AFA2019会议论文（12）：Asset Pricing with Return Extrapolation

AFA2019会议论文（12）：Asset Pricing with Return Extrapolation

金融经济学 1周前

Asset Pricing with Return Extrapolation

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Can Disclosure Decrease Price Efficiency? Evidence from Mutual Fund Disclosures

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Speculation Sentiment

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Learning Fast or Slow

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1、Asset Pricing with Return Extrapolation

Lawrence Jin,California Institute of Technology

Pengfei Sui,California Institute of Technology

Abstract

We present a new model of asset prices based on return extrapolation. The model is a Lucas-type general equilibrium framework, in which the agent has Epstein-Zin preferences and extrapolative beliefs. Unlike earlier return extrapolation models, our model allows for a quantitative comparison with the data on asset prices. When the agent’s beliefs are calibrated to match survey expectations of investors, the model generates excess volatility and predictability of stock returns, a high equity premium, a low and stable risk-free rate, and a low correlation between stock returns and consumption growth. We compare our model with prominent rational models and document their different implications.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=112

2、Can Disclosure Decrease Price Efficiency? Evidence from Mutual Fund Disclosures

Todd Gormley,Washington University in St. Louis

Zachary Kaplan,Washington University in St. Louis

Aadhaar Verma,Washington University in St. Louis

Abstract

We examine the consequences of mandatory disclosure of portfolio holdings on the information content of trades and the information impounded into prices. We document that the disclosure of portfolio holdings is associated with an increase in stock return noise. Returns reverse on disclosure days 38% more over the subsequent 30 days than on the average day when no disclosure takes place. Asset pricing anomalies also earn negative returns, consistent with the noise in returns leading prices to diverge from fundamental value. We then use fund-level data to show that mutual fund managers are more likely to reverse trades initiated on disclosure days, providing support for the hypothesized link between fund disclosure requirements and distortions in asset prices.Examining how the supply of liquidity responds to the decrease in informed trade, we demonstrate that liquidity increases, and the increases are concentrated in smaller stocks. As a result, there are greater price distortions in larger stocks. These results demonstrate that mandated disclosure may have the unintended consequence of decreasing price efficiency in equity markets.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=319

3、Speculation Sentiment 

Shaun Davies,University of Colorado

Abstract

I provide a novel and direct test that shows speculative demand shocks push asset prices away from fundamentals. I form the Speculation Sentiment Index using observable arbitrage trades in leveraged exchangetraded funds (ETFs). Arbitrage activity originates from unobservable speculative demand shocks that create relative mispricing between a leveraged ETF and its underlying derivative securities. The index proxies for the direction and magnitude of market-wide speculative demand shocks. The Speculation Sentiment Index predicts aggregate asset return reversals and it is associated with market-wide mispricing and arbitrage activity.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=457

4、Learning Fast or Slow

Brad Barber,University of California, Davis

Yi-Tsung Lee,Peking University

Yu-Jane Liu,Peking University

Terrance Odean,University of California, Berkeley

Ke Zhang,Nanjing University

Abstract

We analyze the performance of and learning by individual investors who engage in day trading in Taiwan from 1992 to 2006 and test the proposition that individual investors rationally speculate as day traders in order to learn whether they possess superior trading ability. Consistent with models of both rational and biased learning, we document that unprofitable day traders are more likely to quit than profitable traders. Inconsistent with models of rational speculation and learning, we document that the aggregate performance of day traders is negative, the vast majority of day traders are unprofitable, and many persist despite an extensive experience of losses.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1750

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