We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance and interpretability. Under the mean-variance efficient framework, P-Trees construct test assets that significantly advance the efficient frontier compared to commonly used test assets, with alphas unexplained by benchmark pricing models. P-Tree tangency portfolios also constitute traded factors, recovering the pricing kernel and outperforming popular observable and latent factor models for investments and cross-sectional pricing. Finally, P-Trees capture the complexity of asset returns with sparsity, achieving out-of-sample Sharpe ratios close to those attained only by over-parameterized large models.
Bond mutual funds holding illiquid assets (e.g., corporate bonds) actively manage their positions in Treasuries to buffer redemption shocks. We argue and show supporting evidence that this liquidity management practice can induce fragility in Treasury prices. We find that Treasury pairs commonly held by bond funds exhibit higher return comovement than pairs with little fund common ownership. This effect is more pronounced during downside markets or when funds experience large outflows, but is weak for corporate bond pairs. We address endogeneity concerns by exploiting two plausibly exogenous events: the outbreak of COVID-19 and the 2003 mutual fund scandal.
This paper studies whether investor composition affects the sovereign debt market. We construct a data set of sovereign debt holdings by foreign and domestic bank, nonbank private and official investors for 101 countries across three decades. Compared with other investors, private nonbank investors absorb a disproportionate share of the debt supply, and their demand for emerging market debt is most price responsive. A counterfactual analysis of emerging market sovereigns shows a 10% increase in debt leads to a 5.8% yield increase but an outsized 8.4% increase without nonbank investors. We conclude that sovereigns are vulnerable to the loss of nonbanks.
Using intraday 2015-2019 short sale data from CBOE and FINRA, we examine the intraday time patterns and information content of on-exchange and off-exchange shorting. Midday short sales and those near the open strongly and negatively predict the cross-section of stock returns at daily horizons and up to 12 weeks ahead. Short sales near the close are only informative at next-day horizons. We also connect earnings/analyst news to shorting flows. Shorting near the open reacts strongly to and anticipates bad-news releases. Shorting near the close only anticipates post-close firm news. Our evidence supports both Kyle (1985) and Holden and Subrahmanyam (1992).
We provide robust empirical evidence that uncovers the reason for the observed closer relationship between the bond market versus the equity market and the macroeconomy. Our results indicate that the tight bond market-macroeconomy link is not due to differences in the investor base, but instead to the unique transformations of asset volatility and leverage that credit spreads and equity volatility represent. We focus on the investment channel. Using firm-level data, we find that the sensitivity of investment to equity volatility is highly significant, but changes sign in the cross section of firms depending on their distance to default. This sign change confounds aggregate inference. We rationalize these findings using a simple structural model of credit risk and investment with debt overhang.
We study optimal adversarial information design in a dynamic regime change game. Agents decide when to attack, if at all. We assume (1) delay incurs a continuous cost and (2) agents doubt the correctness of their actions. The game may end in a "disaster" due to weak fundamentals or panic-agents attacking despite sound fundamentals. We propose a "timely disaster alert" that promptly warns about impending disasters, making waiting for and following the alert the unique rationalizable strategy, thereby eliminating panic. We relate this optimal policy to early-warning systems such as bank stress tests and debt sustainability analysis.
ABSTRACT The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio‐driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, portfolio rebalancing, tax considerations, or investor heterogeneity. Our evidence suggests that investors form mental frames at both the stock and the portfolio levels and that these frames combine to generate the PDDE.
We find that disclosing bank-specific information reallocates systemic risk, but whether it mitigates systemic bank runs depends on the nature of information disclosed. Disclosure reveals banks’ resilience to adverse shocks and shifts systemic risk from weak to strong banks. Yet, only disclosure of banks’ exposure to systemic risk can mitigate systemic bank runs because it shifts systemic risk from more vulnerable banks to those less vulnerable. Disclosure of banks’ idiosyncratic shortfalls of funds does not differentiate such exposure, rendering the resultant reallocation of systemic risk ineffective in mitigating systemic runs.
We propose a tractable model of dynamic investment, division sales (spinoffs), financing, and risk management for a multi-division firm that faces costly external finance. The model highlights the importance of considering the intertwined nature of the different policies. Our main results are as follows: (1) risk management considerations prescribe the allocation of resources based not only on the divisions' productivity — as in standard models of ''winner picking'' — but also their risk; (2) firms may choose to voluntarily spin off productive divisions to increase liquidity; (3) diversification can reduce firm value especially in low liquidity states, as it increases the cost of a spinoff and hampers liquidity management; (4) with corporate socialism, liquidity is less valuable since it is less costly to replenish the firm's liquidity through a spinoff; and (5) division-level investment is set such that the ratio between marginal q and the marginal cost of investing in each division equals the marginal value of cash.
