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Holding on to Your Shorts: When Do Short Sellers Retreat? 坚持做空:卖空者何时撤退?
Wharton School: Finance (Topic) Pub Date : 2011-03-28 DOI: 10.2139/SSRN.689162
Pavel Savor, Mario Gamboa-Cavazos
{"title":"Holding on to Your Shorts: When Do Short Sellers Retreat?","authors":"Pavel Savor, Mario Gamboa-Cavazos","doi":"10.2139/SSRN.689162","DOIUrl":"https://doi.org/10.2139/SSRN.689162","url":null,"abstract":"This paper studies the response of arbitrageurs to adverse price shocks. We focus on short sellers and find that they cover their positions after suffering losses and increase them after experiencing gains. While this relationship is very strong for positions established due to perceived overvaluation, it does not hold for arbitrage trades, where the investor is hedged against stock price movements. Finally, expected returns do not explain the documented behavior, with short sellers actually losing money by closing their positions in response to losses. We interpret these results as evidence that even sophisticated investors cannot or are not willing to maintain positions after adverse market movements, making arbitrage less effective in moving prices towards their fundamental value.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128183409","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: 33
Changing Institutional Preferences for Stocks: Direct and Indirect Evidence 变化中的机构股票偏好:直接和间接证据
Wharton School: Finance (Topic) Pub Date : 2011-02-28 DOI: 10.2139/ssrn.1788186
M. Blume, Donald B. Keim
{"title":"Changing Institutional Preferences for Stocks: Direct and Indirect Evidence","authors":"M. Blume, Donald B. Keim","doi":"10.2139/ssrn.1788186","DOIUrl":"https://doi.org/10.2139/ssrn.1788186","url":null,"abstract":"Institutional investors have rapidly increased their percentage holdings of US equities in recent years. In this paper we update previous research on the nature of institutional stock ownership, extending the evidence by eleven years to the end of 2008. In contrast to previous research, we find that institutions, and particularly hedge funds, have increased their holdings of smaller stocks and decreased their holdings of larger stocks over this period. Institutions as a whole now underweight the largest stocks and overweight the smallest stocks relative to market weights. We then compare the direct evidence of changing institutional preferences to the indirect evidence from a four-factor model.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"32 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129979178","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: 9
Fundamentals or Panic: Lessons from the Empirical Literature on Financial Crises 基本面还是恐慌:来自金融危机实证文献的教训
Wharton School: Finance (Topic) Pub Date : 2010-10-26 DOI: 10.2139/ssrn.1698047
Itay Goldstein
{"title":"Fundamentals or Panic: Lessons from the Empirical Literature on Financial Crises","authors":"Itay Goldstein","doi":"10.2139/ssrn.1698047","DOIUrl":"https://doi.org/10.2139/ssrn.1698047","url":null,"abstract":"There are two basic approaches to explaining financial crises. One argues that they are driven by bad fundamentals, while the other one argues that they reflect panic or coordination failures among investors. The empirical literature has established a fairly strong link between fundamentals and crises, suggesting support for the fundamental-based view and not for the panic-based view. However, in theory, the two approaches are not mutually exclusive: the link between fundamentals and crises does not go against the validity of the panic-based view. In fact, there are models that predict panic to be triggered by low fundamentals. The article reviews empirical evidence in the financial-crises literature in light of the tension between the fundamental-based and panic-based approach. It points out the limited ability to draw conclusions on the validity of the panic-based approach and describes possibilities for identifying panic in the data.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130710201","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: 18
Why Do Household Portfolio Shares Rise in Wealth? 为什么家庭投资组合的财富份额会上升?
Wharton School: Finance (Topic) Pub Date : 2010-08-01 DOI: 10.1093/RFS/HHQ092
Jessica A. Wachter, Motohiro Yogo
{"title":"Why Do Household Portfolio Shares Rise in Wealth?","authors":"Jessica A. Wachter, Motohiro Yogo","doi":"10.1093/RFS/HHQ092","DOIUrl":"https://doi.org/10.1093/RFS/HHQ092","url":null,"abstract":"We develop a life-cycle consumption and portfolio choice model in which households have nonhomothetic utility over two types of goods, basic and luxury. We calibrate the model to match the cross-sectional and life-cycle variation in the basic expenditure share in the Consumer Expenditure Survey. The model explains the degree to which the portfolio share in risky assets rises in wealth in the cross-section of households in the Survey of Consumer Finances. For a given household, the portfolio share can fall in response to an increase in wealth, even though the model implies decreasing relative risk aversion.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"333 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121669167","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: 248
Empirical Evidence on Relationships in Insurance Markets 保险市场关系的实证研究
Wharton School: Finance (Topic) Pub Date : 2010-05-01 DOI: 10.2139/ssrn.1616300
P. Kofman, Greg Nini
{"title":"Empirical Evidence on Relationships in Insurance Markets","authors":"P. Kofman, Greg Nini","doi":"10.2139/ssrn.1616300","DOIUrl":"https://doi.org/10.2139/ssrn.1616300","url":null,"abstract":"This paper investigates the value of relationships in insurance markets. Theory predicts that policyholder tenure should be positively related to average profitability and negatively related to average risk, as an incumbent insurer exploits its information advantage to strategically retain a higher fraction of better risks at increasingly unfair prices. For a sample of Australian insurance policies, we find that unconditional average risk does decrease with policyholder tenure, but the effect is nearly entirely due to the impact of observable information. This suggests that the incumbent insurer is not learning any faster about their policyholders than its competitors.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123322315","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
Tractability in Incentive Contracting 激励合同的可追溯性
Wharton School: Finance (Topic) Pub Date : 2009-11-01 DOI: 10.1093/RFS/HHR044
Alex Edmans, X. Gabaix
