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Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments 多样性是生活的调味品:适应随机环境的非理性行为
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-08-07 DOI: 10.1142/S201013921850009X
T. J. Brennan, A. Lo, Ruixun Zhang
{"title":"Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments","authors":"T. J. Brennan, A. Lo, Ruixun Zhang","doi":"10.1142/S201013921850009X","DOIUrl":"https://doi.org/10.1142/S201013921850009X","url":null,"abstract":"The debate between rational models of behavior and their systematic deviations, often referred to as “irrational behavior”, has attracted an enormous amount of research. Here, we reconcile the debate by proposing an evolutionary explanation for irrational behavior. In the context of a simple binary choice model, we show that irrational behaviors are necessary for evolution in stochastic environments. Furthermore, there is an optimal degree of irrationality in the population depending on the degree of environmental randomness. In this process, mutation provides the important link between rational and irrational behaviors, and hence the variety in evolution. Our results yield widespread implications for financial markets, corporate behavior, and disciplines beyond finance.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89800060","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: 5
The Asymmetric Effects of Monetary Policy on Stock Market 货币政策对股票市场的非对称效应
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-08-07 DOI: 10.1142/S2010139218500088
Cheng Jiang
{"title":"The Asymmetric Effects of Monetary Policy on Stock Market","authors":"Cheng Jiang","doi":"10.1142/S2010139218500088","DOIUrl":"https://doi.org/10.1142/S2010139218500088","url":null,"abstract":"This paper shows that the effects of expansionary monetary policy on the U.S. stock market are asymmetric across different monetary policy phases and different stock market regimes. A Markov-switching dynamic factor model dates the periods of stock market regimes, and generates a new composite measure for overall stock market movements. A time-varying parameter analysis finds that an expansionary monetary policy such as an increase in monetary aggregates or a decrease in the Federal funds rate has positive impacts on stock returns only during the periods in which they are used as monetary policy targets by the Federal Reserve.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84409412","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
Risk Premia in the 8:30 Economy 8:30经济中的风险溢价
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-08-07 DOI: 10.1142/S2010139218500106
Jon Faust, Jonathan H. Wright
{"title":"Risk Premia in the 8:30 Economy","authors":"Jon Faust, Jonathan H. Wright","doi":"10.1142/S2010139218500106","DOIUrl":"https://doi.org/10.1142/S2010139218500106","url":null,"abstract":"Financial asset risk premia are widely agreed to vary over time. This paper decomposes these risk premia into expected excess returns earned in short windows around the times of macroeconomic news announcements (which mostly come out at 8:30am) and the expected excess returns that are earned at other times. Using intradaily data, we find that some, but not all, of the time-varying expected excess returns accrue right around macroeconomic announcements. In forecasting six-month cumulative bond returns, there is more predictability in announcement windows than at other times.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72957108","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: 19
Investor Relations Role in Merger and Acquisition Activity 投资者关系在并购活动中的作用
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-04-26 DOI: 10.1142/S2010139218500064
Kate Upton
