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Does Automated Collateral Evaluation Lower Mortgage Credit Risk Relative to Home Appraisal Valuations? 相对于房屋评估，自动抵押品评估能降低抵押贷款信用风险吗?

SSRN

Pub Date : 2022-06-01 DOI: 10.2139/ssrn.4057658

Kadiri Karamon, Douglas A. McManus

Automated valuation models (AVMs) are increasingly being used as a substitute for home appraisals in mortgage origination. This article examines whether there are differences in the credit risk of mortgages originated using AVMs relative to traditional appraisals. This question is explored through modeling the conditional default rates of loans originated through Freddie Mac’s automated collateral evaluation (ACE) program relative to those originated with appraisals. We show that ACE loans have about a 9.6% lower default risk in comparison to otherwise similar loans originated with appraisals. This superior default performance can be explained by the ACE decision logic employing data beyond that found in a traditional appraisal and the more efficient utilization of available information through statistical modeling. These findings are limited to Freddie Mac’s use of its AVM, the Home Value Explorer®, and the algorithmic decision logic in the ACE program.

自动估值模型(avm)越来越多地被用作抵押贷款发起的房屋评估的替代品。本文考察了使用avm的抵押贷款的信用风险与传统评估是否存在差异。这个问题是通过对房地美自动抵押品评估(ACE)项目产生的贷款的条件违约率与评估产生的贷款的条件违约率进行建模来探讨的。我们表明，与其他类似的评估贷款相比，ACE贷款的违约风险降低了约9.6%。这种优越的默认性能可以通过ACE决策逻辑来解释，它使用的数据超出了传统评估中的数据，并且通过统计建模更有效地利用了可用信息。这些发现仅限于房地美使用其AVM，房屋价值探索者®和ACE计划中的算法决策逻辑。

引用次数: 1

Stock Market Reaction to Recessions and Buying the Dips 股市对衰退的反应和逢低买入

SSRN

Pub Date : 2022-05-31 DOI: 10.2139/ssrn.3953887

Sangkyu Park

Using monthly stock-market data covering 150 years from 1871–2021, this article estimates the stock market’s reaction to recessions and analyzes whether recessions create buying opportunities. The stock market has overreacted to recessions. The overreaction is of large magnitude and fairly consistent. Buying stocks at the trough price, therefore, would produce a large above-normal return. Buying the dips based on a simple percentage-drop rule, however, fails to produce an above-normal return, because the peak-to-trough decrease in stock prices reflects enough market fundamentals to deny an easy profit. Whether a more sophisticated trading strategy can produce a sizable and consistent profit is an open question.

本文利用1871-2021年150年的月度股市数据，估计了股市对衰退的反应，并分析了衰退是否创造了购买机会。股市对经济衰退反应过度。反应过度的程度很大，而且相当一致。因此，以最低价购买股票将产生高于正常水平的巨大回报。然而，基于简单的百分比下跌规则购买下跌股票并不能产生高于正常水平的回报，因为股价从峰值到低谷的下跌反映了足够的市场基本面，无法轻易获利。更复杂的交易策略是否能产生可观且持续的利润是一个悬而未决的问题。

引用次数: 0

Social Networks, Trading, and Liquidity 社交网络、交易和流动性

SSRN

Pub Date : 2022-05-30 DOI: 10.2139/ssrn.4099114

Lin Peng, Qiguang Wang, Dexin Zhou

The recent meme stock saga has drawn attention to the growing role of social networks in capital markets. In this article, the authors summarize the latest research that uses large-scale, representative, real-world social network data to study social networks’ influences on trading, liquidity, and valuations of stocks. Institutional investors invest more heavily in stocks if there are strong social ties between the geographic locations of the institution’s headquarters and the firm’s headquarters. Further, a firm’s social ties to large institutional investors reduce its cost of capital, increase its valuation, and strengthen its liquidity. Social networks help to timely disseminate important news releases into prices but also trigger belief divergence and generate persistent excess trading. Moreover, social interactions can amplify investors’ behavioral biases and contribute to retail investors’ attraction to lottery-type stocks. The authors provide additional examples to further illustrate why the roles of social networks are of particular importance to market participants.

最近的表情包股票事件引起了人们对社交网络在资本市场中日益重要的作用的关注。在这篇文章中，作者总结了最新的研究，使用大规模的、有代表性的、真实世界的社交网络数据来研究社交网络对股票交易、流动性和估值的影响。如果机构总部和公司总部的地理位置之间有很强的社会联系，机构投资者就会加大对股票的投资。此外，公司与大型机构投资者的社会关系降低了其资本成本，提高了其估值，并增强了其流动性。社交网络有助于及时将重要的新闻发布传播到价格中，但也会引发信念分歧，并产生持续的过度交易。此外，社会互动可以放大投资者的行为偏差，并有助于散户投资者对彩票类股票的吸引力。作者提供了额外的例子来进一步说明为什么社会网络的角色对市场参与者特别重要。

