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文献汇总
[1] Beta Forecasting with Realized Beta Estimators and Machine Learning Algorithms
基于已实现Beta估计和机器学习算法的Beta预测
[2] President’s Confidence and the Stock Market Performance
总统信心与股市表现
[3] Printing, Spoofing, Calling, and Flying – Some of the Perils of Exchange Rate FX Option Broking
印刷，欺骗，电话，和飞行-一些风险的汇率外汇期权经纪
[4] Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
非均衡偏态、市场危机与期权定价：具有超对称性的非线性Langevin市场模型
[5] Competition for Attention in the ETF Space
ETF领域的注意力竞争
[6] Bank Instability: Interbank Linkages and the Role of Disclosure
银行不稳定性：银行间联系与信息披露的作用
[7] Monetary Policy and Stock Market Valuation
货币政策与股市估值
[8] Bonds, Currencies and Expectational Errors
债券、货币与预期误差
[9] Frequency-Domain Information for Active Portfolio Management
用于主动投资组合管理的频域信息
[10] Time-Frequency Forecast of the Equity Premium
股票溢价的时频预测
[11] How Cyclical Are Stock Market Return Expectations? Evidence from Capital Market Assumptions
股市回报预期的周期性如何？资本市场假设的证据
[12] Once Upon a Time in AMERIBOR
从前在美国
[13] Expectation Dispersion, Uncertainty, and the Reaction to News
期望离散、不确定性与新闻反应
[14] Attention, Lottery, or Salience? The Impact of Extreme Payoffs on Chinese Mutual Fund Flows
注意、抽奖还是显赫？极端收益对中国共同基金流动的影响
[1] Beta Forecasting with Realized Beta Estimators and Machine Learning Algorithms
标题:基于已实现Beta估计和机器学习算法的Beta预测
作者:Bao Huy Doan(University of New South Wales),Dulani Jayasuriya(University of Auckland, Business School),John B. Lee(University of Auckland),Jonathan J. Reeves(UNSW Business School, University of New South Wales; Financial Research Network (FIRN))
Abstract : This paper applies machine learning algorithms to the modeling of realized betas for the purposes of forecasting stock systematic risk. Forecast horizons range from 1 week up to 1 month. The machine learning algorithms employed are ridge regression, decision tree learning, adaptive boosting, gradient boosting, random forests and neural networks. We also evaluate forecasts from these algorithms against the forecasts generated from simple constant realized beta estimators. We find that the machine learning algorithms can generate lower beta forecast error, relative to current benchmarks in beta forecasting.Presented at the 40th International Symposium on Forecasting, October 26-28, 2020.
Abstract : We show that the stock market pricing the presidential margin of victory in a nonlinear concave fashion, with a higher price for medium than slight or crushing victories. We conjecture that the margin of victory reflects president confidence and the ability to execute policies. A small margin sends instability signal to financial markets as a lack of confidence president, whereas a decisive victory provides excessive ‘political capital’ and a bold mandate to execute policies, which turns the president to be overconfident. Furthermore, margin of victory commoves with financial and political indicators: the greater the margin of victory the larger the policy uncertainty and partisan conflict. Our inference shed light on “the presidential puzzle,” as many Republican presidents won decisively (Raegan twice, Nixon, etc.), while more Democrats with medium victories. Collectively, president’s confidence affects the stock market and is a key exogenous determinant to consider.