{"title":"Investor Relations Role in Merger and Acquisition Activity","authors":"Kate Upton","doi":"10.1142/S2010139218500064","DOIUrl":"https://doi.org/10.1142/S2010139218500064","url":null,"abstract":"Managers are increasingly likely to use investor relations (IR) specialists to communicate to their investors during takeover contests. This paper is the first to study the use of external IR firms and their relation to merger and acquisition (M&A) deal characteristics. Targets that employ IR exhibit increased deal premiums, increases in the time to resolution, and a lower likelihood of deal completion, which may be associated with an IR firm’s media campaign and efforts to delay or prevent a deal. Bidders who utilize IR resources have deals that are more likely to be completed, which likely reflects their ability to educate investors.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87075116","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: 3
The Explanatory Power of Order Imbalance Measures 秩序不平衡测度的解释力
IF 0.7
Quarterly Journal of Finance Pub Date : 2017-12-26 DOI: 10.1142/S2010139218500039
B. H. Johnson, Ethan D. Watson
{"title":"The Explanatory Power of Order Imbalance Measures","authors":"B. H. Johnson, Ethan D. Watson","doi":"10.1142/S2010139218500039","DOIUrl":"https://doi.org/10.1142/S2010139218500039","url":null,"abstract":"In modern markets, limit order traders can no longer be characterized as passive traders, which has led some researchers to argue that limit orders, rather than trades, are the informational unit in today’s markets. If this is true, measures such as order imbalance, which uses signed trades and captures the information from liquidity demanders, may not be as valid as they once were. We calculate two measures of limit order imbalance and examine the relation between limit order imbalances and returns. We find evidence that limit order imbalances explain returns, but conclude that traditional order imbalance has more explanatory power. Thus, our results suggest that limit orders have not trumped trades as the informational unit in today’s markets.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2017-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81327624","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: 3
Cyclical and Persistent Carry Trade Returns and Forward Premia 周期性和持续性套利交易收益和远期溢价
IF 0.7
Quarterly Journal of Finance Pub Date : 2017-11-22 DOI: 10.1142/S2010139217500100
Haitham A. Al-Zoubi
{"title":"Cyclical and Persistent Carry Trade Returns and Forward Premia","authors":"Haitham A. Al-Zoubi","doi":"10.1142/S2010139217500100","DOIUrl":"https://doi.org/10.1142/S2010139217500100","url":null,"abstract":"We show that carry trade excess returns and forward premia of exchange rates possess persistent and clear business-cycle patterns. Our results contradict the peso model of hedged carry trade developed by [Burnside, C., M. Eichenbaum, I. Kleshchelski, and S. Rebelo, 2011, Do Peso Problems Explain the Returns to the Carry Trade?, Review of Financial Studies 24(3), 853–891.] and the overconfidence model of carry trade developed by [Burnside, C., B. Han, D. Hirshleifer, and T. Y. Wang, 2011, Investor Overconfidence and the Forward Premium Puzzle, Review of Economic Studies 78(2), 523–558.]. Our results support equilibrium asset pricing models and share the habit formation view of [Verdelhan, A., 2010, A Habit-Based Explanation of the Exchange Rate Risk Premium, Journal of Finance 65(1), 123–145.] that requires countercyclical risk premia. In bad times, when risk aversion is high and domestic interest rates are low, investors require positive currency excess returns. Consistent with [Lustig, H., N. Roussanov, and A. Verdelhan, 2014, Countercyclical Currency Risk Premia, Journal of Financial Economics 111(3), 527–553.] the cyclicality of excess returns is associated with the cyclicality of forward premia. We find that the persistence in forward premia and excess returns is related to their cyclicality. Our results are robust to the [Lustig, H., N. Roussanov, and A. Verdelhan, 2011, Common Risk Factors in Currency Market, Review of Financial Studies 24(11), 3731–3777; Lustig, H., N. Roussanov, and A. Verdelhan, 2014, Countercyclical Currency Risk Premia, Journal of Financial Economics 111(3), 527–553.] high-minus-low (HML) and “dollar carry trade” portfolios.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2017-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82310109","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
Property Rights and CDS Spreads: When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? 产权与CDS价差:何时存在从主权向企业的强烈转移风险?
