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Are Hedge Fund Managers Systematically Misreporting? Or Not? 对冲基金经理是否有系统地误报?或不呢?
American Finance Association Meetings (AFA) Pub Date : 2013-07-27 DOI: 10.2139/ssrn.1566978
Philippe Jorion, Christopher Schwarz
{"title":"Are Hedge Fund Managers Systematically Misreporting? Or Not?","authors":"Philippe Jorion, Christopher Schwarz","doi":"10.2139/ssrn.1566978","DOIUrl":"https://doi.org/10.2139/ssrn.1566978","url":null,"abstract":"A discontinuity, or kink, at zero in the hedge fund net return distribution has been interpreted as evidence of managers manipulating returns to avoid showing small losses. Instead, we propose alternative explanations for this phenomenon. In particular, we show that incentive fees can mechanistically create a kink in the net return distribution. This mechanism accounts for almost the entire kink observed in the large, liquid Long-Short Equity style. Furthermore, we show that asset illiquidity and the bounding of yields at zero can generate distribution discontinuities as well. Therefore, we conclude that the observed hedge fund return discontinuities are not direct proof of manipulation.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122745228","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
Dealers' Competition and Control of a Central Counterparty: When Lower Risk Increases Profit 中央交易对手的竞争与控制:当风险降低利润增加时
American Finance Association Meetings (AFA) Pub Date : 2013-06-01 DOI: 10.2139/ssrn.2022439
Hector Perez Saiz, Jean-Sébastien Fontaine, Joshua Slive
{"title":"Dealers' Competition and Control of a Central Counterparty: When Lower Risk Increases Profit","authors":"Hector Perez Saiz, Jean-Sébastien Fontaine, Joshua Slive","doi":"10.2139/ssrn.2022439","DOIUrl":"https://doi.org/10.2139/ssrn.2022439","url":null,"abstract":"Central counterparties (CCPs) are becoming central to over-the-counter (OTC) markets. A CCP limits counterparty risk but raises entry barriers. We analyze the trade-off between dealers’ equilibrium default risk and competition in an OTC market with imperfect competition and endogenous default probability. We find that (i) CCP members favor entry restrictions and binding risk controls as a device to commit to less competition, (ii) restricting entry maximizes welfare when dealers’ transfer risk efficiently relative to their market power, and (iii) free entry reaches the first-best welfare if the CCP can limit risk-taking.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128409620","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: 4
The Cross-Section of Credit Risk Premia and Equity Returns 信用风险溢价与股票收益的横截面分析
American Finance Association Meetings (AFA) Pub Date : 2013-05-03 DOI: 10.2139/ssrn.1883101
Nils Friewald, C. Wagner, J. Zechner
{"title":"The Cross-Section of Credit Risk Premia and Equity Returns","authors":"Nils Friewald, C. Wagner, J. Zechner","doi":"10.2139/ssrn.1883101","DOIUrl":"https://doi.org/10.2139/ssrn.1883101","url":null,"abstract":"type=\"main\"> We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton ( ): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. This sheds new light on the “distress puzzle”—the lack of a positive relation between equity returns and default probabilities—reported in previous studies.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132536122","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: 181
The Marginal Cost of Risk, Risk Measures, and Capital Allocation 风险的边际成本、风险度量和资本配置
American Finance Association Meetings (AFA) Pub Date : 2013-05-01 DOI: 10.2139/ssrn.1787145
Daniel Bauer, George Zanjani
{"title":"The Marginal Cost of Risk, Risk Measures, and Capital Allocation","authors":"Daniel Bauer, George Zanjani","doi":"10.2139/ssrn.1787145","DOIUrl":"https://doi.org/10.2139/ssrn.1787145","url":null,"abstract":"Financial institutions use risk measures to calculate the marginal capital cost when expanding the exposure to a certain risk within their portfolio. We reverse this approach by calculating the marginal cost based on economic fundamentals for a profit-maximizing firm and then by identifying the risk measure delivering the correct marginal cost. The resulting measure depends on context. Whereas familiar measures can be recovered in some circumstances, other circumstances yield unfamiliar forms. In all cases, the risk preferences of the institution’s claimants determine how the correct risk measure must weight various default states. Our results demonstrate that risk measures used for pricing and performance measurement should be chosen based on economic fundamentals and may not necessarily adhere to the mathematical properties typically imposed in the literature. This paper was accepted by Jerome B. Detemple, finance .","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126784742","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: 40
