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Geographic Proximity in Short Selling 卖空的地理邻近性
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-10-22 DOI: 10.2139/ssrn.3854459
Xiaolin Huo, Xin Liu, Vesa Pursiainen
{"title":"Geographic Proximity in Short Selling","authors":"Xiaolin Huo, Xin Liu, Vesa Pursiainen","doi":"10.2139/ssrn.3854459","DOIUrl":"https://doi.org/10.2139/ssrn.3854459","url":null,"abstract":"Geographic proximity is associated with significantly higher returns from short selling within London and the UK. Short trades by funds near the target headquarters are followed by larger negative abnormal returns. Proximity matters more for stocks that are smaller, more volatile, and less actively covered by sellside analysts, and less for large trades and trades following more proximate institutions' trades. Short trades are correlated geographically, with proximate funds more likely to short the same stocks. Geographically closer short trades predict more negative earnings surprises. Covering of short positions by more proximate institutions is followed by more positive abnormal stock returns.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114406459","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
Trading Opportunities and the Portfolio Choice of Institutional Investors 交易机会与机构投资者的投资组合选择
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-10-20 DOI: 10.2139/ssrn.3444673
Terry Zhang
{"title":"Trading Opportunities and the Portfolio Choice of Institutional Investors","authors":"Terry Zhang","doi":"10.2139/ssrn.3444673","DOIUrl":"https://doi.org/10.2139/ssrn.3444673","url":null,"abstract":"This paper studies the portfolio choice of institutional investors with short holding horizons. Short-horizon institutions invest more in stocks with lower buy-and-hold return and worse liquidity comparing to other institutional investors. I explain this phenomenon in a model where short-horizon institutions can routinely profit from temporary mispricing. Stocks that are more susceptible to temporary mispricing attract more demand from short-horizon institutions, which reduces long-term stock return and drives out demand from other investors. Empirically, I find that stocks more held by short-horizon institutions provide more short-term trading opportunities, allowing short-horizon institutions to make more trading profit, as my model predicts.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127070266","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
Impact of COVID-19 on the Stock Market: Evidence from the Banking Sector of UAE COVID-19对股市的影响:来自阿联酋银行业的证据
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-10-19 DOI: 10.2139/ssrn.3945852
Marzia Islam, N. Ellili
{"title":"Impact of COVID-19 on the Stock Market: Evidence from the Banking Sector of UAE","authors":"Marzia Islam, N. Ellili","doi":"10.2139/ssrn.3945852","DOIUrl":"https://doi.org/10.2139/ssrn.3945852","url":null,"abstract":"The aim of this research is to analyze the impact of COVID-19 on the stock prices of UAE banks. The regressions were applied to estimate the impact of COVID-19 data on the banks’ stock. The data include information about confirmed COVID-19 and the daily prices of the banks from October till December of 2020. The empirical results show that the stock prices of the banks in UAE are negatively and significantly impacted by the reported number of daily Covid-19 cases. However, the daily reported covid-19 fatalities have no significant impact on the stock price. Besides some implications, such as future pandemics should have a similar impact on the stock market of UAE can be predicted based on the empirical results. These results would help the government and financial regulators in undertaking in advance the controlling measures to curb down the spread of contagions to sustain the banking sector performance in the stock market. Hence, this research paper will be beneficial for the banks globally and for governments, to understand the overall impact of pandemics on the financial market and the greater economy.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"229 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116442237","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
The Present Value of Future Market Power 未来市场力量的现值
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-09-10 DOI: 10.2139/ssrn.3921171
Thummim Cho, M. Grotteria, Lukas Kremens, H. Kung