引用次数: 1

Consumer Spending and the Cross-Section of Stock Returns 消费者支出与股票收益的横截面

SSRN

Pub Date : 2022-05-27 DOI: 10.2139/ssrn.3968780

Tarun Gupta, E. Leung, V. Roscovan

Using a unique dataset of individual transactions-level data for a universe of US consumer facing stocks, we examine the information content of consumer credit and debit card spending in explaining future stock returns. Our analysis shows that consumer spending data positively predict various measures of a company’s future earnings surprises up to three quarters in the future. This predictive power remains strong in both large- and small-cap universes of consumer discretionary firms in our sample and is robust to the type of transactions data considered (credit card, debit card, or both), although the relationship is stronger in the small-cap universe where informational asymmetries are more pronounced. Based on this empirical observation, we build a simple long–short strategy that takes long–short positions in the top/bottom tercile of stocks ranked on our real-time sales signal. The strategy generates statistically and economically significant returns of 16% per annum net of transaction costs and after controlling for the common sources of systematic factor returns. A simple optimization exercise to form (tangency) mean–variance-efficient portfolios of factors leads to an optimal factor allocation that assigns almost 50% weight to our long–short portfolio. Our results suggest that consumer transaction level data can serve as a more accurate and persistent signal of a firm’s growth potential and future returns.

使用一个独特的美国消费者股票的个人交易级数据集，我们研究了消费者信用卡和借记卡支出的信息内容，以解释未来的股票回报。我们的分析表明，消费者支出数据可以积极预测未来三个季度内公司未来盈利的各种指标。在我们的样本中，这种预测能力在大型和小型的非必需消费品公司中都很强大，并且对所考虑的交易数据类型(信用卡、借记卡或两者)都很稳健，尽管在信息不对称更为明显的小型公司中，这种关系更强。基于这一经验观察，我们建立了一个简单的多空策略，在实时销售信号排名的股票的顶部/底部建立多空头寸。在控制了系统因素回报的常见来源之后，该策略产生了统计上和经济上显著的回报，即扣除交易成本后每年16%的净回报。一个简单的优化练习，形成(切线)平均方差有效的因素组合，导致一个最佳的因素分配，分配近50%的权重给我们的多空投资组合。我们的研究结果表明，消费者交易水平的数据可以作为企业增长潜力和未来回报的更准确和持久的信号。

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引用次数: 0

Expected Stock Returns When Interest Rates Are Low 利率较低时的预期股票回报

SSRN

Pub Date : 2022-05-14 DOI: 10.2139/ssrn.4045504

David Blitz

The equity risk premium is generally considered to be a reward that investors earn on top of the prevailing risk-free return, implying that, all else equal, total expected stock returns should increase with the level of the risk-free return. We examine whether this notion is true using long-term historical data. Our statistical tests strongly reject the hypothesis that a higher risk-free return implies higher total average stock returns. Instead, expected stock returns appear to be unrelated (or perhaps even inversely related) to the level of the risk-free return. Thus, the equity risk premium tends to be higher when the risk-free return is low and vice versa. This result appears to stem from the operating performance of firms. Our findings challenge the conventional wisdom about expected stock returns and have important implications for asset allocation decisions, in particular when risk-free rates are at extreme levels.

股票风险溢价通常被认为是投资者在普遍的无风险回报之上获得的回报，这意味着，在其他条件相同的情况下，股票的预期总回报应该随着无风险回报的水平而增加。我们用长期的历史数据来检验这个观点是否正确。我们的统计检验强烈拒绝假设较高的无风险收益意味着较高的总平均股票收益。相反，预期股票收益似乎与无风险收益水平无关(甚至可能是负相关)。因此，当无风险收益较低时，股票风险溢价往往较高，反之亦然。这一结果似乎源于企业的经营业绩。我们的研究结果挑战了关于预期股票回报的传统智慧，并对资产配置决策具有重要意义，特别是当无风险利率处于极端水平时。

引用次数: 2

WITHDRAWN: Original Antigenic Sin in COVID-19: Hoskins Effect and Vaccine COVID-19 的抗原原罪：霍斯金斯效应和疫苗

SSRN

Pub Date : 2022-03-17 DOI: 10.2174/1871526522666220317154549

Mudassir Khan, Sobia Manzoor, Najeeb Ullah, Dilawar Khan

The article has been withdrawn at the request of the authors.

Bentham Science apologizes to the readers of the journal for any inconvenience this may have caused.

The Bentham Editorial Policy on Article Withdrawal can be found at https://benthamscience.com/editorial-policies-main.php.

Bentham science disclaimer: It is a condition of publication that manuscripts submitted to this journal have not been published and will not be simultaneouslysubmitted or published elsewhere. Furthermore, any data, illustration, structure or table that has been published elsewheremust be reported, and copyright permission for reproduction must be obtained. Plagiarism is strictly forbidden, and by submittingthe article for publication the authors agree that the publishers have the legal right to take appropriate action against theauthors, if plagiarism or fabricated information is discovered. By submitting a manuscript the authors agree that the copyrightof their article is transferred to the publishers if and when the article is accepted for publication.