Keywords : President Confidence, margin of victory, political finance, stock market performance, overconfidence
Abstract : The recent UK Financial Conduct Authority FCA Final Notice 206018 of November 2020 imposed a fine of more than £3m against broking [Firm X] under FSMA 2000 s.206, for the abusive practice of so-called "printing" of fake trades in exchange rate (FX) options markets. "Printing" according to the FCA "involves a broker communicating to clients that a trade has been executed at a specified price and/or size when no such trade has taken place" and hence "trading decisions which factor in this information, amongst other sources of data, may therefore be made on an incorrect view of the market." To illustrate its case, the FCA provided 4 extremely high level examples of bogus "printed" Latin American (LATAM) exchange rate option trades, on 3 different dates in 2014, but without even specifying the particular exchange rate pairs, principal currency amounts, or purported transaction rates in its Final Notice. Much more granular related information has however previously been detailed in the US Commodity Futures Trading Commission CTFC's published complaint of 28 September 2018 against [Firm X group] companies and others, alleging violations, inter alia, of the US Commodity Exchange Act, and which is still subject to ongoing US proceedings. For example, the CTFC complaint alleged that: "Non-existent LATAM FX option trades flashed on New York-based clients’ [proprietary trading system] screens" and "In 2013 and 2014, this occurred over 200 times in LATAM currency pairs." including in USD v BRL (Brazilian Real) and USD v MXN (Mexican Peso) exchange rate options. The CTFC complaint also alleged an extensive underlying practice of "Flying prices" (also “known in the industry as “spoofing” or “calling” a trade”) whereby: "From January 2013 through December 2014, [the group's] LATAM brokers in New York posted over 25,000 LATAM FX option bids and offers using a [specific] alias. The vast majority, if not all, of these prices were "flown" — they did not represent an actual bid or offer from a trading institution." Similarly, the CTFC complaint alleged that "From approximately January 2014 to June 2014, a number of brokers from [the group's] London desk assisted in broking LATAM FX options for U.S.-based clients. During this period alone, [the group's] brokers posted over 6,900 LATAM FX option prices using a [specific] alias. The vast majority, if not all, of these prices were "flown" — they did not represent an actual bid or offer from a trading institution." Furthermore, CTFC alleged that "From at least 2008 and continuing through at least 2015, [the group's] brokers flew bids and offers to clients over voice (phone), instant message (“IM”), and [the proprietary trading system] on a daily basis. These brokers would fly bids and offers on [the proprietary trading system] by posting them under one of the various [group] aliases ..... Because the platform was anonymous, [counterparty] traders could not tell the difference between bids and offers that were flown by the brokers and bids and offers that were made by an actual trading institution." Any such practice of "flying prices" or "flying rates" on the broker screens would thus inevitably risk misleading specific market participants about the liquidity and concentration of trading interest, if any, at given levels in specific exchange rate option markets. This in turn could induce market participants to trade exchange rate options at times and rates when they otherwise would not, and so inevitably potentially sometimes also to incur losses that they otherwise would not. Printed trades, according to the CTFC allegation, would occur when 2 bogus bid and offers were matched up together by brokers on the [the proprietary trading system] screen system, which then automatically signaled to counterparties using [the proprietary trading system] that genuine exchange rate option trades had occurred at these rates and times. A related occurrence was the inadvertent acceptance of a single flying bid or flying offer price on [the proprietary trading system] by a counterparty. In such cases according to the CTFC allegation: "If a [group] broker got “paid” or “given” on a flown price, [then] the [group's] brokers would scramble to find an actual counterparty to step into the trade. If the broker was unable to find a counterparty he would... make up an excuse — to the trader to cover up the fact that the original bid or offer was not real." However even if a replacement real 2nd counterparty were found, this would still be later and ex post after the original actual trade time. According to the CTFC allegation therefore, the practice of "printing" bogus trades, which was the subject of the FCA Final Notice, was actually much less extensive than the underlying practice of "flying" bogus prices or rates. This is not surprising since in traded derivatives markets, such as exchange traded futures, there can for some less liquid contracts and months be large numbers of indicative quoted price levels at any time amongst which a smaller flow of discrete actual trades occurs. An added technicality in these examples above is that actual transaction prices were typically not being directly quoted and traded, but rather price-like "implied volatilities". This is because in a Black-Scholes type exchange rate option pricing model, the fair market value of a "call" on one currency in a currency pair and "put" on the other currency in the same currency pair, depends inter alia on: i) the original exchange rate level, ii) the option exchange rate strike level, iii) the time to maturity for the option, and iii) the implied volatility which is the key theoretical parameter estimated by traders. Other factors equal, as the implied volatility increases so the probability of any exchange rate moving by diffusion from its original level to the exchange rate option strike level before option maturity also increases and so the fair market option price also increases and can be backed out and calculated from the relevant equations accordingly. It still remains to be seen what will be the final outcomes of CTFC's published complaint of 28 September 2018, which is currently just unproven assertion, but the FCA Final Notice 206018 of November 2020 is likely to strengthen CTFC's hand, and CTFC clearly believe that they have extensive evidence on their side.
