Review of Asset Pricing Studies最新文献

英文中文

What Do Index Options Teach Us About COVID-19? 关于新冠肺炎，指数选项教会了我们什么？

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-06-14 DOI: 10.2139/ssrn.3573558

J. Jackwerth

Abstract Risk-neutral distributions of the S&P 500 are informative about the COVID-19 pandemic beyond what one can learn from index values and the market fear gauge of the VIX alone. We learn that, on February 20, 2020, the index did not yet reflect the impending crisis. Only on March 16, 2020, was the full impact visible, with a pronounced bimodality for longer-maturity options revealing a sizeable crash scenario. The corresponding physical distribution is more symmetric and features a high-volatility crash scenario. Firms bought crash protection ahead of the index crash, whereas retail customers bought it as the index was already recovering.

标准普尔500指数的风险中性分布提供了关于COVID-19大流行的信息，而不仅仅是从指数值和市场恐惧指标VIX中获得的信息。我们了解到，在2020年2月20日，该指数尚未反映出即将到来的危机。直到2020年3月16日，全面的影响才显现出来，长期期权的明显双峰性揭示了一个相当大的崩盘情景。相应的物理分布更加对称，并具有高波动性的崩溃场景。公司在指数暴跌之前购买了崩盘保护，而零售客户则在指数已经开始回升时购买。

引用次数: 31

Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic 党派之争会影响投资者的信仰吗？新冠肺炎大流行的证据

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-06-06 DOI: 10.1093/rapstu/raaa018

J. Cookson, Joseph Engelberg, William Mullins

Abstract We use party-identifying language—like “liberal media” and “MAGA”—to identify Republican users on the investor social platform StockTwits. Using a difference-in-difference design, we find that partisan Republicans remain relatively unfazed in their beliefs about equities during the COVID-19 pandemic, while other users become considerably more pessimistic. In cross-sectional tests, we find Republicans become relatively more optimistic about stocks that suffered the most during the COVID-19 crisis, but more pessimistic about Chinese stocks. Finally, stocks with the greatest partisan disagreement on StockTwits have significantly more trading in the broader market, explaining 28% of the increase in stock turnover during the pandemic.

摘要我们使用政党识别语言，如“自由媒体”和“MAGA”，来识别投资者社交平台StockTwits上的共和党用户。使用差异设计，我们发现，在新冠肺炎大流行期间，党派共和党人对股票的信念相对不受影响，而其他用户则变得更加悲观。在横截面测试中，我们发现共和党人对新冠肺炎危机期间遭受最大损失的股票相对更乐观，但对中国股票更悲观。最后，在StockTwits上党派分歧最大的股票在更广泛的市场上有更多的交易，这解释了疫情期间股票成交量增加28%的原因。

引用次数: 45

Coronavirus: Impact on Stock Prices and Growth Expectations 冠状病毒:对股价和增长预期的影响

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3555917

N. J. Gormsen, R. Koijen

Abstract We use data from aggregate stock and dividend futures markets to quantify how investors’ expectations about economic growth evolved across horizons following the outbreak of the novel coronavirus (COVID-19) and subsequent policy responses until July 2020. Dividend futures, which are claims to dividends on the aggregate stock market in a particular year, can be used to directly compute a lower bound on growth expectations across maturities or to estimate expected growth using a forecasting model. We show how the actual forecast and the bound evolve over time. As of July 20th, our forecast of annual growth in dividends points to a decline of 8% in both the United States and Japan and a 14% decline in the European Union compared to January 1. Our forecast of GDP growth points to a decline of 2% in the United States and Japan and 3% in the European Union. The lower bound on the change in expected dividends is -17% in the United States and Japan and -28% in the European Union at the 2-year horizon. News about U.S. monetary policy and the fiscal stimulus bill around March 24 boosted the stock market and long-term growth but did little to increase short-term growth expectations. Expected dividend growth has improved since April 1 in all geographies.

摘要我们使用股票和股息期货市场的数据来量化投资者对经济增长的预期在新型冠状病毒（新冠肺炎）爆发后以及随后到2020年7月的政策应对中是如何演变的。股息期货是指特定年份总股票市场的股息，可用于直接计算各到期日的增长预期下限，或使用预测模型估计预期增长。我们展示了实际预测和约束是如何随着时间的推移而演变的。截至7月20日，我们对股息年增长的预测显示，与1月1日相比，美国和日本的股息年增长率下降了8%，欧盟的股息年下降了14%。我们对GDP增长的预测显示，美国和日本将下降2%，欧盟将下降3%。在2年内，美国和日本的预期股息变化下限为-17%，欧盟为-28%。3月24日左右有关美国货币政策和财政刺激法案的消息提振了股市和长期增长，但对提高短期增长预期作用不大。自4月1日以来，所有地区的预期股息增长都有所改善。

