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Behavioral Biases of Dealers in U.S. Treasury Auctions 美国国债拍卖中交易商的行为偏差
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2004-12-01 DOI: 10.2139/SSRN.545822
David Goldreich
{"title":"Behavioral Biases of Dealers in U.S. Treasury Auctions","authors":"David Goldreich","doi":"10.2139/SSRN.545822","DOIUrl":"https://doi.org/10.2139/SSRN.545822","url":null,"abstract":"This paper provides evidence of bounded rationality by large dealers in U.S. Treasury auctions. I argue that these dealers use a heuristic of yield-space bidding which leads to biases manifested in three ways: they submit dominated bids, i.e., those that could be improved without raising the bidding price; they bid in a manner that disregards the unevenly spaced price grid; and they round bids in yield space. Consistent with bounded rationality, I show that bidders are less susceptible to bias when the cost of suboptimal bidding is high. While the literature provides substantial evidence of behavioral biases among individual investors, they are less well documented for large sophisticated institutions that are likely to be important for setting asset prices. These primary bond dealers who regularly bid for billions of dollars in Treasury bill auctions are precisely such economic agents.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123148068","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: 14
Conditioning Information, Out-of-Sample Validation, and the Cross-Section of Stock Returns 条件信息，样本外验证和股票收益的横截面
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2004-03-01 DOI: 10.2139/ssrn.559964
Kevin Q. Wang
{"title":"Conditioning Information, Out-of-Sample Validation, and the Cross-Section of Stock Returns","authors":"Kevin Q. Wang","doi":"10.2139/ssrn.559964","DOIUrl":"https://doi.org/10.2139/ssrn.559964","url":null,"abstract":"Empirical research on conditional asset pricing has been built on several standard return-predictive variables. However, recent studies have raised serious doubts on these variables that typically serve as the instruments to capture the relevant conditioning information. In the stochastic discount factor framework, we propose and implement a new approach to assess the value of the standard instruments. We compare the out-of-sample performances of conditional models that are built on different subsets of several widely-used instruments. We find that some combinations of these instruments, after adjusting for the effect of the horse-race over all the subsets, can significantly improve the out-of-sample performance for pricing the cross-section of stock returns. In contrast, some other subsets give rise to conditional models that drastically underperform the unconditional model. The results affirm the value of the conditioning instruments for cross-sectional asset pricing and highlight the importance of instrument selection.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128286233","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
Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium 盯着枪管，瞄准准星:瞄准事前股权溢价
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2003-01-01 DOI: 10.2139/ssrn.308743
R. Donaldson, M. Kamstra, Lisa A. Kramer
{"title":"Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium","authors":"R. Donaldson, M. Kamstra, Lisa A. Kramer","doi":"10.2139/ssrn.308743","DOIUrl":"https://doi.org/10.2139/ssrn.308743","url":null,"abstract":"The equity premium of interest in theoretical models is the extra return investors anticipate when purchasing risky stock instead of risk-free debt. Unfortunately, we do not observe this ex ante premium in the data; we only observe the returns that investors actually receive ex post, after they purchase the stock and hold it over some period of time during which random economic shocks affect prices. Over the past century U.S. stocks have returned roughly 6 percent more than risk-free debt, which is higher than warranted by standard economic theory; hence the \"equity premium puzzle.\" In this paper we devise a method to simulate the distribution from which ex post equity premia are drawn, conditional on various assumptions about investors' ex ante equity premium. Comparing statistics that arise from our simulations with key financial characteristics of the U.S. economy, including dividend yields, Sharpe ratios, and interest rates, suggests a much narrower range of plausible equity premia than has been supported to date. Our results imply that the true ex ante equity premium likely lies very close to 4 percent.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133730188","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
Asset Prices and Informed Traders' Abilities: Evidence from Experimental Asset Markets 资产价格与知情交易者的能力:来自实验性资产市场的证据
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2002-12-01 DOI: 10.2139/ssrn.367600
Lucy F. Ackert, Bryan K. Church, Ping Zhang