Abstract : This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM) system. Borrowing ideas from supersymmetric quantum mechanics (SUSY QM), we use a parameterized ground state wave function (WF) of this QM system as a direct input to the model, which also fixes a non-linear Langevin potential. A stationary distribution of the original Langevin model is given by the square of this WF, and thus is also a direct input to the model. Using a two-component Gaussian mixture as a ground state WF with an asymmetric double well potential produces a tractable low-parametric model with interpretable parameters, referred to as the NES (Non-Equilibrium Skew) model. Supersymmetry (SUSY) is then used to find time-dependent solutions of the model in an analytically tractable way. The model produces time-varying variance, skewness and kurtosis of market returns, whose time variability can be linked to probabilities of crisis-like events. For option pricing out of equilibrium, the NES model offers a closed-form approximation by a mixture of three Black-Scholes prices, which can be calibrated to index options data and used to predict moments of future returns. The NES model is shown to be able to describe both regimes of a benign market and a market in a crisis or a severe distress.
Keywords : Non-Equilibrium Market Dynamics, Langevin Dynamics, Non-Perturbative Methods, Quantum Mechanics, Supersymmetry, the Black-Scholes Model
作者:Itzhak Ben-David(Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER)),Francesco A. Franzoni(USI Lugano; Swiss Finance Institute; Centre for Economic Policy Research (CEPR)),Byungwook Kim(Ohio State University (OSU) - Department of Finance),Rabih Moussawi(Villanova University - Department of Finance; University of Pennsylvania - The Wharton School)
Abstract : Exchange-traded funds (ETFs) are the most prominent financial innovation of the last three decades. Early ETFs offered broad-based portfolios at low cost. As competition became more intense, issuers started offering specialized ETFs that track niche portfolios and charge high fees. Specialized ETFs hold stocks with salient characteristics--high past performance, media exposure, and sentiment--that are appealing to retail and sentiment-driven investors. After their launch, these products perform poorly as the hype around them vanishes, delivering negative risk-adjusted returns. Overall, financial innovation in the ETF space follows two paths: broad-based products that cater to cost-conscious investors and expensive specialized ETFs that compete for the attention of unsophisticated investors.
Abstract : We study the impact of disclosure about bank fundamentals on depositors’ behavior in the presence (and absence) of economic linkages between financial institutions. Using a controlled laboratory environment, we identify under which conditions disclosure is conducive to bank stability. We find that bank deposits are sensitive to perceived bank performance. While banks with strong fundamentals benefit from more precise disclosure, an opposing effect is present for solvent banks with weaker fundamentals. Depositors take information about economic linkages into account and correctly identify when disclosure about one institution conveys meaningful information for others. Our findings highlight both the costs and benefits of bank transparency and suggest that disclosure is not always stability enhancing.
Abstract : This paper estimates the effect of the European Central Banks’s monetary policy on the term structure of expected stock market risk premia. Expected stock market premia are solved using analysts’ dividend forecasts, the Eurostoxx 50 stock index and Eurostoxx 50 dividend futures. Although risk-free rates have decreased after the global financial crisis, the results indicate that the expected average stock market return has remained quite stable at around 9 percent. This implies that the expected average stock market risk premium has increased since the financial crisis. The effect of monetary policy on expected premia is analysed using VAR models and local projection methods. According to the results, monetary policy easing raises the average expected premium. The effect is explained by a rise in long-horizon expected premia.
Abstract : We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward sloping term structure of carry trade returns documented by Lustig et al. (2019), difficult to replicate in a rational expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict surveybased expectational errors concerning interest and FX rates. The model explains why monetary policy induces drift patterns in bond and currency markets and predicts that long-term rates are a better gauge of market’s short rate expectations than previously thought.
Abstract : We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the highest predictive power. The resulting forecasts are more accurate than those of traditional forecasting methods for both asset classes. When used in the context of active portfolio management, the forecasts based on frequency-domain information lead to better portfolio performances than when using the original time series of the predictors. It produces higher information ratio (0.57 vs 0.45), higher CER gains (1.12% vs 0.81%), and lower maximum drawdown (19.1% vs 19.6%).
Abstract : Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We evaluate a large set of models and find that, by selecting the relevant frequencies for equity premium forecasting, this method significantly improves in both statistical and economic sense upon standard time series forecasting methods. This improvement is robust regardless of the predictor used, the out-of-sample period considered, and the frequency of the data used.
