AFA2019会议论文(36): Topics in Return Dynamics金融经济学 今天 1. A Model of the Macroeconomic Announcement Premium
Hengjie Ai, University of Minnesota Ravi Bansal, Duke University Jay Im, Duke University Chao Ying, University of Minnesota
Abstract Empirically, a large fraction of the market equity premium is realized on days with significant macroeconomic announcements, such as the FOMC announcements and the unemployment report. This paper presents a theory and a quantitative model for the macroeconomic announcement premium. Our model accounts for several stylized facts related to the macroeconomic announcement premium: the large equity premium realized upon announcements, the fit of CAPM model on announcement days, and the upward sloping bond announcement premium across maturities. We show that generalized risk sensitivity in preferences is key to generate announcement premiums, and our result holds in both endowment economies as well as production economies.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1697
2. Leverage-Induced Fire Sales and Stock Market Crashes Jiagnze Bian, University of International Business and Economics Zhiguo He, University of Chicago Kelly Shue, Yale University Hao Zhou, Tsinghua University
Abstract This paper provides direct evidence of leverage-induced fire sales leading to a major stock market crash. Our analysis uses proprietary account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash in the summer of 2015. We find that margin investors heavily sell their holdings when their account-level leverage edges toward their maximum leverage limits, controlling for stock-date and account fixed effects. Stocks that are disproportionately held by investors who are close to receiving margin calls experience high selling pressure and significant abnormal price declines that subsequently reverse over the next 40 trading days. Relative to regulated brokerage accounts, unregulated and highly-leveraged shadow-financed margin accounts contributed more to the market crash, despite the fact that these shadow accounts held a much smaller fraction of market assets.
原文链接: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3047460
3. Valuing Private Equity Investments Strip by Strip
Arpit Gupta, New York University Stijn Van Nieuwerburgh, Columbia University
Abstract We propose a new valuation method for private equity investments. The first step is to construct a cash-flow replicating portfolio for the private investment, using cashflows on listed equity and fixed income instruments. The second step is to value the replicating portfolio using a flexible asset pricing model that accurately prices the systematic risk in equity and fixed income strips. The method delivers time series for the expected return on PE funds as well as a measure of the realized risk-adjusted profit of a PE investment. We apply the method to real estate, infrastructure, energy, and corporate private equity funds, and compare the results to standard valuation approaches.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1406
4. The Time Variation in Risk Appetite and Uncertainty
Geert Bekaert, Columbia University Eric Engstrom, Federal Reserve Board of Governors Nancy Xu, Boston College
Abstract We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables at high frequencies. We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds. The joint dynamics among asset-specific cash flows, macroeconomic fundamentals and risk aversion feature heteroskedasticity and non-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Model-implied risk premiums outperform standard instruments for predicting excess returns on equity and corporate bonds. A financial proxy to our economic uncertainty predicts output growth significantly negatively.
原文链接: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3069078
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