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Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 自适应多因素模型的时不变系数检验
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-10-05 DOI: 10.1142/s2010139221500191
Liao Zhu, Robert A. Jarrow, Martin T. Wells
{"title":"Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model","authors":"Liao Zhu, Robert A. Jarrow, Martin T. Wells","doi":"10.1142/s2010139221500191","DOIUrl":"https://doi.org/10.1142/s2010139221500191","url":null,"abstract":"This paper tests a multi-factor asset pricing model that does not assume that the return’s beta coefficients are constants. This is done by estimating the generalized arbitrage pricing theory (GAPT) using price differences. An implication of the GAPT is that when using price differences instead of returns, the beta coefficients are constant. We employ the adaptive multi-factor (AMF) model to test the GAPT utilizing a Groupwise Interpretable Basis Selection (GIBS) algorithm to identify the relevant factors from among all traded exchange-traded funds. We compare the performance of the AMF model with the Fama–French 5-factor (FF5) model. For nearly all time periods less than six years, the beta coefficients are time-invariant for the AMF model, but not for the FF5 model. This implies that the AMF model with a rolling window (such as five years) is more consistent with realized asset returns than is the FF5 model.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"74 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539392","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
Risk and Ambiguity in Turbulent Times 动荡时期的风险和模糊性
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-09-30 DOI: 10.1142/s2010139222400018
Menachem Brenner, Yehuda Izhakian
{"title":"Risk and Ambiguity in Turbulent Times","authors":"Menachem Brenner, Yehuda Izhakian","doi":"10.1142/s2010139222400018","DOIUrl":"https://doi.org/10.1142/s2010139222400018","url":null,"abstract":"This paper focuses on the 2008–2020 period during which two major crises, affecting the economy and the financial markets, occurred. Between 2008 and 2020, there were less extreme tail events, including the lingering Eurozone and Greece crises. In particular, after extremely high stock market volatility and volatility of volatility (VoV) during 2008, the long-run average volatility declined to about 20% and the VoV to around 100%. This paper analyzes this period through the lens of risk and ambiguity (uncertainty). It aims to address the question: what are the financial markets that trade risk — the volatility derivatives markets — telling us? To this end, this paper uses several measures of uncertainty. It reviews the history of volatility and uncertainty measures and discusses their informativeness. It then discusses the information derived from volatility derivatives.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"21 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539362","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
Modeling Non-Maturing Demand Deposits: A Proposed Methodology to Determining the Idiosyncratic Confidence Level Used for Separating Stable Deposit Volumes From Volatile Deposit Volumes 为未到期活期存款建模:一种确定用于分离稳定存款量和不稳定存款量的特殊置信水平的建议方法
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-09-30 DOI: 10.1142/s2010139222400067
Sophie Döpp, Andre Horovitz, Alexander Szimayer
{"title":"Modeling Non-Maturing Demand Deposits: A Proposed Methodology to Determining the Idiosyncratic Confidence Level Used for Separating Stable Deposit Volumes From Volatile Deposit Volumes","authors":"Sophie Döpp, Andre Horovitz, Alexander Szimayer","doi":"10.1142/s2010139222400067","DOIUrl":"https://doi.org/10.1142/s2010139222400067","url":null,"abstract":"This paper aims to develop a methodology for the estimation of the idiosyncratic confidence level inherent within the process of determining the threshold of separation between volatile and stable deposit volumes. The idiosyncratic confidence level must be reflective of the institution’s specific risk preferences and liquidity risk management policies as anchored into the Principle 9 of the European Banking Authority and Basel Committee for Banking Supervision recommendations. We illustrate the proposed methodology by including liquidity constraints from the Basel III regulatory recommendations introduced in 2013. Furthermore, we point to other ancillary applications of such procedures in the financial risk management practice.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"23 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539269","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
Designing Bankers’ Pay: Using Contingent Capital to Reduce Risk-Shifting Incentives 设计银行家薪酬:利用或有资本减少风险转移激励
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-09-27 DOI: 10.1142/s2010139222400055
Jens Hilscher, Sharon Peleg Lazar, Alon Raviv
{"title":"Designing Bankers’ Pay: Using Contingent Capital to Reduce Risk-Shifting Incentives","authors":"Jens Hilscher, Sharon Peleg Lazar, Alon Raviv","doi":"10.1142/s2010139222400055","DOIUrl":"https://doi.org/10.1142/s2010139222400055","url":null,"abstract":"Including contingent convertible bonds (coco) in the capital structure of a bank affects the sensitivity to risk of its equity-based compensation. Such risk-shifting incentives can be reduced if the coco bonds are well-designed. Similarly, we show that compensating executives with well-designed coco bonds can also reduce risk-shifting incentives. In practice, however, most coco bonds have characteristics that result in both stock and coco compensation having large sensitivities to changes in asset risk — equity-based compensation encourages executives to increase risk, coco compensation to reduce risk. We show that a pay package combining both stock and coco can practically eliminate risk-shifting incentives and that it can be implemented with a bank’s preexisting coco bonds.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"190 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539263","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
Asset Prices and Pandemics: The Effects of Lockdowns 资产价格和流行病:封锁的影响
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-09-25 DOI: 10.1142/s201013922240002x
Jerome Detemple
