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Technological shocks and stock market volatility over a century 一个世纪以来的技术冲击和股市波动
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-10-25 DOI: 10.1016/j.jempfin.2024.101561
Afees A. Salisu , Riza Demirer , Rangan Gupta
This paper provides a novel perspective on the innovation-stock market nexus by examining the predictive relationship between technological shocks and stock market volatility using data over a period of more than 140 years. Utilizing annual patent data for the U.S. and a large set of economies to create proxies for local and global technological shocks and a mixed-sampling data (MIDAS) framework, we present robust evidence that technological shocks capture significant predictive information regarding future realizations of stock market volatility, both in- and out-of-sample and at both the short and long forecast horizons. Further economic analysis shows that investment portfolios created by the volatility forecasts obtained from the forecasting models that incorporate technological shocks as predictors in volatility models experience significantly lower return volatility in the out-of-sample horizons, which in turn helps to improve the risk-return profile of those portfolios. Our findings present a novel take on the nexus between technological innovations and stock market dynamics and pave the way for several interesting avenues for future research regarding the role of technological innovations on asset pricing tests and portfolio models.
本文利用 140 多年的数据研究了技术冲击与股市波动之间的预测关系,为创新与股市之间的关系提供了一个新的视角。我们利用美国和一大批经济体的年度专利数据创建了本地和全球技术冲击的代理变量,并利用混合抽样数据(MIDAS)框架,提出了强有力的证据,证明技术冲击在样本内和样本外,以及在短期和长期预测视角下,都能捕捉到有关股市波动性未来变现的重要预测信息。进一步的经济分析表明,通过预测模型获得的波动率预测所创建的投资组合,如果在波动率模型中将技术冲击作为预测因子,则在样本外水平上的收益波动率会显著降低,这反过来又有助于改善这些投资组合的风险收益状况。我们的研究结果为技术创新与股票市场动态之间的关系提供了新的视角,并为今后研究技术创新对资产定价测试和投资组合模型的作用铺平了道路。
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引用次数: 0
Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data 利用高维数据对机器学习预测进行汇集和胜选,以预测股票回报率
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-09-02 DOI: 10.1016/j.jempfin.2024.101538
Erik Mekelburg , Jack Strauss

We evaluate US market return predictability using a novel data set of several hundred ag- gregated firm-level characteristics. We apply LASSO, Elastic Net, Random Forest, Neural Net, Extreme Gradient Boosting, and Light Gradient Boosting Machine methods and find these models experience large prediction errors that lead to forecast failures. However, winsorizing and pooling machine learning model forecasts provides consistent out-of-sample predictability. To assess robustness, we apply machine learning methods to high-dimensional data for Canada, China, Germany and the UK as well as the Goyal–Welch data. All machine learning models we consider, except for the ensemble pooled methods, fail to significantly predict returns across our samples, highlighting the importance of pooling, evaluating additional economies, and the fragility of individual machine learning methods. Our results shed light on the sparsity versus density debate as the degree of sparsity and variable importance evolves over time.

我们使用一个包含数百个公司级特征的新数据集来评估美国市场回报率的可预测性。我们应用了 LASSO、Elastic Net、Random Forest、Neural Net、Extreme Gradient Boosting 和 Light Gradient Boosting Machine 方法,发现这些模型的预测误差较大,导致预测失败。然而,对机器学习模型预测进行胜选和池化可提供一致的样本外预测能力。为了评估稳健性,我们将机器学习方法应用于加拿大、中国、德国和英国的高维数据以及 Goyal-Welch 数据。我们所考虑的所有机器学习模型,除了集合汇集方法外,都无法显著预测整个样本的回报率,这凸显了汇集、评估其他经济体的重要性,以及单个机器学习方法的脆弱性。随着稀疏程度和变量重要性的不断变化,我们的结果揭示了稀疏性与密度之间的争论。
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引用次数: 0
Persistent and transient variance components in option pricing models with variance-dependent Kernel 依赖方差核的期权定价模型中的持续方差成分和瞬时方差成分
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-08-22 DOI: 10.1016/j.jempfin.2024.101531
Hamed Ghanbari

This paper examines theoretically and empirically a variance-dependent pricing kernel in the continuous-time two-factor stochastic volatility (SV) model. We investigate the relevance of such a kernel in the joint modeling of index returns and option prices. We contrast the pricing performance of this model in capturing the term structure effects and smile/smirk patterns to discrete-time GARCH models with similar variance-dependent kernels. We find negative and significant risk premium for both volatility factors, implying that investors are willing to pay for insurance against increases in volatility risk, even if it has little persistence. In-sample, the component GARCH model exhibits a slightly better fit overall and across all maturity buckets than the two-factor SV model. However, the two-factor SV model reduces strike price bias, giving rise to the model’s ability in reconciling the physical and risk-neutral distribution. Out-of-sample, the two-factor SV model has better fit to data.

