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A Portfolio Model of Quantitative Easing 量化宽松的投资组合模型
IF 0.7
Quarterly Journal of Finance Pub Date : 2022-09-02 DOI: 10.1142/s2010139222500112
Jens H. E. Christensen, Signe Krogstrup
{"title":"A Portfolio Model of Quantitative Easing","authors":"Jens H. E. Christensen, Signe Krogstrup","doi":"10.1142/s2010139222500112","DOIUrl":"https://doi.org/10.1142/s2010139222500112","url":null,"abstract":"<p>This paper presents a portfolio model of asset price effects arising from central bank large-scale asset purchases, or quantitative easing (QE). Two financial frictions — segmentation of the market for central bank reserves and imperfect asset substitutability — give rise to two distinct portfolio effects. One is well known and derives from the reduced supply of the purchased assets. The other is new, runs through banks’ portfolio responses to reserves expansions, and is independent of the types of assets purchased. The results imply that central bank reserve expansions can affect long-term bond prices even in the absence of long-term bond purchases.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539326","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
Stock Liquidity and Issuing Activity 股票流动性和发行活动
IF 0.7
Quarterly Journal of Finance Pub Date : 2022-08-12 DOI: 10.1142/s2010139222500100
Alexander Barinov
{"title":"Stock Liquidity and Issuing Activity","authors":"Alexander Barinov","doi":"10.1142/s2010139222500100","DOIUrl":"https://doi.org/10.1142/s2010139222500100","url":null,"abstract":"<p>Issuing activity does not result in superior post-issue liquidity. New issues are just as liquid as their peer non-issuers. Even the kinds of new issues that are supposed to be more liquid than others (initial public offerings (IPOs) backed by venture capital, new issues with high-prestige underwriters, severely underpriced IPOs) have the same liquidity as other similar issuers. The paper thus refutes the existing liquidity-based explanations of the new issues puzzle. The paper also shows that the low-minus-high turnover factor seems to explain the new issues puzzle and related anomalies only because it picks up volatility risk.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539325","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
Public and Private Information: Firm Disclosure, SEC Letters, and the JOBS Act 公共和私人信息:公司披露、SEC信函和JOBS法案
IF 0.7
Quarterly Journal of Finance Pub Date : 2022-06-20 DOI: 10.1142/s2010139222500069
Sumit Agarwal, Sudip Gupta, Ryan Israelsen
{"title":"Public and Private Information: Firm Disclosure, SEC Letters, and the JOBS Act","authors":"Sumit Agarwal, Sudip Gupta, Ryan Israelsen","doi":"10.1142/s2010139222500069","DOIUrl":"https://doi.org/10.1142/s2010139222500069","url":null,"abstract":"<p>This paper examines the impact of the recently passed Jumpstart Our Business Startups (JOBS) Act on the behavior of market participants. Using the JOBS Act — which relaxed mandatory information disclosure requirements — as a natural experiment on firms’ choices of the mix of hard, accounting information and textual disclosures, we find that relative to a peer group of firms, initial public offering (IPO) firms reduce accounting disclosures and change textual disclosures. Because it allows a partial revelation of IPO quality, only textual disclosures affect underpricing. We also find that the Securities and Exchange Commission (SEC) changes its behavior post-JOBS Act in responding to draft registration statements. Specifically, the SEC’s comment letters to firms are more negative in tone, and more forceful in their recommendations, focusing on quantitative information. Finally, under the JOBS Act, investors place more emphasis on the information produced by the SEC when pricing the stock. Returns following public release of the letters vary by about 4% based on letter tone.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539313","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
Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence 投资者能从对冲基金策略中获益吗?基于效用的样本外证据
IF 0.7
Quarterly Journal of Finance Pub Date : 2022-05-31 DOI: 10.1142/s2010139222500070
Massimo Guidolin, Alexei G. Orlov
{"title":"Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence","authors":"Massimo Guidolin, Alexei G. Orlov","doi":"10.1142/s2010139222500070","DOIUrl":"https://doi.org/10.1142/s2010139222500070","url":null,"abstract":"<p>We report systematic, out-of-sample evidence on the benefits to an already well-diversified investor that may derive from further diversification into various hedge fund strategies. We investigate dynamic strategic asset allocation decisions that take into account investors’ preferences, realistic transaction costs, return predictability, and the parameter uncertainty that such predictability implies. Our results suggest that not all hedge fund strategies benefit a long-term investor who is already well-diversified across stocks, government and corporate bonds, and REITs. However, when parameter uncertainty is accounted for, the best performing models offer net positive economic gains to investors with low and moderate risk aversion. Most of the realized economic value fails to result from mean-variance-type enhancements in realized performance but comes instead from an improvement in realized higher-moment properties of optimal portfolios.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539323","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
Index Design: Hedging and Manipulation 指数设计:对冲和操纵
IF 0.7
Quarterly Journal of Finance Pub Date : 2022-05-27 DOI: 10.1142/s2010139222500057
Robert Jarrow, Siguang Li
{"title":"Index Design: Hedging and Manipulation","authors":"Robert Jarrow, Siguang Li","doi":"10.1142/s2010139222500057","DOIUrl":"https://doi.org/10.1142/s2010139222500057","url":null,"abstract":"<p>This paper studies optimal index design to facilitate both hedging and alleviate illegal manipulation in a competitive equilibrium paradigm, modified to deal with manipulation. Specifically, a large trader is trading both derivatives and assets that effectively hides her trades behind the competitive market clearing mechanism. Unlike the strategic game paradigm, a volume-weighted average pricing (VWAP) index introduces basis risk and encourages manipulation because of the additional randomness in volume weight and the greater price impact enjoyed by the large trader. In contrast, an equal-weighted average pricing (EWAP) index preserves market completeness and discourages manipulation.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539324","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
Do Stable Institutional Investors Influence Employee Safety? 稳定的机构投资者是否影响员工安全?