[11] How Cyclical Are Stock Market Return Expectations? Evidence from Capital Market Assumptions
标题:股市回报预期的周期性如何？资本市场假设的证据
作者:Magnus Dahlquist(Stockholm School of Economics; Swedish House of Finance),Markus Ibert(Board of Governors of the Federal Reserve System; Swedish House of Finance)
Abstract : We collect return expectations from the capital market assumptions of asset management firms that manage a combined USD 22.6 trillion in 2020. Consistent with rational expectations asset pricing models, asset managers' stock market return expectations are countercyclical and volatile: they are high when valuations are low and low when valuations are high. As U.S. equity valuations increased over the last decade, the ten-year expected U.S. equity premium declined from 4.6% per year at the beginning of the decade to 2.9% per year at the end of the decade and temporarily spiked by 2.0 percentage points during the COVID-19 induced market sell off in March 2020.
Abstract : October 2020 brought news of a pioneering first public issue of long term corporate debt with floating interest based on the AMERIBOR index, from Signature Bank. This was closely followed in December 2020 with the announcement that global bank Citi would begin market-making in AMERIBOR-based interest rate swaps, and then of the first publicized AMERIBOR-based interest rate swap between EDandF Mann and First Merchant Bank. Together this early evidence suggests that, AMERIBOR-based rates may well be becoming attractive to many market participants as replacements for USD Libor, in USD bond and derivative transactions, and after Libor's imminent decommissioning, AMERIBOR might well take over as the floating rate index of choice for many market participants, rather than say risk free alternative SOFR.N.B. AMERIBOR is a proprietary average interest rate calculated by AFX, the American Financial Exchange, as "the transaction volume weighted average interest rate of the daily transactions in the AMERIBOR overnight unsecured loan market on the AFX" and which "reflects the actual borrowing costs of thousands of small, medium and regional banks across America." It is thus highly relevant to US bank and corporate funding costs and hedging, and touted and designed to be a potential successor to USD Libor for these parties. Products provided or intermediated by AFX to its members include overnight and 30-day (1 month) and 90-day (3 month) unsecured loans and an indicative 30-day AMERIBOR-based forward rate. The Chicago Board of Exchange CBOE which has hosted AFX since AFX's inception in 2015, also provides additional exchange traded futures for simple and compounding average AMERIBOR rates over periods including: 7-day, 14-day, 30-day and 90-day, for contract periods starting out to a year or more.The first AMERIBOR-based public bond issue which settled on 6 October 2020, was a $375m 10-year fixed-floating (after 5 years) callable, subordinated bond (Section 3(a)(2) Note) for Signature Bank, ISIN USB2669GGCK85. For the 1st 5 years, i.e. until October 2025, the bond pays a fixed rate of 4% p.a. semi-annually. The bond can then be called at par after the 1st 5 years. However, for as long as it is not called over the floating period from years 5 to 10, the bond will pay "three month AMERIBOR" plus 389 basis points. This will give Signature Bank the option to continue this borrowing at 3.89% p.a. above its "three month AMERIBOR" index out as far as 2030 if advantageous at the time e.g. in terms of the market premia then applicable for risk, term, subordination, and liquidity.This October 2020 bond closely mirrored the structure of Signature Bank's two earlier funding bond issues. In April 2016 Signature had issued a $260m 10 year fixed-floating (after 5 years) callable, subordinated bond, which pays 5.3% interest p.a. semi-annually for the 1st 5 years until April 2021, and then 3m USD Libor + 3.92% for as long as not called over the next 5 year period until 2026. Then in November 2019 Signature had issued a $200m 10 year fixed-floating (after 5 years) callable, subordinated bond, which pays 4.125% interest p.a. semi-annually for the 1st 5 years until November 2024, and then 3m USD Libor + 2.559% for as long as not called over the next 5 year period until 2029. However as identified in the Risk Factors section of Signature Bank's end 2019 Form 10-K, all its Libor related transactions are exposed to Libor termination risk, and this plus Signature Bank's founder membership of AFX, no doubt contributed to it switching from USD Libor to AMERIBOR-based floating funding in its last bond issue. Indeed this might also pave the way for Signature Bank's earlier bonds to be amended in due course also to reference AMERIBOR rather than Libor, or alternatively to be swapped for AMERIBOR-based alternatives, and similarly for other bond issuersAn interesting point is that there is not currently a "three month AMERIBOR" rate fixing corresponding say to the daily 3m USD Libor fixing. Hence the "three month AMERIBOR" rate used in Signature Bank's latest bond may be a synthetic rate e.g. derived from traded futures or determined ex post or say from a function of current AMERIBOR. Thus the correlation between "three month AMERIBOR" rate used and 3m Libor fixings, may prove to be lower than the claimed historic 98-99% correlation between AMERIBOR and O/N Libor, but presumably will still be very high.The pioneering first publicized AMERIBOR-based swap in December 2020 was a 1 year $24m fixed-floating interest rate swap between EDandF Man and First Merchants Bank, with netted monthly payments and a floating "one month AMERIBOR" index, which may also be a synthetic rate. The relatively tiny, non-standard principal amount of this swap, plus the short 1 year maturity, and netted payments, together all mark this out as most probably a tentative, safe, "test-the-waters" first transaction, hedging specific AMERIBOR-based assets and liabilities. However likely future developments, if there are no glitches, include a developing AMERIBOR based interest rate swap market with broadening liquidity and market making from Citi and other banks, and longer term AMERIBOR-based interest rates both being quoted directly, and also being covered as standard in ISDA type Definitions for other derivatives transactions and bonds. Thus we may have just witnessed a critical tipping point from USD Libor towards AMERIBOR, and the moment when AMERIBOR-based yield curves, bond and derivative transactions all "took off"..."once upon a time in AMERIBOR."
