SPGMI: Compustat Fundamentals (Topic)最新文献

Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas 具有工具贝塔和特质贝塔的因子模型的统一预测推理

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2023-01-01 DOI: 10.2139/ssrn.3754661

Ming-Yen Cheng, Yuan Liao, Xiye Yang

{"title":"Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas","authors":"Ming-Yen Cheng, Yuan Liao, Xiye Yang","doi":"10.2139/ssrn.3754661","DOIUrl":"https://doi.org/10.2139/ssrn.3754661","url":null,"abstract":"This paper investigates the effect of characteristic-based time-varying factor beta on the diffusion-index type forecast. Specifically, the factor beta includes two distinct components: the \"instrumental beta'' is a function of some observed stable variables, while the \"idiosyncratic beta'' captures the more volatile residual movements. To estimate these time-varying beta's, we propose to apply the projected PCA (P-PCA), which takes advantage of firm characteristics, on high-frequency return data. We show that various components of the conditional mean forecast error are all asymptotically normal. Of particular note is that the time-varying idiosyncratic beta has nontrivial effects on the first-order asymptotic of the conditional mean forecast. A Monte Carlo exercise demonstrates fairly good finite sample properties of the P-PCA estimators and shows that the P-PCA method largely outperforms the traditional PCA method for factor-augmented prediction. In our empirical experiments of volatility forecasting, we find that the predictive model estimated by the P-PCA method achieves preferable performance for a wide variety of target assets. We provide evidence that the forecast uncertainty arose from the time variation in factor beta magnifies during volatile periods. In such cases, exploiting the information in stable characteristics plays an even more crucial role in producing effective diffusion-index forecasts.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122152888","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

The Alphas of Beta and Idiosyncratic Volatility β的α和特殊波动率

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2022-03-01 DOI: 10.2139/ssrn.3706597

Percy Poon, Tong Yao, Andrew (Jianzhong) Zhang

{"title":"The Alphas of Beta and Idiosyncratic Volatility","authors":"Percy Poon, Tong Yao, Andrew (Jianzhong) Zhang","doi":"10.2139/ssrn.3706597","DOIUrl":"https://doi.org/10.2139/ssrn.3706597","url":null,"abstract":"We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. IVOL has a significantly negative relation with subsequent stock returns at the short horizon of up to six months and beta does not predict stock returns at any horizon. However, both IVOL and beta significantly negatively predict stock alphas over horizons from a few months to beyond one year. At short horizons, neither anomaly can fully explain the other. At long horizons of beyond six months, the IVOL-alpha relation is explained by the beta-alpha relation. A measure of idiosyncratic volatility over a long window, popularly used by the investments industry to construct low-volatility portfolios, behaves similarly to beta in predicting returns and alphas at various horizons, and its predictive power is mostly explained by beta. Overall, IVOL and beta each has unique short-term information, but at long horizons the two anomalies appear to be the same. Our findings help reconcile a perceptional gap between academic studies and the investment industry on low volatility investing, and enrich the debate about the relation between the two low-risk anomalies.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125911275","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

Retail Trader Sophistication and Stock Market Quality: Evidence from Brokerage Outages 零售交易员的老练程度和股票市场质量:来自券商停牌的证据

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-10-15 DOI: 10.2139/ssrn.3776874

Gregory W. Eaton, T. C. Green, Brian S. Roseman, Yanbin Wu

引用次数: 64

Bank Competition and Borrower Conservatism 银行竞争与借款人稳健性

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-10-12 DOI: 10.2139/ssrn.3492613

Liyang Hou, Yi Liang, Sudipta Basu

引用次数: 5

Accrual Duration 权责发生制时间

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-10-11 DOI: 10.2139/ssrn.3043973

Ilia D. Dichev, E. Owens

引用次数: 2

Customer Concentration, Leverage Adjustments, and Firm Value 客户集中度、杠杆调整与企业价值

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-09-27 DOI: 10.2139/ssrn.3769657

Obaid ur Rehman, Xiaoxing Liu, Kai Wu, Jun-feng Li

引用次数: 0

Shadow Union in Local Labor Markets and Capital Structure 地方劳动力市场与资本结构中的影子工会

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-09-21 DOI: 10.2139/ssrn.3537991

DuckKi Cho, Lyungmae Choi

引用次数: 1

Covenant-lite Deals, Non-Bank Deal Ownership and Financial Reporting Quality 低门槛交易、非银行交易所有权和财务报告质量

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-09-18 DOI: 10.2139/ssrn.3769258

A. Isin, R. Tharyan, K. McMeeking

{"title":"Covenant-lite Deals, Non-Bank Deal Ownership and Financial Reporting Quality","authors":"A. Isin, R. Tharyan, K. McMeeking","doi":"10.2139/ssrn.3769258","DOIUrl":"https://doi.org/10.2139/ssrn.3769258","url":null,"abstract":"We examine how covenant-lite (“covlite”) deals – loan contracts that lack systematic financial/maintenance covenant compliance requirements – and non-bank institutional syndicate participation affect issuer-level financial reporting quality. We show that, given significantly reduced covenant compliance and information transfer mechanisms between lenders and borrowers, covlite issuers increasingly abandon financial reporting objectives that prioritize cash flow verifiability and timely loss recognition. Indeed, we contend that covlite issuers prioritize the quality of non-GAAP-based voluntary earnings information that is a better match with their non-GAAP-based contractual provisions and non-bank creditors’ investment screening criteria. Moreover, lack of financial covenant compliance does not necessarily result in subordinate financial reporting standards at issuer-level. Notably, however, we show that financial reporting quality is strongly influenced by the type of creditor profile participating in loan syndication and identify potential financial reporting issues when lack monitoring mechanism in covlite deals is accompanied with large non-bank institutional deal ownership.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"55 S2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113977149","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

Can Corporate Debt Foster Innovation and Growth? 企业债务能促进创新和增长吗?

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-09-17 DOI: 10.2139/ssrn.3416576

Thomas Geelen, Jakub Hajda, E. Morellec

引用次数: 2

The Information Advantage of Industry Common Blockholders and Its Stabilizing Effect on Stock Price Crash Risk 行业普通股股东的信息优势及其对股价崩盘风险的稳定作用

SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-09-12 DOI: 10.2139/ssrn.3871539

Qingyuan Li, Xiaoran Ni, P. Yeung, David Yin

引用次数: 2