{"title":"Asset Prices and Pandemics: The Effects of Lockdowns","authors":"Jerome Detemple","doi":"10.1142/s201013922240002x","DOIUrl":"https://doi.org/10.1142/s201013922240002x","url":null,"abstract":"We examine the impact of pandemics on equilibrium in an integrated epidemic-economy model with production. Two types of technologies are considered: a neo-classical technology and one capturing the notion of time-to-produce. The impact of a shelter-in-place policy with and without layoffs is studied. The paper documents adjustments in interest rate, market price of risk, stock market and real wage as the epidemic propagates. It shows the qualitative effects of a shelter-in-place policy in the model are consistent with the patterns displayed by the stock market and real wage during the COVID-19 outbreak. Puzzles emerging from the analysis are outlined.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"50 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539267","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
Flooded Social Connections 淹没的社会关系
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-08-20 DOI: 10.1142/s201013922150018x
Dimuthu Ratnadiwakara
{"title":"Flooded Social Connections","authors":"Dimuthu Ratnadiwakara","doi":"10.1142/s201013922150018x","DOIUrl":"https://doi.org/10.1142/s201013922150018x","url":null,"abstract":"Does salient information on social media influence individuals’ economic decisions and beliefs? Using aggregated data from Facebook and a difference-in-differences strategy, I show that individuals who are socially connected to someone affected by Hurricane Harvey are more likely to purchase flood insurance policies after the event. This effect is stronger in areas at higher risk of flooding. Being socially connected to someone affected by Hurricane Harvey also influences individuals’ perceptions of global warming.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"23 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539258","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
State Income Tax Changes and the Demand for Municipal Bond Funds 州所得税变动和对市政债券基金的需求
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-06-16 DOI: 10.1142/s2010139221500166
Jon A. Fulkerson, Nancy L. Haskell
{"title":"State Income Tax Changes and the Demand for Municipal Bond Funds","authors":"Jon A. Fulkerson, Nancy L. Haskell","doi":"10.1142/s2010139221500166","DOIUrl":"https://doi.org/10.1142/s2010139221500166","url":null,"abstract":"We consider how state income tax changes affect the demand for municipal bonds by in-state investors. A tax increase (decrease) makes investing in municipal bonds more (less) desirable, and theory predicts a change in demand by investors until the yields on municipal bonds reach a new equilibrium. Using a sample of state-specific municipal bond funds, we find states with tax decreases have net outflows in the following year of approximately 2% per percentage point drop in tax rates, while tax increases lead to inflows around 1.58%. We find that the response to tax changes is not the immediate reallocation predicted in perfect markets with no frictions.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"185 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539344","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
Secured Debt, Agency Problems, and the Classic Model of the Firm 担保债务、代理问题和企业的经典模型
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-03-29 DOI: 10.1142/S2010139221500154
Javier F. Navas
{"title":"Secured Debt, Agency Problems, and the Classic Model of the Firm","authors":"Javier F. Navas","doi":"10.1142/S2010139221500154","DOIUrl":"https://doi.org/10.1142/S2010139221500154","url":null,"abstract":"","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"356 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84886705","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 Use of ETFs in Internationally-Focused Mutual Fund Portfolios etf在国际共同基金投资组合中的应用
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-03-22 DOI: 10.1142/S2010139221500129
D. Sherrill, Sara E. Shirley, Jeffrey R. Stark
{"title":"The Use of ETFs in Internationally-Focused Mutual Fund Portfolios","authors":"D. Sherrill, Sara E. Shirley, Jeffrey R. Stark","doi":"10.1142/S2010139221500129","DOIUrl":"https://doi.org/10.1142/S2010139221500129","url":null,"abstract":"We explore the implications of US-based, internationally-focused equity mutual funds holding exchange traded funds (ETFs). We observe significant differences in how ETFs are used by international mutual funds compared to their domestic equity counterparts. Internationally-focused mutual funds use ETFs to alter the return-based and country risk exposures of the mutual fund. In addition to altering the risk of the fund, we find increases in ETF-use coincide with a change in performance, an investment in a greater number of countries, and a reduction the number of direct equity holdings.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"30 1","pages":"2150012"},"PeriodicalIF":0.7,"publicationDate":"2021-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82444758","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
Sequential Learning of Cryptocurrency Volatility Dynamics: Evidence Based on a Stochastic Volatility Model with Jumps in Returns and Volatility 加密货币波动动态的顺序学习:基于收益和波动率跳跃的随机波动模型的证据
IF 0.7
Quarterly Journal of Finance Pub Date : 2021-03-13 DOI: 10.1142/S2010139221500105
Jing-Zhi Huang, Zhijian (James) Huang, Li Xu
{"title":"Sequential Learning of Cryptocurrency Volatility Dynamics: Evidence Based on a Stochastic Volatility Model with Jumps in Returns and Volatility","authors":"Jing-Zhi Huang, Zhijian (James) Huang, Li Xu","doi":"10.1142/S2010139221500105","DOIUrl":"https://doi.org/10.1142/S2010139221500105","url":null,"abstract":"This paper studies the dynamics of cryptocurrency volatility using a stochastic volatility model with simultaneous and correlated jumps in returns and volatility. We estimate the model using an efficient sequential learning algorithm that allows for learning about multiple unknown model parameters simultaneously, with daily data on four popular cryptocurrencies. We find that these cryptocurrencies have quite different volatility dynamics. In particular, they exhibit different return-volatility relationships: While Ethereum and Litecoin show a negative relationship, Chainlink displays a positive one and interestingly, Bitcoin’s one changes from negative to positive in June 2016. We also provide evidence that the sequential learning algorithm helps better detect large jumps in the cryptocurrency market in real time. Overall, incorporating volatility jumps helps better capture the dynamic behavior of highly volatile cryptocurrencies.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"26 1","pages":"2150010"},"PeriodicalIF":0.7,"publicationDate":"2021-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81952119","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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