IF 0.7
Quarterly Journal of Finance Pub Date : 2022-05-18 DOI: 10.1142/s2010139222500045
Md Ruhul Amin, Hamid Sakaki
{"title":"Do Stable Institutional Investors Influence Employee Safety?","authors":"Md Ruhul Amin, Hamid Sakaki","doi":"10.1142/s2010139222500045","DOIUrl":"https://doi.org/10.1142/s2010139222500045","url":null,"abstract":"<p>Using establishment-level data compiling incidents of work-related injuries from the Occupational Safety and Health Administration (OSHA), we find that workplace injury and illness rates decrease with institutional ownership stability. Our further analyses show that firms with more stable institutional ownership are likely to initiate socially responsible investing proposals and have lower employee workloads/pressure. These results suggest two potential mechanisms through which stable institutional investors influence workplace safety. Overall, stable institutional investors seem to benefit from improvements in employee safety, as work-related injuries have a negative impact on firm value.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539319","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
Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues 暗池中的知情交易:公平进入暗池vs.限制进入暗池
IF 0.7
Quarterly Journal of Finance Pub Date : 2022-04-18 DOI: 10.1142/s2010139222500033
Nguyet Nguyen
{"title":"Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues","authors":"Nguyet Nguyen","doi":"10.1142/s2010139222500033","DOIUrl":"https://doi.org/10.1142/s2010139222500033","url":null,"abstract":"<p>Prior empirical studies find that dark pools are, on average, associated with uninformed order flow. The “exemption from fair-access requirement” has been conjectured as a necessary condition for dark venues to segment uninformed order flow. This study presents direct evidence contrasting a dark venue that offers equal access to all market participants to other dark pools which have the ability to subjectively exclude order flow. Using the period leading up to surprise corporate earnings news, I document robust evidence of informed trading taking place in the fair access dark venue. I do not find such evidence in other dark venues.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539312","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
Does Momentum Trading Generate Extra Downside Risk? 动量交易是否会产生额外的下行风险?
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-12-29 DOI: 10.1142/s201013922250001x
Victoria Dobrynskaya
{"title":"Does Momentum Trading Generate Extra Downside Risk?","authors":"Victoria Dobrynskaya","doi":"10.1142/s201013922250001x","DOIUrl":"https://doi.org/10.1142/s201013922250001x","url":null,"abstract":"<p>Momentum strategies tend to provide low returns during market crashes, and they crash themselves when the market rebounds after significant crashes. This is reflected by positive downside market betas and negative upside market betas of zero-cost momentum portfolios. Such asymmetry in upside and downside risks is unfavorable for investors and requires a risk premium. It arises mechanically because of momentum portfolio rebalancing based on trailing asset performance. The asymmetry in upside and downside risks is a robust unifying feature of momentum portfolios in various geographical and asset markets. The momentum premium can be rationalized within a standard asset-pricing framework, where upside and downside risks are priced differently.</p>","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2021-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539321","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
Bank Liquidity Hoarding and the Financial Crisis: An Empirical Evaluation 银行流动性囤积与金融危机:一个实证评价
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-10-24 DOI: 10.1142/s2010139221500208
Jose M. Berrospide
{"title":"Bank Liquidity Hoarding and the Financial Crisis: An Empirical Evaluation","authors":"Jose M. Berrospide","doi":"10.1142/s2010139221500208","DOIUrl":"https://doi.org/10.1142/s2010139221500208","url":null,"abstract":"I test and find supporting evidence for the precautionary motive hypothesis of liquidity hoarding for U.S. commercial banks during the global financial crisis. I find that banks held more liquid assets in anticipation of future losses from securities write-downs. Exposure to securities losses in their investment portfolios and expected loan losses (measured by loan loss reserves) represent key measures of banks’ on-balance sheet risks, in addition to off-balance sheet liquidity risk stemming from unused loan commitments. Furthermore, unrealized securities losses and loan loss reserves seem to better capture the risks stemming from banks’ asset management and provide supporting evidence for the precautionary nature of liquidity hoarding. Moreover, I find that more than one-fourth of the reduction in bank lending during the crisis is due to the precautionary motive.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2021-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539265","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
Anomalies in Commodity Futures Markets 商品期货市场的异常现象
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-10-07 DOI: 10.1142/s2010139221500178
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann
{"title":"Anomalies in Commodity Futures Markets","authors":"Fabian Hollstein, Marcel Prokopczuk, Björn Tharann","doi":"10.1142/s2010139221500178","DOIUrl":"https://doi.org/10.1142/s2010139221500178","url":null,"abstract":"In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2021-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539322","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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