Asset Prices with Heterogeneity in Preferences and Beliefs 偏好与信念异质性下的资产价格
American Finance Association Meetings (AFA) Pub Date : 2013-05-01 DOI: 10.2139/ssrn.1365032
Harjoat S. Bhamra, R. Uppal
{"title":"Asset Prices with Heterogeneity in Preferences and Beliefs","authors":"Harjoat S. Bhamra, R. Uppal","doi":"10.2139/ssrn.1365032","DOIUrl":"https://doi.org/10.2139/ssrn.1365032","url":null,"abstract":"In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have “catching up with the Joneses” utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate how one can obtain a closed-form solution to the consumption-sharing rule for agents who have both heterogeneous priors and heterogeneous preferences without restricting the risk aversion of the two agents to special values. We solve in closed form also for the the state-price density, the riskless interest rate and market price of risk; the stock price, equity risk premium, and volatility of stock returns; the term structure of interest rates; and the conditions necessary to obtain a stationary equilibrium in which both agents survive in the long run. The methodology we develop is sufficiently general that, as long as markets are complete, it can be used to obtain the sharing rule and state prices for models set in discrete or continuous time and for arbitrary endowment and belief updating processes.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"246 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132519742","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: 202
Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas 用Vine Copulas预测流动性调整后的日内风险价值
American Finance Association Meetings (AFA) Pub Date : 2013-04-29 DOI: 10.2139/ssrn.2013203
Gregor N. F. Weiß, Hendrik Supper
{"title":"Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas","authors":"Gregor N. F. Weiß, Hendrik Supper","doi":"10.2139/ssrn.2013203","DOIUrl":"https://doi.org/10.2139/ssrn.2013203","url":null,"abstract":"We propose to model the joint distribution of bid-ask spreads and log returns of a stock portfolio by using Autoregressive Conditional Double Poisson and GARCH processes for the marginals and vine copulas for the dependence structure. By estimating the joint multivariate distribution of both returns and bid-ask spreads from intraday data, we incorporate the measurement of commonalities in liquidity and comovements of stocks and bid-ask spreads into the forecasting of three types of liquidity-adjusted intraday Value-at-Risk (L-IVaR). In a preliminary analysis, we document strong extreme comovements in liquidity and strong tail dependence between bid-ask spreads and log returns across the firms in our sample thus motivating our use of a vine copula model. Furthermore, the backtesting results for the L-IVaR of a portfolio consisting of five stocks listed on the NASDAQ show that the proposed models perform well in forecasting liquidity-adjusted intraday portfolio profits and losses.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117062424","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: 73
Overconfident Individual Day Traders: Evidence from the Taiwan Futures Market 过度自信的个人日内交易者:来自台湾期货市场的证据
American Finance Association Meetings (AFA) Pub Date : 2013-04-23 DOI: 10.2139/ssrn.1944059
Wei-Yu Kuo, Tse-Chun Lin
{"title":"Overconfident Individual Day Traders: Evidence from the Taiwan Futures Market","authors":"Wei-Yu Kuo, Tse-Chun Lin","doi":"10.2139/ssrn.1944059","DOIUrl":"https://doi.org/10.2139/ssrn.1944059","url":null,"abstract":"A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin. Because we can identify day traders ex ante, we have a laboratory to explore trading behavior without the contamination of potential behavioral biases. Our results show that the 3470 individual day traders in the sample incur on average a significant loss of 61,500 (26,700) New Taiwan dollars after (before) transaction costs over October 2007–September 2008. This implies that day traders are not only overconfident about the accuracy of their information but also biased in their interpretations of information. We also find that excessive trading is hazardous only to the overconfident losers, but not to the winners. Last, we provide evidence that more experienced individual investors exhibit more aggressive day trading behavior, although they do not learn their types or gain superior trading skills that could mitigate their losses.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130888503","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: 42