{"title":"Tractability in Incentive Contracting","authors":"Alex Edmans, X. Gabaix","doi":"10.1093/RFS/HHR044","DOIUrl":"https://doi.org/10.1093/RFS/HHR044","url":null,"abstract":"This paper identifies a class of multiperiod agency problems in which the optimal contract is tractable (attainable in closed form). By modeling the noise before the action in each period, we force the contract to provide sufficient incentives state-by-state, rather than merely on average. This tightly constrains the set of admissible contracts and allows for a simple solution to the contracting problem. Our results continue to hold in continuous time, where noise and actions are simultaneous. We thus extend the tractable contracts of Holmstrom and Milgrom (1987) to settings that do not require exponential utility, a pecuniary cost of effort, Gaussian noise or continuous time. The contract's functional form is independent of the noise distribution. Moreover, if the cost of effort is pecuniary (multiplicative), the contract is linear (log-linear) in output and its slope is independent of the noise distribution, utility function and reservation utility. In a two-stage contracting game, the optimal target action depends on the costs and benefits of the environment, but is independent of the noise realization.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129447205","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: 124
Learning and Asset-Price Jumps 学习和资产价格跃升
Wharton School: Finance (Topic) Pub Date : 2009-03-01 DOI: 10.2139/ssrn.1358669
Ravi Bansal, Ivan Shaliastovich
{"title":"Learning and Asset-Price Jumps","authors":"Ravi Bansal, Ivan Shaliastovich","doi":"10.2139/ssrn.1358669","DOIUrl":"https://doi.org/10.2139/ssrn.1358669","url":null,"abstract":"We develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large moves (jumps). A prominent feature of the model is that the optimal decision of investors to learn the unobserved state triggers large asset-price jumps. We show that the learning choice is critically determined by preference parameters and the conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps, while the variation in the level of income does not. We find that indeed in the data large moves in returns are predicted by consumption volatility, but not by the changes in the consumption level. We show that the model can quantitatively capture these novel features of the data.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127504915","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: 67
Confidence Risk and Asset Prices 信心风险与资产价格
Wharton School: Finance (Topic) Pub Date : 2009-03-01 DOI: 10.2139/ssrn.1358688
Ravi Bansal, Ivan Shaliastovich
{"title":"Confidence Risk and Asset Prices","authors":"Ravi Bansal, Ivan Shaliastovich","doi":"10.2139/ssrn.1358688","DOIUrl":"https://doi.org/10.2139/ssrn.1358688","url":null,"abstract":"In the data, asset prices exhibit large negative moves at frequencies of about 18 months. These large moves are puzzling as they do not coincide, nor are they followed by any significant moves in the real side of the economy. On the other hand, we find that measures of investor's uncertainty about their estimate of future growth have significant information about large moves in returns. We set-up a recursive-utility based model in which investors learn about the latent expected growth using the cross-section of signals. The uncertainty (confidence measure) about investor's growth expectations, as in the data, is time-varying and subject to large moves. The fluctuations in confidence measure affect the distribution of future consumption given investors' information, and consequently influence equilibrium asset prices and risk premia. In calibrations we show that the model can account for the large return move evidence in the data, distribution of asset prices, predictability of excess returns and other key asset market facts.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129477721","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: 86
Financial System: Shock Absorber or Amplifier? 金融体系:减震器还是放大器?
Wharton School: Finance (Topic) Pub Date : 2008-07-01 DOI: 10.2139/ssrn.1165642
Franklin Allen, E. Carletti
{"title":"Financial System: Shock Absorber or Amplifier?","authors":"Franklin Allen, E. Carletti","doi":"10.2139/ssrn.1165642","DOIUrl":"https://doi.org/10.2139/ssrn.1165642","url":null,"abstract":"This paper identifies two types of market failures. The first concerns a coordination problem associated with panics. The problem in analysing this type of market failure from a policy perspective is that there is no widely accepted method for selecting equilibria. The second market failure concerns the incompleteness of financial markets. The essential problem here is that the incentives to provide liquidity lead to an inefficient allocation of resources. The paper outlines three manifestations of market failure associated with liquidity provision: financial fragility, contagion and asset price bubbles. The framework developed allows some insight into the question of when the financial system acts a shock absorber and when it acts as an amplifier. Having identified when there is a market failure, the paper looks at whether there are policies that can correct the undesirable effects of such failures.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129192604","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: 23
Pricing of the Time-Change Risks 时变风险的定价
Wharton School: Finance (Topic) Pub Date : 2008-04-01 DOI: 10.2139/ssrn.1687963
George Tauchen, Ivan Shaliastovich
{"title":"Pricing of the Time-Change Risks","authors":"George Tauchen, Ivan Shaliastovich","doi":"10.2139/ssrn.1687963","DOIUrl":"https://doi.org/10.2139/ssrn.1687963","url":null,"abstract":"We develop a discrete-time real endowment economy featuring Epstein-Zin recursive utility and a Levy time-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium framework for pricing non-Gaussian risks, where the solutions for financial prices are available up to integral operations in general, or in closed-form for tempered stable shocks. The non-Gaussianity of fundamentals due to time-deformation induces compensations for higher order moments and co-moments of consumption and dividend growth rates of the assets. Forecastability of the time change leads to predictability of the endowment streams and therefore to time-variation in financial prices and risk premia on assets. In numerical calibrations, we quantitatively analyze the compensations for different types of systematic risk.","PeriodicalId":351720,"journal":{"name":"Wharton School: Finance (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125751194","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: 11
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