro Barroso
{"title":"The Bottom-Up Beta of Momentum","authors":"Pedro Barroso","doi":"10.2139/ssrn.2144204","DOIUrl":"https://doi.org/10.2139/ssrn.2144204","url":null,"abstract":"A direct measure of the cyclicality of momentum at a given point in time, its bottom-up beta with respect to the market, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical momentum portfolio forecasts both higher risk and lower returns for the strategy. The results show robustness out-of-sample (OOS) and controlling for other variables. One predictive regression of monthly momentum returns on its bottom-up beta produces an OOS R-square of 2.41%. This contrasts with the usual negative OOS R-squares of similar predictive regressions for the market excess return.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134242623","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
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