本文从理论和实证角度研究了连续时间双因素随机波动率(SV)模型中依赖于方差的定价核。我们研究了这种核在指数收益和期权价格联合建模中的相关性。我们将该模型在捕捉期限结构效应和微笑/傻笑模式方面的定价性能与具有类似方差依赖核的离散时间 GARCH 模型进行了对比。我们发现两个波动率因子都存在负的和显著的风险溢价,这意味着投资者愿意为波动率风险的增加支付保险费,即使这种风险的持续性很低。在样本中,成分 GARCH 模型在总体上和所有期限桶中的拟合效果都略好于双因子 SV 模型。然而,双因子 SV 模型减少了行权价偏差,从而提高了模型协调实际分布和风险中性分布的能力。在样本外,双因子 SV 模型与数据的拟合效果更好。
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引用次数: 0
Stock price synchronicity and stock liquidity: International evidence 股价同步性与股票流动性:国际证据
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-09-12 DOI: 10.1016/j.jempfin.2024.101541
Paul Brockman , Tung Lam Dang , Thu Phuong Pham

We examine the relationship between stock price synchronicity and stock liquidity using a comprehensive data set across 40 countries. Our local (within-country) empirical results reveal a positive relationship between local synchronicity and stock liquidity. The strength of this positive relationship depends on the quality of country-level institutions; the weaker the institutional environment, the stronger the synchronicity-liquidity relationship. Importantly, our global (across-country) findings mirror those at the local level. Overall, our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local and global levels. In addition, our cross-sectional analyses provide new evidence on the institutional determinants of this relationship.

