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Can the Market Divide and Multiply? A Case of 807 Percent Mispricing 市场能分化和倍增吗?807%的错误定价案例
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-09-01 DOI: 10.2139/ssrn.3193120
Martijn J. van den Assem, Dennie van Dolder, Remco C. J. Zwinkels, M. Schauten
{"title":"Can the Market Divide and Multiply? A Case of 807 Percent Mispricing","authors":"Martijn J. van den Assem, Dennie van Dolder, Remco C. J. Zwinkels, M. Schauten","doi":"10.2139/ssrn.3193120","DOIUrl":"https://doi.org/10.2139/ssrn.3193120","url":null,"abstract":"PurposeThis paper documents a strong violation of the law of one price surrounding a large rights issue.Design/methodology/approachIf prices are right, the relation between the prices of shares and rights follows the outcome of a simple calculation.FindingsIn the case of Royal Imtech N.V. in 2014, prices deviated sharply and persistently from the theoretical prediction. Throughout the term of the rights, investors were buying shares at prices that were many times what they should have been given the price of the rights. Short-selling constraints in the form of high recall risk and lacking stock lending supply are the most likely explanation for the failure of arbitrage as a safeguard of market efficiency. Still, it remains remarkable that investors were buying large volumes of shares at highly inflated prices in the presence of a cheap, perfect substitute.Originality/valueThe mispricing was special not just because of its severity but also because unlike previously documented cases there was no fundamental risk and no material noise trader risk.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122746089","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
Sensitivity of the Stock Return of Westpac Group to the Change in the Long-Term Interest Rate 西太平洋银行集团股票收益对长期利率变化的敏感性
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-08-26 DOI: 10.2139/ssrn.3681341
Nara Chimidsabuu
{"title":"Sensitivity of the Stock Return of Westpac Group to the Change in the Long-Term Interest Rate","authors":"Nara Chimidsabuu","doi":"10.2139/ssrn.3681341","DOIUrl":"https://doi.org/10.2139/ssrn.3681341","url":null,"abstract":"The aim of this paper is analyzing the sensitivity of the stock return of a Westpac group to the change in the long-term interest rate by using time series data covering from 1997 to 2019 with total 275 observation.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128825361","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
Gold, the Golden Constant, COVID-19, 'Massive Passives' and Déjà Vu 黄金，黄金常数，COVID-19，“大规模被动”和dsamjo Vu
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-08-05 DOI: 10.2139/ssrn.3667789
Claude B. Erb, Campbell R. Harvey, Tadas E. Viskanta
{"title":"Gold, the Golden Constant, COVID-19, 'Massive Passives' and Déjà Vu","authors":"Claude B. Erb, Campbell R. Harvey, Tadas E. Viskanta","doi":"10.2139/ssrn.3667789","DOIUrl":"https://doi.org/10.2139/ssrn.3667789","url":null,"abstract":"Currently the real, inflation-adjusted, price of gold is almost as high as it was in January 1980 and August 2011. Since 1975, periods of high real gold prices have occurred during periods of elevated concern about high future price inflation. Five years after the real price peaks in January 1980 and August 2011 the nominal (real) prices of gold fell 55% (67%) and 28% (33%), respectively. Today’s high real price of gold suggests that gold is an expensive inflation-hedge with a low prospective real return. However, “massive passive” ETF financialization of gold ownership may introduce a period of “irrational exuberance”.See our related work: The Golden Dilemma.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114256079","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
Forward Premium Puzzle and Heterogeneous Beliefs 远期溢价之谜与异质信念
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-07-22 DOI: 10.2139/ssrn.3563589
Benjamin Croitoru, Feng Jiao, Lei Lu
{"title":"Forward Premium Puzzle and Heterogeneous Beliefs","authors":"Benjamin Croitoru, Feng Jiao, Lei Lu","doi":"10.2139/ssrn.3563589","DOIUrl":"https://doi.org/10.2139/ssrn.3563589","url":null,"abstract":"We propose a two-country model with heterogeneous beliefs to understand the forward premium puzzle. Facing a shock to the domestic money supply, the disagreement between domestic and foreign investors shifts the relative wealth of investors, which moves the exchange rate and interest rate differential in opposite directions. Calibrated to U.S. and U.K. data, our model reproduces the rejection of the uncovered interest rate parity. Using a monthly index of heterogeneous beliefs based on the Consensus Forecast in 15 major economies, the empirical evidence confirms that the dispersion of beliefs helps explain exchange rate movements and carry trade returns.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"31 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129014935","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
Analysis of Equity Stock Behavior During Global Financial Crisis 全球金融危机中的股票行为分析
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-07-01 DOI: 10.2139/ssrn.3640080
Viswanatha Reddy Pedirappagari
{"title":"Analysis of Equity Stock Behavior During Global Financial Crisis","authors":"Viswanatha Reddy Pedirappagari","doi":"10.2139/ssrn.3640080","DOIUrl":"https://doi.org/10.2139/ssrn.3640080","url":null,"abstract":"The study aims to understand the behavior of the stocks during global financial crisis. Here 5 heavy index stocks is chosen from NSE stock exchange and collected the data. To analyze the risk and return, standard deviation tools applied. The research find that stocks is very volatile with high fluctuations and at same time some stocks are heavily fluctuated but stocks was able to resist to heavy downfall.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121473151","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
Religion and Insider Trading Profits 宗教与内幕交易利润
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-05-21 DOI: 10.2139/ssrn.3433059
H. Contreras, Adriana Korczak, Piotr Korczak
