Journal of Empirical Finance最新文献

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Maxing out short-term reversals in weekly stock returns 使每周股票收益的短期逆转最大化

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-03-15 DOI: 10.1016/j.jempfin.2025.101608

Chen Chen , Andrew Cohen , Qiqi Liang , Licheng Sun

Subrahmanyam (1991) presents a model in which increased variance in liquidity trades reduces price efficiency when market makers are risk-averse. Motivated by this theoretical insight, we hypothesize that pent-up demand from lottery-seeking investors amplifies their overreactions to news, leading to larger short-term return reversals. Consistent with this hypothesis, we identify a significant pattern in weekly U.S. stock returns for lottery-like stocks, defined by high recent maximum daily returns (MAX). Specifically, high-MAX stocks that were past 1-week losers (or winners) exhibit notably positive (or negative) returns in the following week. Applying a short-term reversal strategy to high-MAX stocks generates an average weekly return of 1.66%, significantly outperforming the 0.65% return from the same strategy applied to low-MAX stocks. This result remains robust even after controlling for market microstructure biases and survives a series of robustness tests. Interestingly, the MAX-enhanced reversal strategy proves effective only when retail order imbalance is in the highest quintile. This result holds across both value-weighted and equal-weighted portfolios, underscoring the pivotal role of retail investors. Taken together, our findings highlight a new channel through which retail investors’ preference for lottery-like payoffs amplifies their overreactions, enhancing the profitability of short-term reversal strategies.

Subrahmanyam（1991）提出了一个模型，在该模型中，当做市商厌恶风险时，流动性交易的方差增加会降低价格效率。在这一理论见解的推动下，我们假设寻求彩票的投资者被压抑的需求放大了他们对新闻的过度反应，导致更大的短期回报逆转。与这一假设相一致，我们确定了彩票类股票的每周美国股票回报的显著模式，由近期最高日回报（MAX）定义。具体来说，高max股票在过去一周是输家（或赢家），在接下来的一周表现出显著的正（或负）回报。将短期反转策略应用于高max股票的平均周回报率为1.66%，显著优于应用于低max股票的相同策略的0.65%的回报率。即使在控制了市场微观结构偏差之后，这个结果仍然是稳健性的，并且经受住了一系列稳健性测试。有趣的是，max增强逆转策略仅在零售订单失衡处于最高五分位数时证明有效。这一结果适用于价值加权和等加权投资组合，强调了散户投资者的关键作用。综上所述，我们的研究结果突出了一个新的渠道，通过这个渠道，散户投资者对彩票类收益的偏好放大了他们的过度反应，增强了短期逆转策略的盈利能力。

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引用次数: 0

Exploring the non-linear dynamics between Commercial Real Estate and systemic risk 探讨商业地产与系统性风险之间的非线性动态关系

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-03-07 DOI: 10.1016/j.jempfin.2025.101607

George Kladakis , Nicole Lux , Alexandros Skouralis

The commercial real estate (CRE) market significantly influences financial stability, given its size, use as collateral, and cyclicality. This study explores macro-financial vulnerabilities arising from the CRE market, revealing that adverse developments in CRE capital values amplify systemic risk across financial sub-sectors, namely, banks, insurance companies and investment trusts, consistent with the collateral channel hypothesis. The CRE and financial markets relationship, however, displays nonlinearities. We introduce a UK CRE Misalignment index which integrates various market indicators to assess deviations from fundamental values in the CRE sector. We find that during market misalignments, the link between systemic risk and CRE growth weakens, suggesting that further property price increases in an overheated market could lead to a bubble and heightened systemic risk, in line with the deviation hypothesis. Finally, we employ a quantile regression model that captures another aspect of this non-linear relationship. We find that positive (negative) developments in the CRE market decrease (increase) the right tail of the historical systemic risk distribution, but CRE variation has a weak impact on the left tail and cannot effectively reduce systemic risk in periods of growth.

商业房地产（CRE）市场显著影响金融稳定，因为它的规模，用作抵押品，和周期性。本研究探讨了商业地产市场产生的宏观金融脆弱性，揭示了商业地产资本价值的不利发展放大了金融子行业（即银行、保险公司和投资信托公司）的系统性风险，这与抵押品渠道假设相一致。然而，CRE和金融市场的关系表现出非线性。我们介绍了英国商业地产失调指数，该指数整合了各种市场指标，以评估商业地产行业偏离基本价值的情况。我们发现，在市场失调期间，系统性风险与CRE增长之间的联系减弱，这表明在过热的市场中，房地产价格的进一步上涨可能导致泡沫和系统性风险加剧，符合偏差假设。最后，我们采用了一个分位数回归模型来捕捉这种非线性关系的另一个方面。我们发现，CRE市场的积极（消极）发展减少（增加）了历史系统性风险分布的右尾，但CRE变化对左尾的影响较弱，不能有效地降低增长时期的系统性风险。

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引用次数: 0

Is machine learning a necessity? A regression-based approach for stock return prediction 机器学习是必要的吗？基于回归的股票收益预测方法

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-03-01 DOI: 10.1016/j.jempfin.2025.101598

Tingting Cheng , Shan Jiang , Albert Bo Zhao , Junyi Zhao

We propose a simple, linear-regression-based method for prediction of the time series of stock returns. The method achieves out-of-sample performances comparable to machine learning methods while having ignorable computational costs. The key component of the method is to integrate a straightforward cross-market factor screening into the iterated combination method proposed by Lin et al., (2018). Our empirical results on the U.S. stock market show that the method outperforms many state-of-the-art machine learning methods in certain periods. The method also exhibits greater utility gain and investment profits in most periods after considering transaction costs.