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance 股票收益序列依赖与样本外投资组合绩效
American Finance Association Meetings (AFA) Pub Date : 2013-04-01 DOI: 10.2139/ssrn.1572526
V. DeMiguel, F. Nogales, R. Uppal
{"title":"Stock Return Serial Dependence and Out-of-Sample Portfolio Performance","authors":"V. DeMiguel, F. Nogales, R. Uppal","doi":"10.2139/ssrn.1572526","DOIUrl":"https://doi.org/10.2139/ssrn.1572526","url":null,"abstract":"We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expected returns regardless of the sign of asset return cross-covariances and autocovariances. Empirically, we show, however, that both the arbitrage and mean-variance portfolios based on the VAR model outperform the traditional unconditional portfolios only for transaction costs below ten basis points.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128422809","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: 134
Asset Pricing with Heterogeneous Investors and Portfolio Constraints 异质投资者和投资组合约束下的资产定价
American Finance Association Meetings (AFA) Pub Date : 2013-04-01 DOI: 10.2139/ssrn.1571526
G. Chabakauri
{"title":"Asset Pricing with Heterogeneous Investors and Portfolio Constraints","authors":"G. Chabakauri","doi":"10.2139/ssrn.1571526","DOIUrl":"https://doi.org/10.2139/ssrn.1571526","url":null,"abstract":"We evaluate the impact of portfolio constraints on financial markets in a dynamic equilibrium pure exchange economy with one consumption good and two CRRA investors that may differ in risk aversions, beliefs regarding the dividend process and portfolio constraints. Despite numerous applications, portfolio constraints are notoriously difficult to incorporate into dynamic equilibrium analysis without the restrictive assumption of logarithmic preferences. We provide a tractable solution method that yields new insights on the asset pricing implications of portfolio constraints such as limited stock market participation, margin requirements and short sales prohibition without restricting risk aversion parameters. We demonstrate that in a setting where one investor is unconstrained while the other faces an upper bound constraint on the proportion of wealth that can be invested in stocks the model generates countercyclical market prices of risk and stock return volatilities, procyclical price-dividend ratios, excess volatility and other patterns consistent with empirical findings. In a setting with margin requirements we demonstrate that under plausible parameters tighter constraints decrease stock return volatilities during the times when the constraints are likely to bind.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134320515","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: 27
Financial Buyers vs. Strategic Buyers 金融买家vs.战略买家
American Finance Association Meetings (AFA) Pub Date : 2013-03-23 DOI: 10.2139/ssrn.1725031
Marc Martos-Vila, Matthew Rhodes-Kropf, J. Harford
{"title":"Financial Buyers vs. Strategic Buyers","authors":"Marc Martos-Vila, Matthew Rhodes-Kropf, J. Harford","doi":"10.2139/ssrn.1725031","DOIUrl":"https://doi.org/10.2139/ssrn.1725031","url":null,"abstract":"Within the great oscillations of overall merger activity there is a shifting pattern of activity between strategic (operating firms) and financial (private equity) acquirers. What are the economic factors that drive either financial or strategic buyers to dominant positions in M&A activity? We introduce debt market misvaluation in M&A activity. Debt misvaluation might seem limited since both types of acquirer (and the target) can access misvalued debt markets. However, moral hazard and insurance effect differences between types of buyers interact with potential debt misvaluation debt, leading to a dominance of financial versus strategic buyers that depends on debt market conditions.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121537772","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
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