{"title":"Religion and Insider Trading Profits","authors":"H. Contreras, Adriana Korczak, Piotr Korczak","doi":"10.2139/ssrn.3433059","DOIUrl":"https://doi.org/10.2139/ssrn.3433059","url":null,"abstract":"We use the controversial aspect of insider trading to analyze the impact of local social norms on insiders’ profits. We argue that religiosity is a source of social norms curbing self-interested behavior and, accordingly, it limits corporate insiders’ opportunistic trading on private information. Our results confirm that trades by insiders in firms located in more religious areas are followed by lower abnormal returns, those insiders are less likely to trade on future earnings news, and their trades are less likely to be opportunistic. The effect is concentrated where the impact of local social norms is expected to be stronger – in geographically focused firms and in trades by officers. Higher religiosity decreases also the probability and volume of trading. We provide several tests to address potential endogeneity and to strengthen identification. Overall, we offer new insights into the effect of social norms on individuals’ financial decisions.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130530541","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: 3
The Disposition Effect in Mutual Funds' Trades: The Role of Managers' Endurance 共同基金交易中的配置效应:经理人忍耐力的作用
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-04-17 DOI: 10.2139/ssrn.3315001
A. Dayani, S. Jannati
{"title":"The Disposition Effect in Mutual Funds' Trades: The Role of Managers' Endurance","authors":"A. Dayani, S. Jannati","doi":"10.2139/ssrn.3315001","DOIUrl":"https://doi.org/10.2139/ssrn.3315001","url":null,"abstract":"We use long-distance running as a quasi-natural experiment and study whether endurance activities affect fund managers' trading behavior. We find that funds with a larger share of marathon runner managers are less prone to the disposition effect. A higher representation of runner managers also predicts larger risk-adjusted excess returns. To account for endogeneity, we use the annual number of marathon events in funds’ states as an instrument for the proportion of runner managers and find a consistent outcome. Overall, these results provide behavioral evidence for the disposition effect among fund managers.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"34 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128760584","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
Market Returns and a Tale of Two Types of Attention 市场回报和两种关注的故事
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-04-07 DOI: 10.2139/ssrn.3551662
Zhi Da, Jian Hua, Chih-Ching Hung, Lin Peng
{"title":"Market Returns and a Tale of Two Types of Attention","authors":"Zhi Da, Jian Hua, Chih-Ching Hung, Lin Peng","doi":"10.2139/ssrn.3551662","DOIUrl":"https://doi.org/10.2139/ssrn.3551662","url":null,"abstract":"We find that aggregate retail attention to firms (ARA) strongly and negatively predicts future market returns, especially in down markets and during high VIX periods. In contrast, aggregate institutional attention to firms (AIA) weakly but positively predicts future market returns. Periods of high ARA are associated with greater net buying by retail investors. On the other hand, AIA leads ARA, and AIA’s positive market return predictability is stronger when retail investors are inattentive or ahead of major news announcements. Our results suggest that attention facilitates institutional investors’ acquisition of valuable information, while retail attention delays the diffusion of negative news.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127993796","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: 8
Horizon Bias and the Term Structure of Equity Returns 地平线偏差与股票收益期限结构
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-03-31 DOI: 10.2139/ssrn.3328970
S. Cassella, Benjamin Golez, Huseyin Gulen, Peter Kelly
{"title":"Horizon Bias and the Term Structure of Equity Returns","authors":"S. Cassella, Benjamin Golez, Huseyin Gulen, Peter Kelly","doi":"10.2139/ssrn.3328970","DOIUrl":"https://doi.org/10.2139/ssrn.3328970","url":null,"abstract":"\u0000 We label the degree to which individuals are more optimistic at long horizons relative to short horizons as the horizon bias. We examine whether time-series variation in the horizon bias can explain the time-series variation in the equity term structure. We use analyst earnings forecasts to measure the degree of the horizon bias in the stock market. Consistent with the intuition from a stylized present value model, we find that periods of above-average horizon bias are associated with negative term premiums, whereas periods of below-average horizon bias are associated with positive term premiums.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129706263","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
The Equity Risk Premium: A Novel Perspective on the Past Fifty Years 股票风险溢价:过去50年的新视角
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2020-03-20 DOI: 10.2139/ssrn.3558041
James White, Victor Haghani
{"title":"The Equity Risk Premium: A Novel Perspective on the Past Fifty Years","authors":"James White, Victor Haghani","doi":"10.2139/ssrn.3558041","DOIUrl":"https://doi.org/10.2139/ssrn.3558041","url":null,"abstract":"The longest bull market in US stock market history is over. Uncertainty over the public health and economic impact of the coronavirus pandemic will keep markets extremely volatile, making it likely we’ll touch a wide range of price levels in the months ahead. Amidst such uncertainty, it’s a particularly good time to take stock of long-term return prospects. In doing so, we’ll present an often-overlooked perspective on the market’s attractiveness which is both intuitive and technically sound. We hope long-term investors will find it useful in deciding how much stock market exposure they want right now, and at other levels the market may visit in the future.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115871080","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
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