AFA2019会议论文（1）：Asset Pricing Anomalies

AFA2019会议论文（1）：Asset Pricing Anomalies

陆堇 金融经济学 2018-12-18

01期

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Mispricing Premia

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What You See is Not What You Get: The Costs of Trading Market Anomalies

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Turning Alphas into Betas: Arbitrage and Endogenous Risk

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1、Mispricing Premia

Todd Hazelkorn, AQR Capital Management

Tobias Moskowitz, Yale University

Kaushik Vasudevan, Yale University

Abstract

We document violations of the no-arbitrage relationship between equity index futures and their underlying spot markets across a set of eighteen international, liquidly traded indices. These mispricings, or bases, co-move across markets and tend to rise and fall contemporaneously with equity markets. We present evidence that links these bases with end-user demand for futures exposure operating in concert with intermediary financing frictions and costs. Studying the futures-spot basis in equity index futures markets in conjunction with covered interest rate parity violations in currency markets, we uncover that futures mispricings negatively forecast the cross-section of returns in both futures and spot markets. We present evidence that the return predictability of futures mispricings is consistent with, but not fully explained by, liquidity providers receiving compensation for providing liquidity to equity and currency investors.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=247

2、What You See is Not What You Get: The Costs of Trading Market Anomalies

Andrew Patton, Duke University

Brian Weller, Duke University

Abstract

Is there a gap between the profitability of a trading strategy “on paper” and that which is achieved in practice? We answer this question by developing two new techniques to measure the real-world implementation costs of financial market anomalies. The first method extends Fama-MacBeth regressions to compare the on-paper returns to factor exposures with those achieved by mutual funds. The second method estimates average return differences between stocks and mutual funds matched on risk characteristics. Unlike existing approaches, these techniques deliver estimates of implementation costs without estimating parametric microstructure models from trading data or explicitly specifying factor trading strategies. After accounting for implementation costs, typical mutual funds earn low returns to value and no returns to momentum.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=577

3、Turning Alphas into Betas: Arbitrage and Endogenous Risk

Thummim Cho, London School of Economics

Abstract

Arbitrage with limited capital can have an unintended consequence of determining the cross-section of risks of the assets. This happens when arbitrage turns “alphas” into “betas”: an asset that is initially more mispriced attracts more arbitrage capital and attains a correspondingly large sensitivity to arbitrage capital shocks. I develop this prediction in a simple model of capital-constrained arbitrageurs and test it in the cross-section of equity “anomalies” to find evidence that their funding-liquidity exposures have arisen endogenously through this alphas-into-betas mechanism. This finding reverses the direction of “causality” in intermediary asset pricing: a high expected return due to an alpha can “cause” a high funding-liquidity beta, not just the other way around.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1312

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