{"title":"Coronavirus: Impact on Stock Prices and Growth Expectations","authors":"N. J. Gormsen, R. Koijen","doi":"10.2139/ssrn.3555917","DOIUrl":"https://doi.org/10.2139/ssrn.3555917","url":null,"abstract":"Abstract We use data from aggregate stock and dividend futures markets to quantify how investors’ expectations about economic growth evolved across horizons following the outbreak of the novel coronavirus (COVID-19) and subsequent policy responses until July 2020. Dividend futures, which are claims to dividends on the aggregate stock market in a particular year, can be used to directly compute a lower bound on growth expectations across maturities or to estimate expected growth using a forecasting model. We show how the actual forecast and the bound evolve over time. As of July 20th, our forecast of annual growth in dividends points to a decline of 8% in both the United States and Japan and a 14% decline in the European Union compared to January 1. Our forecast of GDP growth points to a decline of 2% in the United States and Japan and 3% in the European Union. The lower bound on the change in expected dividends is -17% in the United States and Japan and -28% in the European Union at the 2-year horizon. News about U.S. monetary policy and the fiscal stimulus bill around March 24 boosted the stock market and long-term growth but did little to increase short-term growth expectations. Expected dividend growth has improved since April 1 in all geographies.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":" ","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41439227","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: 480

Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests 企业特征、横截面回归估计和资产定价测试

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-06-01 DOI: 10.1093/RAPSTU/RAZ005

Chris Kirby

I test a number of well-known asset pricing models using regression-based managed portfolios that capture nonlinearity in the cross-sectional relation between firm characteristics and expected stock returns. Although the average portfolio returns point to substantial nonlinearity in the data, none of the asset pricing models successfully explain the estimated nonlinear effects. Indeed, the estimated expected returns produced by the models display almost no variation across portfolios. Because the tests soundly reject every model considered, it is apparent that nonlinearity in the relation between firm characteristics and expected stock returns poses a formidable challenge to asset pricing theory. (JEL G12, C58)

我使用基于回归的管理投资组合测试了许多知名的资产定价模型，这些模型捕捉了公司特征与预期股票收益之间横截面关系的非线性。虽然平均投资组合收益表明数据中存在实质性的非线性，但没有一个资产定价模型成功地解释了估计的非线性效应。实际上，这些模型得出的预期收益估计在不同的投资组合中几乎没有变化。由于检验完全拒绝了所考虑的每一个模型，很明显，企业特征与预期股票收益之间关系的非线性对资产定价理论提出了巨大的挑战。(凝胶g12, c58)

引用次数: 11

How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic 家庭支出如何应对流行病?2020年COVID-19大流行期间的消费

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-03-31 DOI: 10.2139/ssrn.3565521

S. Baker, R. Farrokhnia, Steffen Meyer, Michaela Pagel, Constantine Yannelis

Abstract Utilizing transaction-level financial data, we explore how household consumption responded to the onset of the COVID-19 pandemic. As case numbers grew and cities and states enacted shelter-in-place orders, Americans began to radically alter their typical spending across a number of major categories. In the first half of March 2020, individuals increased total spending by over 40% across a wide range of categories. This was followed by a decrease in overall spending of 25%–30% during the second half of March coinciding with the disease spreading, with only food delivery and grocery spending as major exceptions to the decline. Spending responded most strongly in states with active shelter-in-place orders, though individuals in all states had sizable responses. We find few differences across individuals with differing political beliefs, but households with children or low levels of liquidity saw the largest declines in spending during the latter part of March.

利用交易层面的金融数据，我们探讨了家庭消费如何应对COVID-19大流行的爆发。随着病例数量的增加，城市和州颁布了就地避难令，美国人开始从根本上改变他们在一些主要类别上的典型支出。在2020年3月上半月，个人在各种类别的总支出增加了40%以上。随后，在3月下半月，随着疾病的传播，总体支出下降了25%-30%，只有食品配送和杂货支出是下降的主要例外。尽管所有州的个人都有相当大的反应，但在有积极的就地避难订单的州，支出反应最为强烈。我们发现不同政治信仰的个人之间几乎没有差异，但有孩子或流动性水平较低的家庭在3月下旬的支出下降幅度最大。

引用次数: 846

Real Exchange Rates and Currency Risk Premiums 实际汇率和货币风险溢价

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-02-01 DOI: 10.1093/rapstu/raz002