{"title":"The Present Value of Future Market Power","authors":"Thummim Cho, M. Grotteria, Lukas Kremens, H. Kung","doi":"10.2139/ssrn.3921171","DOIUrl":"https://doi.org/10.2139/ssrn.3921171","url":null,"abstract":"This paper relates valuation ratios to future markups in a present-value framework for total firm assets. Expected future cash flows explain the majority of the cross-sectional variance of firms’ asset market-to-book ratio, while asset discount rates only account for a relatively small fraction, mirroring the decomposition of firm equity valuation ratios. We find that expected future markups are a key component of cash-flow news that explains more than a quarter of the cross-firm differences in asset market-to-book ratios by itself. Changes in asset valuation ratios strongly forecast future markup growth even after controlling for lagged markup growth. The forecasting result holds in the cross section of firms, in the aggregate time series, and is stable across industries. Asset prices encode important information about the future time path of market power.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126595166","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
One Global Village? Competition in the International Active Fund Management Industry 一个地球村?国际主动基金管理业的竞争
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-09-02 DOI: 10.2139/ssrn.3330131
Dave Feldman, Konark Saxena, Jing Xu
{"title":"One Global Village? Competition in the International Active Fund Management Industry","authors":"Dave Feldman, Konark Saxena, Jing Xu","doi":"10.2139/ssrn.3330131","DOIUrl":"https://doi.org/10.2139/ssrn.3330131","url":null,"abstract":"We introduce an international active fund management model in which competing managers have heterogeneous incentives (effort productivities, costs) for searching domestic/foreign investment opportunities. In equilibrium, the domestic/foreign incentives heterogeneity gives rise to a novel prediction: increasing foreign competitiveness, which improves (worsens) domestic manager incentives, induces an increase (decrease) of both domestic performance and size. Empirically, we find that 30 global markets’ performance and size, on average, decrease with U.S. concentration. This evidence is consistent with our theoretical predictions but is inconsistent with extrapolation of single-country (implying homogeneous incentives) equilibria to one “global village” [e.g., Feldman, Saxena, and Xu (2020)].","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124798609","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
An Equilibrium Model of Imperfect Hedging with Transaction Costs 具有交易费用的不完全套期保值均衡模型
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-08-14 DOI: 10.2139/ssrn.3905056
M. Loewenstein, Zhenjiang Qin
{"title":"An Equilibrium Model of Imperfect Hedging with Transaction Costs","authors":"M. Loewenstein, Zhenjiang Qin","doi":"10.2139/ssrn.3905056","DOIUrl":"https://doi.org/10.2139/ssrn.3905056","url":null,"abstract":"The impact of transaction costs on asset pricing in equilibrium is rarely studied. We study an equilibrium model with proportional transaction costs where two investors trade in a derivative to hedge non-traded endowments. For any positive transaction cost there always exist no trade equilibria. There are also equilibria with trade. High equilibrium risk exposure leads to smaller costs of setting up and unwinding initial and terminal hedge positions. When the investors have similar risk aversions, the equilibrium liquidity premia and risk exposure are high. The equilibrium expected rebalancing costs are bell-shaped with respect to the difference in risk aversions.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131877115","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
Shock Amplification in an Interconnected Financial System of Banks and Investment Funds 银行与投资基金互联金融体系中的冲击放大
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-08-01 DOI: 10.2866/68326
Matthias Sydow, Aurore Schilte, Giovanni Covi, Marija Deipenbrock, Leonardo Del Vecchio, P. Fiedor, Gábor Fukker, Max Gehrend, Régis Gourdel, Alberto Grassi, B. Hilberg, Michiel Kaijser, Georgios Kaoudis, Luca Mingarelli, Mattia Montagna, Thibaut Piquard, Dilyara Salakhova, Natalia Tente
{"title":"Shock Amplification in an Interconnected Financial System of Banks and Investment Funds","authors":"Matthias Sydow, Aurore Schilte, Giovanni Covi, Marija Deipenbrock, Leonardo Del Vecchio, P. Fiedor, Gábor Fukker, Max Gehrend, Régis Gourdel, Alberto Grassi, B. Hilberg, Michiel Kaijser, Georgios Kaoudis, Luca Mingarelli, Mattia Montagna, Thibaut Piquard, Dilyara Salakhova, Natalia Tente","doi":"10.2866/68326","DOIUrl":"https://doi.org/10.2866/68326","url":null,"abstract":"This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock caused by the Covid-19 outbreak, we model three sources of exogenous shocks: a default shock, a market shock and a redemption shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks and funds provides new insights for the assessment of financial stability risks. Our analysis reveals that adding the fund sector to our model for banks leads to additional losses through fire sales and a further depletion of banks’ capital ratios by around one percentage point.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124157537","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