我们提出了一个简单的，基于线性回归的方法来预测股票收益的时间序列。该方法实现了与机器学习方法相当的样本外性能，同时具有可忽略不计的计算成本。该方法的关键部分是将直接的跨市场因素筛选整合到Lin等人（2018）提出的迭代组合方法中。我们对美国股票市场的实证结果表明，该方法在某些时期优于许多最先进的机器学习方法。在考虑交易成本后，该方法在大多数时期也显示出更大的效用收益和投资利润。

引用次数: 0

Corrigendum to “Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects” [Journal of Empirical Finance 80 (2025) 124/101575] “使用指示结构性断裂和不对称风险效应的预测因子预测已实现贝塔”的更正[实证金融杂志]80 (2025)124/101575]

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-03-01 DOI: 10.1016/j.jempfin.2025.101597

Jiawen Luo , Zhenbiao Chen , Mingmian Cheng

引用次数: 0

The AH premium: A tale of “siamese twin” stocks AH股溢价：“连体双胞胎”股票的故事

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-02-24 DOI: 10.1016/j.jempfin.2025.101599

Renbin Zhang , Tongbin Zhang

A large proportion of Chinese companies are dual-listed in both the mainland (A-share) and Hong Kong (H-share) markets. A-shares usually sell at a premium, known as the AH premium, which is large and volatile. The AH premium resembles a globally well-known premium puzzle in “Siamese twin” stocks. We find that a model of subjective stock price expectations, where agents forecast the future capital gains by extrapolating from the past provides a good explanation. This finding emphasizes the importance of modeling investors with extrapolative stock price expectations.

很大一部分中国公司在内地（A股）和香港（h股）两地上市。a股通常以溢价出售，即AH溢价，这一溢价很大且波动很大。AH股溢价类似于全球知名的“连体双胞胎”股票溢价之谜。我们发现一个主观股价预期模型提供了一个很好的解释，其中代理人通过从过去推断来预测未来的资本收益。这一发现强调了用外推股价预期对投资者进行建模的重要性。

引用次数: 0

Do fees matter? Investor’s sensitivity to active management fees 收费重要吗？投资者对主动管理费的敏感度

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-02-13 DOI: 10.1016/j.jempfin.2025.101596

Trond Døskeland, André Wattø Sjuve, Andreas Ørpetveit

Following the framework established by Berk and Green (2004), mutual fund inflows and fees should be uncorrelated at equilibrium. We empirically explore this relationship by investigating the temporal changes in fund fees and flows. Our fee metrics focus on active management services rather than diversification. We analyze the additional fee compared to passive alternatives and additional fee per unit of active management, along with the traditionally used total fee. Our analysis of global data reveals a negative time series correlation between both measures of active management fee and fund flows.

根据Berk和Green（2004）建立的框架，共同基金的流入和费用在均衡状态下应该是不相关的。我们通过调查基金费用和资金流的时间变化，实证地探讨了这种关系。我们的收费标准侧重于主动管理服务，而不是多样化。我们分析了与被动替代方案相比的额外费用和主动管理单位的额外费用，以及传统上使用的总费用。我们对全球数据的分析显示，主动管理费和资金流这两个指标之间存在负时间序列相关性。

引用次数: 0

Skilled active liquidity management: Evidence from shocks to fund flows 熟练的主动流动性管理：来自资金流动冲击的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-02-07 DOI: 10.1016/j.jempfin.2025.101579

Aleksandra Rzeźnik

I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows. Among affected funds, those that more aggressively increase portfolio liquidity significantly outperform their less liquidity-focused peers, suggesting that skilled managers employ active liquidity management to minimize costs imposed by redemption obligations.