{"title":"Asset Prices and Informed Traders' Abilities: Evidence from Experimental Asset Markets","authors":"Lucy F. Ackert, Bryan K. Church, Ping Zhang","doi":"10.2139/ssrn.367600","DOIUrl":"https://doi.org/10.2139/ssrn.367600","url":null,"abstract":"This study reports the results of fifteen experimental asset markets designed to investigate the effects of forecasts on market prices, traders' abilities to assess asset value, and the link between the two. Across the fifteen markets, the authors investigate alternative forecast-generating processes. In some markets the process produces an unbiased estimate of asset value and in others a biased estimate. The processes generating the biased forecasts, though, are less variable than the process generating the unbiased forecast. The authors find that, in general, period-end asset price reflects private forecasts, regardless of the forecast-generating process. Subsequently, they investigate whether traders' abilities to use forecasts differ across the forecast-generating processes. The authors find that most are able to properly use unbiased forecasts. They refer to them as smart traders. By comparison, a significant proportion is unable to properly use biased forecasts (typically traders' adjustments for bias are insufficient). Linking market outcomes and traders' abilities, the authors find that asset price appears to properly reflect unbiased forecasts as long as the market includes at least two smart informed traders who have sufficient ability to influence market outcomes. To obtain a comparable result in markets with the biased forecast, at least three smart informed traders with sufficient ability to influence market outcomes are necessary.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"104 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121097578","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
Exploring Multifactor Models: Horse Races, Forecasts, and Bootstrap 探索多因素模型:赛马、预测和引导
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2001-11-01 DOI: 10.2139/ssrn.292579
Kevin Q. Wang
{"title":"Exploring Multifactor Models: Horse Races, Forecasts, and Bootstrap","authors":"Kevin Q. Wang","doi":"10.2139/ssrn.292579","DOIUrl":"https://doi.org/10.2139/ssrn.292579","url":null,"abstract":"Multifactor asset pricing models play an important role in evaluation of anomalies and managed portfolios. In empirical studies, however, the researchers' prior often includes a rich set of competing models which all seem plausible, but none is conclusively dominant. In this paper we propose a unified approach to model selection and inference for application and evaluation of factor pricing models. We run horse races among a set of high profile models to select winners according to predictive ability and then utilize White's (2000) reality check methodology to test the top performers. We provide empirical results on testing multifactor explanations of industry momentum, and present a test of the three moment CAPM.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"246 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114008780","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
More than a Dummy: The Probability of Failure, Survival and Acquisition of Firms in Financial Distress 不只是一个假人:财务困境中企业的失败、生存和收购概率
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2001-02-02 DOI: 10.2139/ssrn.260949
T. Åstebro, J. Winter
{"title":"More than a Dummy: The Probability of Failure, Survival and Acquisition of Firms in Financial Distress","authors":"T. Åstebro, J. Winter","doi":"10.2139/ssrn.260949","DOIUrl":"https://doi.org/10.2139/ssrn.260949","url":null,"abstract":"We discuss three methodological issues concerning forecasts of the outcome of financial distress. First, we argue that rather than using a binary model the outcome of financial distress should be modeled using a multinomial specification that distinguishes between failure, survival as going concern, and acquisition. We also argue for a random rather than matched-pair sampling technique to better reflect decision making reality. Finally, we investigate the value of using industry-mean adjusted regressors. We find that the binary bankruptcy model is mis-specified relative to the multinomial model, that the matched sampling technique overstates model accuracy and that industry specific intercepts have better explanatory power than industry-adjusted regressors.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128088181","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: 92
Bookbuilding and Strategic Allocation 簿记和战略配置
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 1999-03-01 DOI: 10.2139/ssrn.157352
Francesca Cornelli, David Goldreich
{"title":"Bookbuilding and Strategic Allocation","authors":"Francesca Cornelli, David Goldreich","doi":"10.2139/ssrn.157352","DOIUrl":"https://doi.org/10.2139/ssrn.157352","url":null,"abstract":"In the bookbuilding procedure, an investment banker solicits bids for shares from institutional investors prior to pricing an equity issue. The banker then prices the issue and allocates shares at his discretion to the investors. We examine the books for 39 international equity issues. We find that the investment banker awards more shares to bidders who provide information in their bids. Regular investors receive favorable allocations, especially when the issue is heavily oversubscribed. The investment banker also favors revised bids and domestic investors. Copyright The American Finance Association 2001.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129251306","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: 466
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