Empirical Study of Protective Products in an Emerging Market 新兴市场防护产品的实证研究
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3899684
Xinrong Li, Tao Guo, D. Guo
{"title":"Empirical Study of Protective Products in an Emerging Market","authors":"Xinrong Li, Tao Guo, D. Guo","doi":"10.2139/ssrn.3899684","DOIUrl":"https://doi.org/10.2139/ssrn.3899684","url":null,"abstract":"PurposeThis paper aims to study the motivations for purchasing protective products.Design/methodology/approachEmpirical microeconomic research.FindingsThe results show that comparing with ordinary families, families vulnerable to environmental conditions, including prepregnant, pregnant and postpartum families, are not intended to consume more protective products. Among the above three types of families, postpartum families consume the most, followed by pregnant families, and prepregnancy families consume the least. The results also showed that a higher level of economic development, more prevalent Internet access and higher levels of education also increase the consumption of protective products.Originality/valueNew dataset and new empirical results.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"155 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128075706","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
The Pace of Change: Socially Responsible Investing in Private Markets 变革的步伐:私人市场的社会责任投资
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-07-30 DOI: 10.2139/ssrn.3896511
Deeksha Gupta, A. Kopytov, J. Starmans
{"title":"The Pace of Change: Socially Responsible Investing in Private Markets","authors":"Deeksha Gupta, A. Kopytov, J. Starmans","doi":"10.2139/ssrn.3896511","DOIUrl":"https://doi.org/10.2139/ssrn.3896511","url":null,"abstract":"We study the pace at which socially responsible investors can induce firms to reduce negative externalities in private capital markets. Investors with broad preferences, who care about firm externalities independent of their ownership in the firm, value acquiring firms with high production externalities since they can reform these firms. The anticipation of trading gains for firms with high externalities decreases the incentive of current firm owners to reduce externalities, causing a potential delay in reform. Investment mandates through which investors can commit to paying a premium for firms with low production externalities can incentivize reform in a timely manner.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"188 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121304500","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: 7
Is Capital Reallocation Really Procyclical? 资本重新配置真的是顺周期的吗?
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2021-07-16 DOI: 10.2139/ssrn.3887918
Lingyan Yang
{"title":"Is Capital Reallocation Really Procyclical?","authors":"Lingyan Yang","doi":"10.2139/ssrn.3887918","DOIUrl":"https://doi.org/10.2139/ssrn.3887918","url":null,"abstract":"Aggregate reallocation is procyclical. This empirical observation is puzzling given the documented fact that the benefits to reallocation are countercyclical. I show that this procyclicality is entirely driven by reallocation of bundled capital (e.g. business divisions), which is highly correlated with market valuation and bears no consistent relation to measures of productivity dispersion. Reallocation of unbundled capital (e.g. specific equipment), on the contrary, is countercyclical and highly correlated with dispersion in productivity growth, both within industry and across industries. To rationalize these facts, I propose a heterogeneous agent model of investment featuring two distinct used-capital markets and a sentiment component. In equilibrium, unbundled capital is reallocated for productivity gains only, whereas bundled capital is also reallocated for real, or perceived synergies in the equity market. While equity overvaluation negatively affects total factor productivity(TFP) by encouraging excessive trading of capital, its adverse impact is largely offset by increased liquidity in the unbundled capital market.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124446936","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
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