我利用两个独立的冲击：2003年的共同基金丑闻和2016年晨星可持续性评级的引入，研究了面临意想不到的、持续的投资者撤资的美国股票共同基金的主动流动性管理。我证明，基金经理通过调整股票和现金持有量来增加投资组合的流动性，以应对突然、适度和长期的资金流出。在受影响的基金中，那些更积极地增加投资组合流动性的基金的表现明显优于那些不太关注流动性的基金，这表明熟练的基金经理采用积极的流动性管理来最大限度地降低赎回义务带来的成本。

引用次数: 0

Tail risk dynamics of banks with score-driven extreme value models 基于分数驱动极值模型的银行尾部风险动态

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-02-07 DOI: 10.1016/j.jempfin.2025.101593

Fernanda Fuentes , Rodrigo Herrera , Adam Clements

This paper proposes a new class of marked point process models to capture the clustering behavior in extreme financial events. The idea of multiple dynamic parameters embedded in the context of score driven models is utilized to estimate a dynamic extreme value approach, labeled as the Orthogonal Score-Driven Peaks Over Threshold model. A Monte-Carlo study is conducted to study different time-varying parameter specifications. The results show that this approach can capture a range of different dynamics for the parameters. In an empirical application, we study the dynamics of the tail distribution over time, and in particular on VaR and ES forecasts, for the constituents of the S&P Banks Index. Finally, we study the behavior of extremely adverse returns in the financial system by means of a decomposition of the tail-

β

risk measure, giving a deeper understanding of both the dynamics of the risk of an individual bank, and the systemic linkages associated with the stability of the global financial system.

本文提出了一类新的标记点过程模型来捕捉极端金融事件中的聚类行为。利用在分数驱动模型中嵌入多个动态参数的思想来估计动态极值方法，称为正交分数驱动峰值超过阈值模型。采用蒙特卡罗方法对不同时变参数规范进行了研究。结果表明，该方法可以捕捉到一系列不同的动力学参数。在实证应用中，我们研究了尾分布随时间的动态变化，特别是对标准普尔银行指数成分股的VaR和ES预测。最后，我们通过分解尾部β风险度量来研究金融体系中极端不利收益的行为，从而更深入地了解单个银行的风险动态，以及与全球金融体系稳定性相关的系统联系。

引用次数: 0

Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes 识别高频数据的潜在成分：纯扩散与跳跃扩散过程

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-02-06 DOI: 10.1016/j.jempfin.2025.101594

Rodrigo Hizmeri , Marwan Izzeldin , Giovanni Urga

In this paper, we examine the finite sample properties of test statistics designed to identify distinct underlying components of high-frequency financial data, specifically the Brownian component and infinite vs. finite activity jumps. We conduct a comprehensive set of Monte Carlo simulations to evaluate the tests under various types of microstructure noise, price staleness, and different levels of jump activity. We apply these tests to a dataset comprising 100 individual S&P 500 constituents from diverse business sectors and the SPY (S&P 500 ETF) to empirically assess the relative magnitude of these components. Our findings strongly support the presence of both Brownian and jump components. Furthermore, we investigate the time-varying nature of rejection rates and we find that periods with more jumps days are usually associated with an increase in infinite jumps and a decrease in finite jumps. This suggests a dynamic interplay between jump components over time.

在本文中，我们研究了测试统计的有限样本属性，旨在识别高频金融数据的不同潜在成分，特别是布朗成分和无限与有限的活动跳跃。我们进行了一套全面的蒙特卡罗模拟，以评估各种类型的微观结构噪音，价格过时和不同水平的跳跃活动下的测试。我们将这些测试应用于一个数据集，该数据集包括来自不同业务部门的100个标准普尔500指数成分股和SPY（标准普尔500指数ETF），以经验性地评估这些组成部分的相对大小。我们的发现有力地支持了布朗分量和跳跃分量的存在。此外，我们研究了拒绝率的时变性质，发现跳跃天数较多的周期通常与无限跳跃的增加和有限跳跃的减少有关。这表明跳跃组件之间随时间的动态相互作用。

引用次数: 0

CDS and credit: The effect of the bangs on credit insurance, lending and hedging CDS与信贷：对信贷保险、贷款和对冲的冲击

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-02-03 DOI: 10.1016/j.jempfin.2025.101583

Yalin Gündüz , Steven Ongena , Günseli Tümer-Alkan , Yuejuan Yu

We assess the differential impacts of “Big Bang” and “Small Bang” contracts and convention changes on market participants across CDS markets and couple comprehensive bank-firm-level CDS trading data from the DTCC to the German credit register containing bi-lateral bank-firm credit exposures. We find that after the Bangs, the cost of buying CDS contracts becomes lower for non-dealer banks and that, because of this decrease in insurance costs, these banks extend relatively more credit to CDS-traded and affected firms compared to dealers, and hedge more effectively. Hence, standardization lowers the cost of credit insurance and leads to a relative increase in credit extensions by non-dealer banks.

我们评估了“大爆炸”和“小爆炸”合约以及惯例变化对CDS市场参与者的不同影响，并将DTCC的综合银行-公司级CDS交易数据与包含双边银行-公司信用敞口的德国信用登记册相结合。我们发现，在爆炸之后，购买CDS合约的成本对于非交易商银行来说变得更低，而且，由于保险成本的下降，这些银行相对于交易商而言，向CDS交易和受影响的公司提供了更多的信贷，并更有效地进行了对冲。因此，标准化降低了信用保险的成本，并导致非贸易商银行信贷扩张的相对增加。

引用次数: 0

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