[13] Expectation Dispersion, Uncertainty, and the Reaction to News
标题:期望离散、不确定性与新闻反应
作者:Benjamin Born(Frankfurt School of Finance & Management gemeinnützige GmbH),Jonas Dovern(Friedrich-Alexander-Universität Erlangen-Nürnberg),Zeno Enders(University of Heidelberg)
Abstract : Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the preceding dispersion in expectations about the indicator value. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model, dispersion results from a perceived weak link between macroeconomic indicators and fundamentals that reduces the informational content of indicators, while higher fundamental uncertainty makes this informational content more valuable.
[14] Attention, Lottery, or Salience? The Impact of Extreme Payoffs on Chinese Mutual Fund Flows
标题:注意、抽奖还是显赫？极端收益对中国共同基金流动的影响
作者:Shiyang Hu(Chongqing University - School of Economics and Business Admininstration),Cheng Xiang(Chongqing University - School of Economics and Business Admininstration),Xiaofeng Quan(Soochow University)
Abstract : Using a sample of Chinese mutual funds from 2004 to 2019, we find that investors direct flows into (out of) funds with salient upsides (downsides), controlling for a set of known determinants of fund flows. This effect is robust to alternative measures of key variables and is more pronounced for funds with larger individual ownership. This effect is not explained by individuals’ attention-driven purchases of attention-grabbing funds, funds’ lottery-like features, or the characteristics of funds’ underlying stocks. The salience theory, which argues that extreme payoffs distort individuals’ decision weights on risky asset choices only if these payoffs stand out relative to available alternatives and thus are salient, offers a plausible explanation for this effect.
Keywords : Salience theory; Limited attention; Lottery preferences; MAX effect; Mutual fund flows
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机器翻译，仅供参考！更多文献获取请关注公众号：量化前沿速递
获取原文请加入知识星球“量化前沿速递”
文献汇总
[1] Beta Forecasting with Realized Beta Estimators and Machine Learning Algorithms
基于已实现Beta估计和机器学习算法的Beta预测
[2] President’s Confidence and the Stock Market Performance
总统信心与股市表现
[3] Printing, Spoofing, Calling, and Flying – Some of the Perils of Exchange Rate FX Option Broking
印刷，欺骗，电话，和飞行-一些风险的汇率外汇期权经纪
[4] Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
非均衡偏态、市场危机与期权定价：具有超对称性的非线性Langevin市场模型
[5] Competition for Attention in the ETF Space
ETF领域的注意力竞争
[6] Bank Instability: Interbank Linkages and the Role of Disclosure
银行不稳定性：银行间联系与信息披露的作用
[7] Monetary Policy and Stock Market Valuation
货币政策与股市估值
[8] Bonds, Currencies and Expectational Errors
债券、货币与预期误差
[9] Frequency-Domain Information for Active Portfolio Management
用于主动投资组合管理的频域信息
[10] Time-Frequency Forecast of the Equity Premium
股票溢价的时频预测
[11] How Cyclical Are Stock Market Return Expectations? Evidence from Capital Market Assumptions
股市回报预期的周期性如何？资本市场假设的证据
[12] Once Upon a Time in AMERIBOR
从前在美国
[13] Expectation Dispersion, Uncertainty, and the Reaction to News
期望离散、不确定性与新闻反应
[14] Attention, Lottery, or Salience? The Impact of Extreme Payoffs on Chinese Mutual Fund Flows
注意、抽奖还是显赫？极端收益对中国共同基金流动的影响
[1] Beta Forecasting with Realized Beta Estimators and Machine Learning Algorithms
标题:基于已实现Beta估计和机器学习算法的Beta预测
作者:Bao Huy Doan(University of New South Wales),Dulani Jayasuriya(University of Auckland, Business School),John B. Lee(University of Auckland),Jonathan J. Reeves(UNSW Business School, University of New South Wales; Financial Research Network (FIRN))
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3727306
Abstract : This paper applies machine learning algorithms to the modeling of realized betas for the purposes of forecasting stock systematic risk. Forecast horizons range from 1 week up to 1 month. The machine learning algorithms employed are ridge regression, decision tree learning, adaptive boosting, gradient boosting, random forests and neural networks. We also evaluate forecasts from these algorithms against the forecasts generated from simple constant realized beta estimators. We find that the machine learning algorithms can generate lower beta forecast error, relative to current benchmarks in beta forecasting.Presented at the 40th International Symposium on Forecasting, October 26-28, 2020.