IF 0.7
Quarterly Journal of Finance Pub Date : 2017-11-22 DOI: 10.1142/S2010139217500136
Jennie Bai, S. Wei
{"title":"Property Rights and CDS Spreads: When Is There a Strong Transfer Risk from the Sovereigns to the Corporates?","authors":"Jennie Bai, S. Wei","doi":"10.1142/S2010139217500136","DOIUrl":"https://doi.org/10.1142/S2010139217500136","url":null,"abstract":"When a sovereign faces the risk of debt default, it attempts to expropriate the private sector. But the likelihood of a transfer from the sovereign risk to corporate default risk can be mitigated by legal institutions that provide strong property rights protection. Using a novel credit default swaps (CDSs) dataset covering both government and corporate entities across 30 countries, this paper studies the strength of the transfer risk and the role of institutions in mitigating such risk. We find that sovereign risk on average has a statistically and economically significant influence on corporate credit risk. All else equal, a 100 basis points increase in the sovereign CDS spread leads to an increase in corporate CDS spreads by 74 basis points. The sovereign–corporate relation varies across corporations, with state-owned companies exhibiting a stronger relation. However, strong property rights institutions tend to weaken the connection. In contrast, contracting institutions (protection of creditor rights or minority shareholder rights) do not appear to matter in this context.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2017-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83821465","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
The Impact of Exogenous Corporate Governance Changes on Innovation and Market Value 外生公司治理变化对创新和市场价值的影响
IF 0.7
Quarterly Journal of Finance Pub Date : 2017-11-15 DOI: 10.1142/S2010139218400013
Lei Gao, Andrey G. Zagorchev
{"title":"The Impact of Exogenous Corporate Governance Changes on Innovation and Market Value","authors":"Lei Gao, Andrey G. Zagorchev","doi":"10.1142/S2010139218400013","DOIUrl":"https://doi.org/10.1142/S2010139218400013","url":null,"abstract":"We investigate how exogenous corporate governance changes in terms of anti-takeover provisions affect the innovation and market value of the firm. Consistent with our conjecture, using triple difference-in-differences models, we find that the unexpected changes in the interpretation of the case law cause a decrease in innovation for Delaware firms with classified boards, entrenched managers, and in less competitive industries. We also show that after the case rulings for Delaware firms, lower (higher) innovation activities are associated with lower (higher) market values. Our results are robust to inclusion of conventional governance measures, alternative model specifications, and different measures of innovation.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2017-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88856773","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
Is There an On-the-Run Premium in TIPS? TIPS有暂存保费吗?
IF 0.7
Quarterly Journal of Finance Pub Date : 2017-09-25 DOI: 10.1142/S201013922050007X
Jens H. E. Christensen, Jose A. Lopez, Patrick Shultz
{"title":"Is There an On-the-Run Premium in TIPS?","authors":"Jens H. E. Christensen, Jose A. Lopez, Patrick Shultz","doi":"10.1142/S201013922050007X","DOIUrl":"https://doi.org/10.1142/S201013922050007X","url":null,"abstract":"In the U.S. Treasury market, the most recently issued, or so-called “on-the-run,” security typically trades at a price above those of more seasoned but otherwise comparable securities. This difference is known as the on-the-run premium. In this paper, yield spreads between pairs of Treasury Inflation-Protected Securities (TIPS) with both matching and nearly-matching maturities but of separate vintages are analyzed. Adjusting for differences in conventional liquidity premiums, values of embedded deflation options, and coupon rates, the results show a small, insignificant premium on recently issued TIPS, which leads us to conclude that there is no on-the-run premium in the TIPS market.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2017-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86802637","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
Humans, Econs and Portfolio Choice 人类、经济和投资组合选择
IF 0.7
Quarterly Journal of Finance Pub Date : 2017-06-01 DOI: 10.1142/S201013921750001X
M. Best, R. Grauer.
{"title":"Humans, Econs and Portfolio Choice","authors":"M. Best, R. Grauer.","doi":"10.1142/S201013921750001X","DOIUrl":"https://doi.org/10.1142/S201013921750001X","url":null,"abstract":"We compare the portfolio choices of Humans — prospect theory investors — to the portfolio choices of Econs — power utility and mean-variance (MV) investors. In a numerical example, prospect theory portfolios are decidedly unreasonable. In an in-sample asset allocation setting, the prospect theory results are consistent with myopic loss aversion. However, the portfolios are extremely unstable. The power utility and MV results are consistent with traditional finance theory, where the portfolios are stable across decision horizons. In an out-of-sample asset allocation setting, the power utility and portfolios outperform the prospect theory portfolios. Nonetheless the prospect theory portfolios with loss aversion coefficients of 2.25 and 2 perform well.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73096039","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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