Using comprehensive account-level data, we separate Chinese retail investors into 5 groups and document strong heterogeneity in trading dynamics and performances. Retail investors with smaller account sizes cannot predict future returns correctly, display daily momentum patterns, fail to process public news, and show overconfidence and gambling preferences, while retail investors with larger account balances predict future returns correctly, display contrarian patterns, and incorporate public news in trading. Using performance measures established in previous literature, we find that smaller retail investors suffer from poor stock selection abilities and trading costs, while large retail investors' stock selection abilities are offset by trading costs.
We examine how executive compensation can be designed to facilitate product market collusion. We look at the 2013 decision to close several regional offices of the U.S. Department of Justice, which lowered antitrust enforcement for firms located near these closed offices. We argue this made collusion more appealing to shareholders, and find that these firms increased the sensitivity of executive pay to local rivals' performance, consistent with rewarding the managers for colluding with them. The affected CEOs were also granted longer vesting periods, which provides long-term incentives that could foster collusive arrangements.
2000-2018年间,国内A股上市的公司股票回报率和净现金流表现低于境外上市的中国公司、发达国家公司和新兴国家公司,且这种表现在大型的A股公司中体现得更加明显.论文《剖析中国股市的长期表现》(Dissecting the Long-Term Performance of the Chinese Stock Market)运用全球上市企业公司层面数据,从理论和实证角度剖析了造成这种局面的主要原因.
To prevent issuers from inflating their share prices, SEC Rule 10b-18 sets price ceilings on share repurchases through open markets. We find that market-structure reforms in the 1990s and 2000s dramatically increased share repurchases because they relaxed constraints on issuers competing with other buyers under price ceilings. The Tick Size Pilot Program, a controlled experiment that partially reversed previous reforms, significantly reduced share repurchases. We estimate that price ceilings and reduced market-structure frictions explain 18% of the secular increase in share repurchases. Meanwhile, these two frictions still exist, which explains why share repurchases have not crowded out dividends entirely.
ABSTRACTExploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade more after positive investment experience and are more likely to pay attention to neighboring stocks, both confirmed using trading data.
在国家政策的引导和支持下,我国的普惠金融多年来取得了长足的发展.政策性银行与大型国有银行在普惠金融领域的投入与贡献不断提升,但是中小银行当前与未来仍是提供普惠金融服务的主力军.然而,许多中小银行由于信用风险管理能力不足,面临违约率偏高、盈利能力低等问题的制约,难以充分和有效地发挥其支持小微企业、个体工商户和农户等普惠金融重点支持群体的作用.因此,提升中小银行的信用风险管理水平对于我国普惠金融的可持续发展至关重要.为了提升中小银行的信用风险管理水平的认识,笔者对我国不同地域、不同类型的5家中小银行进行了深入调研,分析总结了中小银行信用风险管理的现状与主要挑战,并分别从中小银行内部能力提升与外部环境改善两个方面提出了针对性建议.
2024年全球经济将呈现低增长、中通胀和高美元利率等特点,进一步驱动全球产业链加速重构.面对外部不确定性环境,中国应立足自身,加快推动经济转型,提升消费在经济增长中的贡献占比,长远而言,逐渐由商品出口转向资本输出,通过提升对外投资的规模和效率,提高国民生产总值(GNP)相比国内生产总值(GDP)的水平,增加国民对经济增长的获得感.
在经济实现恢复性增长的同时,日本央行在通胀问题上则面临两难境地.从短期看,日本的通胀压力一直存在不小的隐患.但从长期看,日本央行又在为通胀无法持续确保达到2％目标而担忧.展望2024年,日本央行仍将押注外部通胀压力回落,以及美欧货币政策周期的转向,从而降低本国通胀和货币贬值压力,由此脱离目前的两难局面,并为财政营造低利率环境.
专利资产价值实现的方式既涉及企业运营模式也关系着专利运营策略,本文选取经典案例的视角,从重大专利交易到企业运营的不同阶段所采用的专利运营模式,展现了企业对专利这一无形资产价值的运用方式,并指出现有的专利评估方法通常会在重大交易中失灵,企业需要更为灵活变通的专利评估及资产运营模式.
2022年3月以来,美联储在短短一年半时间内加息525个基点,速度为历史罕见.全球罕见的高利率水平和新兴市场疲软的经济环境,使得依赖外币的新兴市场融资压力激增.然而,不同于历史表现,本次压力并未引发新兴市场货币危机.本文分析了全球罕见紧缩下新兴市场国家能够保持韧性的共同原因及带给中国的启示.