我们利用 40 个国家的综合数据集研究了股价同步性与股票流动性之间的关系。我们的本地(国内)实证结果显示,本地同步性与股票流动性之间存在正相关关系。这种正相关关系的强度取决于国家层面的制度质量;制度环境越弱,同步性与流动性之间的关系就越强。重要的是,我们的全球(跨国)研究结果反映了地方层面的研究结果。总体而言,我们的研究对地方和全球层面的同步性-流动性关系进行了全面分析。此外,我们的横截面分析为这种关系的制度决定因素提供了新的证据。
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引用次数: 0
Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio 短期动能和反转、换手率以及股价与 52 周最高价的比率
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-10-18 DOI: 10.1016/j.jempfin.2024.101556
Chen Chen , Chris Stivers , Licheng Sun
We show that short-term reversal behavior declines with a stock’s turnover and the prior month’s price-to-52-week-high ratio (PTH), shifting to momentum for stocks with both a relatively high turnover and PTH. This behavior of consecutive one-month individual stock returns is robust to subperiod analysis, risk adjustments, and alternative methodologies. Our findings suggest opposing channels. First, promoting short-term momentum, our evidence implies a PTH-anchoring underreaction to recent news, consistent with the short-term contrarian price-dampening channel of Atmaz et al. (2024) with higher turnover implying a stronger contrarian-induced underreaction. Second, promoting short-term reversals, our evidence reinforces the importance of the well-known liquidity-provision-compensation channel. Reversals are especially strong for low-PTH, low-turnover stocks, where the lower PTH implies a generally smaller-cap, less-liquid stock and the lower turnover implies a weaker contrarian-induced underreaction. We also find that the return behaviors vary with dispersion in analysts’ earnings forecasts and with market-wide sentiment, in a manner consistent with these channels.
我们的研究表明,短期反转行为会随着股票换手率和上月价格与 52 周最高价之比(PTH)的下降而下降,对于换手率和 PTH 都相对较高的股票,短期反转行为会转向动量。连续一个月的个股收益率的这种行为对子周期分析、风险调整和替代方法都是稳健的。我们的研究结果表明了两种截然相反的渠道。首先,在促进短期动量方面,我们的证据意味着 PTH 锚定对近期新闻的反应不足,这与 Atmaz 等人(2024 年)的短期逆向价格抑制渠道一致,较高的换手率意味着逆向引起的反应不足更强。其次,在促进短期反转方面,我们的证据加强了众所周知的流动性供应补偿渠道的重要性。低 PTH、低换手率股票的反转尤其强烈,PTH 越低意味着股票市值越小、流动性越低,换手率越低意味着逆向投资引起的反应不足越弱。我们还发现,收益行为随分析师盈利预测的离散度和整个市场情绪的变化而变化,这与这些渠道是一致的。
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引用次数: 0
Can existing corporate finance theories explain security offerings during the COVID-19 pandemic? 现有的公司财务理论能否解释 COVID-19 大流行期间的证券发行?
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-10-20 DOI: 10.1016/j.jempfin.2024.101558
Marie Dutordoir , Joshua Shemesh , Chris Veld , Qing Wang
We document substantial increases in corporate security offerings during the COVID pandemic. While the increase in seasoned equity offerings (SEOs) can be attributed to shifts in macroeconomic conditions, increases in convertible and straight bond offerings cannot be explained by standard security choice determinants. We furthermore find that COVID-period SEO announcements are often contaminated with Research and Development (R&D)-related news, with the SEO proceeds more likely to be hoarded as cash. Overall, COVID-period SEOs align with market timing behavior, but the increase in COVID-period convertibles and straight bonds cannot be reconciled with pre-pandemic corporate financing rationales or government interventions. We furthermore demonstrate that the COVID pandemic differs substantially from the Global Financial Crisis (GFC) in terms of security offering choices and announcement returns.
我们记录了 COVID 大流行期间公司证券发行的大幅增长。证券发行的增加可以归因于宏观经济条件的变化,而可转换债券和直接债券发行的增加则无法用标准的证券选择决定因素来解释。此外,我们还发现,COVID 期间的 SEO 公告往往被研发(R&D)相关新闻所污染,SEO 募集的资金更有可能被囤积为现金。总体而言,COVID 期 SEO 符合市场时机行为,但 COVID 期可转换债券和直接债券的增加与大流行前的企业融资理由或政府干预无法调和。我们还进一步证明,在证券发行选择和公告回报方面,COVID 大流行与全球金融危机(GFC)有很大不同。
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引用次数: 0
Local labor market and corporate investment 当地劳动力市场和企业投资
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-09-24 DOI: 10.1016/j.jempfin.2024.101554
Yao Ge , Wei Huang , Zheng Qiao , Hao Zheng
To capture local labor market pooling in agglomeration economics, we employ segment information and occupation statistics to construct firm-pair labor force similarities. Our findings indicate a positive relation between local labor market thickness and corporate investment, influenced by both employer-driven labor demand and employee-driven labor supply. The findings are more pronounced in firms with more skilled labor, less routine-task labor, and higher product and technology competitions. Firms in thicker local labor markets also display higher investment efficiency, higher operating efficiency, and higher valuation. To mitigate the endogeneity concern, we employ an instrumental variable approach to show robustness. Overall, we uncover a specific linkage between the local labor market and corporate investment.
为了捕捉集聚经济学中的本地劳动力市场集聚,我们利用分部信息和职业统计来构建企业对劳动力的相似性。我们的研究结果表明,受雇主驱动的劳动力需求和雇员驱动的劳动力供给的影响,当地劳动力市场厚度与企业投资之间存在正相关关系。在拥有更多熟练劳动力、更少常规任务劳动力以及更高的产品和技术竞争力的企业中,这种关系更为明显。当地劳动力市场较发达的企业也显示出较高的投资效率、运营效率和估值。为了减少内生性问题,我们采用了工具变量法来显示稳健性。总体而言,我们发现了当地劳动力市场与企业投资之间的特定联系。
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引用次数: 0
Time-varying variance decomposition of macro-finance term structure models 宏观金融期限结构模型的时变方差分解
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-10-30 DOI: 10.1016/j.jempfin.2024.101563
Anne Lundgaard Hansen
This paper studies time-series patterns in the contribution of macroeconomic shocks to the variation in U.S. Treasury bond yields. I consider a term structure model with time-varying conditional volatility, which implies time variation in the decomposition of forecast error variances. Based on the model, I show that the macroeconomic contribution to the variation in short-term yields has increased since the 1970s. A similar pattern characterizes the variation in the expectations on future interest rates. This trend is not reflected in long-term yields because macroeconomic shocks drive negative correlations between short-rate expectations and term premia. Finally, I show that accounting for time-varying volatility is important even for estimating the average macroeconomic contribution to yield curve volatility over a fixed sample.
本文研究宏观经济冲击对美国国债收益率变化的贡献的时间序列模式。我考虑了一个具有时变条件波动性的期限结构模型,这意味着预测误差方差分解的时间变化。根据该模型,我发现自 20 世纪 70 年代以来,宏观经济对短期收益率变化的影响越来越大。对未来利率预期的变化也呈现出类似的模式。这一趋势并没有反映在长期收益率上,因为宏观经济冲击导致短期利率预期与期限溢价之间出现负相关。最后,我证明了考虑时变波动性即使对于估计固定样本中宏观经济对收益率曲线波动性的平均贡献也很重要。
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引用次数: 0
Using the Bayesian sampling method to estimate corporate loss given default distribution 使用贝叶斯抽样法估计违约分布情况下的企业损失
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-08-28 DOI: 10.1016/j.jempfin.2024.101540
Xiaofei Zhang, Xinlei Zhao