Keywords : CAPM, Systematic Risk
Abstract :本文应用机器学习算法对已实现的beta进行建模，以预测股票系统风险。预测范围从1周到1个月不等。采用的机器学习算法有岭回归、决策树学习、自适应boosting、梯度boosting、随机森林和神经网络。我们还评估了这些算法的预测与简单常数实现贝塔估计生成的预测。我们发现，机器学习算法可以产生较低的贝塔预测误差，相对于目前的基准测试在贝塔预测。呈现在第40届国际预测研讨会上，2020年10月26-28日。
Keywords :CAPM，系统风险
[2] President’s Confidence and the Stock Market Performance
标题:总统信心与股市表现
作者:Yosef Bonaparte(University of Colorado at Denver - Department of Finance)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3758905
Abstract : We show that the stock market pricing the presidential margin of victory in a nonlinear concave fashion, with a higher price for medium than slight or crushing victories. We conjecture that the margin of victory reflects president confidence and the ability to execute policies. A small margin sends instability signal to financial markets as a lack of confidence president, whereas a decisive victory provides excessive ‘political capital’ and a bold mandate to execute policies, which turns the president to be overconfident. Furthermore, margin of victory commoves with financial and political indicators: the greater the margin of victory the larger the policy uncertainty and partisan conflict. Our inference shed light on “the presidential puzzle,” as many Republican presidents won decisively (Raegan twice, Nixon, etc.), while more Democrats with medium victories. Collectively, president’s confidence affects the stock market and is a key exogenous determinant to consider.
Keywords : President Confidence, margin of victory, political finance, stock market performance, overconfidence
Abstract :我们表明，股票市场定价的总统胜利的差距在一个非线性凹的方式，与较高的价格为中等或轻微的压榨胜利。我们推测，胜利的边缘反映了总统的信心和执行政策的能力。小幅度的利差向金融市场发出了不稳定的信号，表现为对总统缺乏信心，而决定性的胜利则提供了过多的“政治资本”和执行政策的大胆授权，这使总统变得过于自信。此外，胜差与财政和政治指标密切相关：胜差越大，政策不确定性和党派冲突就越大。我们的推论揭示了“总统之谜”，因为许多共和党总统都取得了决定性的胜利（雷根两次、尼克松等），而更多的民主党人则取得了中等程度的胜利。总的来说，总统的信心影响着股票市场，是一个关键的外生决定因素。
Keywords :总统信心、胜差、政治财政、股市表现、过度自信
[3] Printing, Spoofing, Calling, and Flying – Some of the Perils of Exchange Rate FX Option Broking
标题:印刷，欺骗，电话，和飞行-一些风险的汇率外汇期权经纪
作者:Rupert Macey-Dare(University of Oxford - Saint Cross College; Middle Temple; Minerva Chambers)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3737639
Abstract : The recent UK Financial Conduct Authority FCA Final Notice 206018 of November 2020 imposed a fine of more than £3m against broking [Firm X] under FSMA 2000 s.206, for the abusive practice of so-called "printing" of fake trades in exchange rate (FX) options markets. "Printing" according to the FCA "involves a broker communicating to clients that a trade has been executed at a specified price and/or size when no such trade has taken place" and hence "trading decisions which factor in this information, amongst other sources of data, may therefore be made on an incorrect view of the market." To illustrate its case, the FCA provided 4 extremely high level examples of bogus "printed" Latin American (LATAM) exchange rate option trades, on 3 different dates in 2014, but without even specifying the particular exchange rate pairs, principal currency amounts, or purported transaction rates in its Final Notice. Much more granular related information has however previously been detailed in the US Commodity Futures Trading Commission CTFC's published complaint of 28 September 2018 against [Firm X group] companies and others, alleging violations, inter alia, of the US Commodity Exchange Act, and which is still subject to ongoing US proceedings. For example, the CTFC complaint alleged that: "Non-existent LATAM FX option trades flashed on New York-based clients’ [proprietary trading system] screens" and "In 2013 and 2014, this occurred over 200 times in LATAM currency pairs." including in USD v BRL (Brazilian Real) and USD v MXN (Mexican Peso) exchange rate options. The CTFC complaint also alleged an extensive underlying practice of "Flying prices" (also “known in the industry as “spoofing” or “calling” a trade”) whereby: "From January 2013 through December 2014, [the group's] LATAM brokers in New York posted over 25,000 LATAM FX option bids and offers using a [specific] alias. The vast majority, if not all, of these prices were "flown" — they did not represent an actual bid or offer from a trading institution." Similarly, the CTFC complaint alleged that "From approximately January 2014 to June 2014, a number of brokers from [the group's] London desk assisted in broking LATAM FX options for U.S.