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Fast Filtering with Large Option Panels: Implications for Asset Pricing 快速过滤与大选项面板:对资产定价的影响
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-13 DOI: 10.1017/s0022109023000753
Arnaud Dufays, Kris Jacobs, Yuguo Liu, Jeroen Rombouts
{"title":"Fast Filtering with Large Option Panels: Implications for Asset Pricing","authors":"Arnaud Dufays, Kris Jacobs, Yuguo Liu, Jeroen Rombouts","doi":"10.1017/s0022109023000753","DOIUrl":"https://doi.org/10.1017/s0022109023000753","url":null,"abstract":"Abstract The cross section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models with latent state variables is challenging when using large option panels. We propose a particle Markov Chain Monte Carlo framework with a novel filtering approach and illustrate our method by estimating index option pricing models. Estimates of variance risk premiums, variance mean reversion, and higher moments differ from the literature. We show that these differences are due to the composition of the option sample. Restricting the option sample’s maturity dimension has the strongest impact on parameter inference and option fit in these models.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136066002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring “State-level” Economic Policy Uncertainty 衡量“国家级”经济政策的不确定性
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-13 DOI: 10.1017/s0022109023000807
Redouane Elkamhi, Chanik Jo, Marco Salerno
{"title":"Measuring “State-level” Economic Policy Uncertainty","authors":"Redouane Elkamhi, Chanik Jo, Marco Salerno","doi":"10.1017/s0022109023000807","DOIUrl":"https://doi.org/10.1017/s0022109023000807","url":null,"abstract":"An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136017352","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
In the CEO We Trust: Negative Effects of Trust between the Board and the CEO 《我们信任的CEO:董事会与CEO之间信任的负面影响
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-13 DOI: 10.1017/s0022109023000790
Kee-Hong Bae, Sadok El Ghoul, Zhaoran (Jason) Gong, Omrane Guedhami
{"title":"In the CEO We Trust: Negative Effects of Trust between the Board and the CEO","authors":"Kee-Hong Bae, Sadok El Ghoul, Zhaoran (Jason) Gong, Omrane Guedhami","doi":"10.1017/s0022109023000790","DOIUrl":"https://doi.org/10.1017/s0022109023000790","url":null,"abstract":"Abstract In this study, we investigate whether and how trust between board members and the CEO (board–CEO trust) affects the performance of mergers and acquisitions. Contrary to conventional wisdom, we find that firms with higher levels of board–CEO trust exhibit poor M&A performance. High trust is associated with low acquisition announcement returns, long-term stock return performance, and post-deal operating performance. This negative effect of board–CEO trust is more pronounced among acquiring companies prone to agency problems. Our results suggest that, in the institutional setting of corporate boards, high trust can be too much of a good thing.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136066974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Friendly Investing and Information Sharing in the Asset Management Industry 资产管理行业的友好投资与信息共享
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-05 DOI: 10.1017/s0022109023000741
Benjamin Golez, A. Rizzo, Rafael Zambrana
{"title":"Friendly Investing and Information Sharing in the Asset Management Industry","authors":"Benjamin Golez, A. Rizzo, Rafael Zambrana","doi":"10.1017/s0022109023000741","DOIUrl":"https://doi.org/10.1017/s0022109023000741","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47652885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
JFQ volume 58 issue 4 Cover and Back matter JFQ第58卷第4期封面和封底
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-01 DOI: 10.1017/s002210902300056x
{"title":"JFQ volume 58 issue 4 Cover and Back matter","authors":"","doi":"10.1017/s002210902300056x","DOIUrl":"https://doi.org/10.1017/s002210902300056x","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44932988","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
JFQ volume 58 issue 4 Cover and Front matter JFQ第58卷第4期封面和封面问题
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-01 DOI: 10.1017/s0022109023000558
{"title":"JFQ volume 58 issue 4 Cover and Front matter","authors":"","doi":"10.1017/s0022109023000558","DOIUrl":"https://doi.org/10.1017/s0022109023000558","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45619230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Minimum Wage Hikes and Technology Adoption: Evidence from U.S. Establishments 最低工资上涨和技术采用:来自美国企业的证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-23 DOI: 10.1017/s0022109023000376
X. Dai, Yue Qiu
{"title":"Minimum Wage Hikes and Technology Adoption: Evidence from U.S. Establishments","authors":"X. Dai, Yue Qiu","doi":"10.1017/s0022109023000376","DOIUrl":"https://doi.org/10.1017/s0022109023000376","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2023-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46902247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Measuring Firm Complexity 衡量企业复杂性
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-15 DOI: 10.1017/s0022109023000716
Tim Loughran, Bill McDonald
{"title":"Measuring Firm Complexity","authors":"Tim Loughran, Bill McDonald","doi":"10.1017/s0022109023000716","DOIUrl":"https://doi.org/10.1017/s0022109023000716","url":null,"abstract":"Abstract In business research, firm size is both ubiquitous and readily measured. Complexity, another firm-related construct, is also relevant, but difficult to measure and not well-defined. As a result, complexity is less frequently incorporated in empirical designs. We argue that most extant measures of complexity are one-dimensional, have limited availability, and/or are frequently misspecified. Using both machine learning and an application-specific lexicon, we develop a text solution that uses widely available data and provides an omnibus measure of complexity. Our proposed measure, used in tandem with 10-K file size, provides a useful proxy that dominates traditional measures.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136215807","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Fintech Lending and Credit Market Competition 金融科技贷款与信贷市场竞争
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-15 DOI: 10.1017/s0022109023000698
Yinxiao Chu, Jianxing Wei
{"title":"Fintech Lending and Credit Market Competition","authors":"Yinxiao Chu, Jianxing Wei","doi":"10.1017/s0022109023000698","DOIUrl":"https://doi.org/10.1017/s0022109023000698","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45920911","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Smart Beta Mirage 智能Beta幻影
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-11 DOI: 10.1017/s0022109023000674
Shiyang Huang, Yang Song, Hong Xiang
{"title":"The Smart Beta Mirage","authors":"Shiyang Huang, Yang Song, Hong Xiang","doi":"10.1017/s0022109023000674","DOIUrl":"https://doi.org/10.1017/s0022109023000674","url":null,"abstract":"Abstract We document and explain the sharp performance deterioration of smart beta indexes after the corresponding exchange-traded funds (ETFs) are launched for investment. While smart beta is purported to deliver excess returns through factor exposures, the market-adjusted return of smart beta indexes drops from about 3% “on paper” before ETF listings to about −0.50% to −1% after ETF listings. This performance decline cannot be explained by variation in factor premia, strategic timing, or diminishing returns to scale. Instead, we find strong evidence of data mining in the construction of smart beta indexes, which helps ETFs attract flows, as investors respond positively to backtests.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135473436","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","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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