Pierluigi Balduzzi, I-Hsuan Ethan Chiang

Standard finite horizon tests uncover only weak evidence of the predictive power of the real exchange rate for excess currency returns. On the other hand, in long-horizon tests, the real exchange rate strongly and negatively predicts future excess currency returns. Conversely, we can attribute most of the variability in real exchange rates to changes in currency risk premiums. The “habit” and “long-run risks” models replicate the predictive power of the real exchange rate for excess currency returns, but substantially overstate the fraction of the volatility of the real exchange rate due to risk premiums. Received December 14, 2017; Editorial decision October 14, 2018 by Editor: Raman Uppal. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

标准的有限视界测试只发现了实际汇率对超额货币回报的预测能力的微弱证据。另一方面，在长期测试中，实际汇率强烈且负向地预测未来的超额货币回报。相反，我们可以将实际汇率的大部分变化归因于货币风险溢价的变化。“习惯”和“长期风险”模型复制了实际汇率对超额货币回报的预测能力，但大大夸大了风险溢价对实际汇率波动的影响。2017年12月14日收稿;编辑决定2018年10月14日编辑:Raman Uppal作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

引用次数: 9

Annual Report of the Society for Financial Studies for 2018–2019 金融研究学会2018-2019年度报告

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-01-09 DOI: 10.1093/rapstu/raz009

A. Ellul, Itay Goldstein, C. Holden, Ronald W. Masulis, Jeffrey Pontiff, A. Schoar

引用次数: 0

The Supply Channel of Uncertainty Shocks and the Cross-Section of Returns: Evidence From the COVID-19 Crisis 不确定性冲击的供给渠道与收益横截面:来自COVID-19危机的证据

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2020-01-01 DOI: 10.2139/ssrn.3588418

Lorenzo Bretscher, Alex Hsu, A. Tamoni

引用次数: 15

Learning, Fast or Slow 学习，快还是慢

IF 13.1 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2019-08-12 DOI: 10.1093/rapstu/raz006

B. Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean, Kecheng Zhang

Rational models claim “trading to learn” explains widespread excessive speculative trading and challenge behavioral explanations of excessive trading. We argue rational learning models do not explain speculative trading by studying day traders in Taiwan. Consistent with previous studies of learning, unprofitable day traders are more likely than profitable traders to quit. Consistent with models of overconfidence and biased learning (but not with rational learning), the aggregate performance of day traders is negative; 74% of day trading volume is generated by traders with a history of losses; and 97% of day traders are likely to lose money in future day trading. Received: March 4, 2019; Editorial decision: May 16, 2019 by Editor: Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

理性模型声称“交易学习”解释了普遍存在的过度投机交易，并对过度交易的行为解释提出了挑战。通过对台湾日内交易者的研究，我们认为理性学习模型并不能解释投机交易。与之前的学习研究一致，不赚钱的日内交易者比赚钱的交易者更有可能退出。与过度自信和有偏见的学习模型(而不是理性学习模型)一致，日内交易者的总体表现为负;74%的日交易量是由有亏损历史的交易者产生的;97%的日内交易者可能在未来的日内交易中赔钱。收稿日期:2019年3月4日;编辑决定:2019年5月16日，编辑:Jeffrey Pontiff。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

引用次数: 19

Consumption-Income Sensitivity and Portfolio Choice. 消费收入敏感性与投资组合选择。

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies

Pub Date : 2019-06-01 Epub Date: 2018-07-17 DOI: 10.1093/rapstu/ray005

Jawad M Addoum, Stefanos Delikouras, George M Korniotis

Contrary to the predictions of traditional life-cycle models, household consumption is excessively sensitive to current income. Similarly, weak evidence of income hedging runs against standard portfolio theory. We link these two puzzles by modifying the theoretical framework of Viceira (2001) to study how consumption-income sensitivities generated by income in the utility function affect households' portfolio choices. Empirically, we find that consumption-income sensitivities affect asset allocation through the income hedging channel. In particular, we show that the interaction between consumption-income sensitivity and the correlation of income growth to stock market returns is an important explanatory variable for households' stock market holdings. Received October 20, 2016; editorial decision April 25, 2018 by Editor Wayne Ferson.

与传统生命周期模型的预测相反，家庭消费对当前收入过于敏感。同样，收入对冲的薄弱证据也违背了标准的投资组合理论。我们通过修改Viceira（2001）的理论框架来研究效用函数中收入产生的消费收入敏感性如何影响家庭的投资组合选择，从而将这两个难题联系起来。实证研究发现，消费收入敏感性通过收入对冲渠道影响资产配置。特别是，我们发现消费收入敏感性和收入增长与股市回报的相关性之间的相互作用是家庭持有股市的重要解释变量。2016年10月20日收到；编辑韦恩·费森于2018年4月25日作出的编辑决定。

引用次数: 0

首页上一页

下一页尾页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Review of Asset Pricing Studies

全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.

﹀