引用次数: 0

Lockdowns as Options 作为选项的封锁

SSRN

Pub Date : 2022-03-01 DOI: 10.2139/ssrn.3842419

Sweder J. G. van Wijnbergen

引用次数: 0

Tail Risk Hedging Performance: Measuring What Counts 尾部风险套期保值绩效：衡量什么是重要的

SSRN

Pub Date : 2022-02-24 DOI: 10.2139/ssrn.3962552

Linda Chang, Jeremie Holdom, V. Bhansali

The authors discuss the importance of using proper metrics for measuring the historical performance of tail risk hedging portfolios in particular and for any strategy with levered payoffs in general. It is their view that simply using historical compounded returns when the payoffs may be multiples of the investment and ignoring the timing and magnitude of cash flows can potentially paint an inaccurate picture, sometimes grossly so, of the economic value of such strategies. To obtain a more accurate picture that is consistent with the objectives of such strategies, the timing and magnitude of cash flows should be included when analyzing their impact on portfolio construction. Although the correct quantitative metrics are obviously critical in measuring the efficacy and reliability of tail hedging strategies, the importance of subjective metrics, ease of implementation, flexibility, and the relevance to underlying objectives of investors is equally important.

作者讨论了使用适当的指标来衡量尾部风险对冲投资组合的历史表现的重要性，特别是对于任何具有杠杆收益的策略。他们认为，当回报可能是投资的倍数时，简单地使用历史复合回报，而忽略现金流的时间和规模，可能会对这些策略的经济价值描绘出一幅不准确的画面，有时甚至非常不准确。为了获得与此类战略目标一致的更准确的情况，在分析现金流对投资组合构建的影响时，应包括现金流的时间和规模。尽管正确的量化指标在衡量尾部对冲策略的有效性和可靠性方面显然至关重要，但主观指标的重要性、实施的容易性、灵活性以及与投资者潜在目标的相关性同样重要。

引用次数: 1

Carbon-Tax-Adjusted Value 碳税调整值

SSRN

Pub Date : 2022-02-15 DOI: 10.2139/ssrn.3974773

David Blitz, T. Hoogteijling

The authors examine the effects of incorporating a potential tax on carbon emissions into a value investment strategy. They show that in a portfolio optimization problem, a carbon tax at the stock level is mathematically equivalent to a carbon constraint at the portfolio level. Using this insight, the authors derive a value–carbon efficient frontier that reflects the trade-off between a high value exposure and a low carbon footprint. Empirically, they find that carbon taxes up to $100, corresponding to a portfolio carbon footprint reduction of about 50%, have little effect on the characteristics and performance of the long side of a value strategy. More aggressive footprint reduction targets require progressively higher, less realistic carbon tax levels that do erode the magnitude of the value premium.

作者研究了将潜在的碳排放税纳入价值投资策略的影响。他们表明，在投资组合优化问题中，股票水平上的碳税在数学上等同于投资组合水平上的碳约束。利用这一见解，作者得出了一个价值-碳效率边界，反映了高价值暴露和低碳足迹之间的权衡。根据经验，他们发现高达100美元的碳税，相当于投资组合碳足迹减少了约50%，对价值策略的长期特征和表现几乎没有影响。更积极的碳足迹减少目标要求逐步提高、不太现实的碳税水平，这确实会侵蚀价值溢价的幅度。

引用次数: 0

Unstealing the Sky: Third World Equity in the Orbital Commons 揭秘天空:轨道公地的第三世界公平

SSRN

Pub Date : 2022-02-01 DOI: 10.2139/ssrn.3909536

C. van Eijk

To whom does outer space ‘belong’? This question lead to space law’s first treaty provision and its most fundamental disputes, but remains unanswered. This ambiguity empowers the loudest interpreters to conquer the cosmos in plain sight – a conquest that continues today in how we read its law, how we remember its past, and how we imagine its future. Space can only be as common as its history. This counterhistory of the decade from Sputnik to the Outer Space Treaty expands our discipline’s origin story. Through reviving these histories, we can see the space commons which might have been, and reimagine the scope of our law’s potential.outer space law, history, global commons, TWAIL, environmental law

外太空“属于”谁?这个问题导致空间法的第一个条约条款及其最根本的争端，但仍未得到解答。这种模糊性使最响亮的诠释者能够在明目张心的情况下征服宇宙——这种征服在我们如何解读宇宙法则、如何记忆宇宙的过去以及如何想象宇宙的未来方面仍在继续。太空只能像它的历史一样普遍。从人造卫星到外太空条约，这十年的反历史扩展了我们学科的起源故事。通过回顾这些历史，我们可以看到可能存在的空间公地，并重新想象我们的法律潜力的范围。外层空间法，历史，全球公地，TWAIL，环境法

引用次数: 2

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