We use Markov chain Monte Carlo (MCMC) sampling to draw model coefficients to generate LGD distributions. We find that applying this Bayesian method on a sophisticated model, such as the zero-one-inflated beta (ZOIB) model, that accounts for the bi-modal distribution of the LGDs can generate LGD distributions that mimic the observed distributions well. By contrast, applying this Bayesian sampling approach on a simple model such as Tobit cannot capture the bi-modal LGD distributions accurately. Finally, we argue that this Bayesian sampling approach to generate LGD distributions is better fit for the stress testing purpose than the typical approach to estimate LGD model coefficients and then stress the macro variables. The latter approach yields stressed LGDs that may not be conservative enough, even if the macro variables are stressed to their worst historical values.

我们使用马尔科夫链蒙特卡洛(MCMC)抽样来提取模型系数,从而生成 LGD 分布。我们发现,将这种贝叶斯方法应用于复杂的模型,如零一膨胀贝塔(ZOIB)模型,该模型考虑了 LGD 的双模态分布,可以生成很好地模拟观察到的分布的 LGD 分布。相比之下,在 Tobit 等简单模型上应用这种贝叶斯抽样方法则无法准确捕捉 LGD 的双模态分布。最后,我们认为这种贝叶斯抽样方法生成的 LGD 分布比估计 LGD 模型系数然后对宏观变量施加压力的典型方法更适合压力测试目的。后一种方法产生的受压 LGD 可能不够保守,即使宏观变量受压到最坏的历史值。
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引用次数: 0
Jump tail risk exposure and the cross-section of stock returns 跳跃尾部风险暴露与股票收益截面
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2024-12-01 Epub Date: 2024-11-02 DOI: 10.1016/j.jempfin.2024.101565
Lykourgos Alexiou , Leonidas S. Rompolis
We introduce a new jump tail risk measure retrieved from option prices. We examine the cross-sectional pricing of stocks according to their sensitivities to jump tail risk. We find a negative market price of jump tail risk. A high-low portfolio sorted by jump tail risk betas delivers a statistically and economically significant negative premium of -9.95% per year. Risk-adjusted returns are also negative and highly significant. We document that the negative jump tail risk premium is mainly driven by its downside jump tail risk component. On the contrary, the premium of the high-low portfolio sorted by upside jump tail risk betas is insignificant. The negative premium of downside jump tail risk is significant when controlling for various risk factor loadings and firm characteristics, and remains strong for large firms. Our results carry over to a predictive setting, in which we compare subsequent realized returns of the quintile portfolios sorted by downside jump tail risk betas estimated over the previous period.
我们从期权价格中引入了一种新的跳跃尾部风险度量。我们根据股票对跳空尾部风险的敏感性来研究股票的横截面定价。我们发现跳尾风险的市场价格为负值。按跳跃尾部风险押注排序的高低组合每年产生-9.95%的负溢价,这在统计和经济学上都是显著的。风险调整后的回报也是负的,而且非常显著。我们发现,负的跳跃尾部风险溢价主要是由其下行跳跃尾部风险部分驱动的。相反,按上行跳空尾部风险押注排序的高低组合的溢价并不显著。在控制了各种风险因素负载和公司特征后,下行跳空尾部风险的负溢价是显著的,而且对大型公司来说仍然很强。我们的结果还可以用于预测环境,即比较按上期估计的下行跳跃尾部风险押注排序的五分位投资组合的后续实现回报。
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引用次数: 0
期刊
Journal of Empirical Finance
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