-based clients. During this period alone, [the group's] brokers posted over 6,900 LATAM FX option prices using a [specific] alias. The vast majority, if not all, of these prices were "flown" — they did not represent an actual bid or offer from a trading institution." Furthermore, CTFC alleged that "From at least 2008 and continuing through at least 2015, [the group's] brokers flew bids and offers to clients over voice (phone), instant message (“IM”), and [the proprietary trading system] on a daily basis. These brokers would fly bids and offers on [the proprietary trading system] by posting them under one of the various [group] aliases ..... Because the platform was anonymous, [counterparty] traders could not tell the difference between bids and offers that were flown by the brokers and bids and offers that were made by an actual trading institution." Any such practice of "flying prices" or "flying rates" on the broker screens would thus inevitably risk misleading specific market participants about the liquidity and concentration of trading interest, if any, at given levels in specific exchange rate option markets. This in turn could induce market participants to trade exchange rate options at times and rates when they otherwise would not, and so inevitably potentially sometimes also to incur losses that they otherwise would not. Printed trades, according to the CTFC allegation, would occur when 2 bogus bid and offers were matched up together by brokers on the [the proprietary trading system] screen system, which then automatically signaled to counterparties using [the proprietary trading system] that genuine exchange rate option trades had occurred at these rates and times. A related occurrence was the inadvertent acceptance of a single flying bid or flying offer price on [the proprietary trading system] by a counterparty. In such cases according to the CTFC allegation: "If a [group] broker got “paid” or “given” on a flown price, [then] the [group's] brokers would scramble to find an actual counterparty to step into the trade. If the broker was unable to find a counterparty he would... make up an excuse — to the trader to cover up the fact that the original bid or offer was not real." However even if a replacement real 2nd counterparty were found, this would still be later and ex post after the original actual trade time. According to the CTFC allegation therefore, the practice of "printing" bogus trades, which was the subject of the FCA Final Notice, was actually much less extensive than the underlying practice of "flying" bogus prices or rates. This is not surprising since in traded derivatives markets, such as exchange traded futures, there can for some less liquid contracts and months be large numbers of indicative quoted price levels at any time amongst which a smaller flow of discrete actual trades occurs. An added technicality in these examples above is that actual transaction prices were typically not being directly quoted and traded, but rather price-like "implied volatilities". This is because in a Black-Scholes type exchange rate option pricing model, the fair market value of a "call" on one currency in a currency pair and "put" on the other currency in the same currency pair, depends inter alia on: i) the original exchange rate level, ii) the option exchange rate strike level, iii) the time to maturity for the option, and iii) the implied volatility which is the key theoretical parameter estimated by traders. Other factors equal, as the implied volatility increases so the probability of any exchange rate moving by diffusion from its original level to the exchange rate option strike level before option maturity also increases and so the fair market option price also increases and can be backed out and calculated from the relevant equations accordingly. It still remains to be seen what will be the final outcomes of CTFC's published complaint of 28 September 2018, which is currently just unproven assertion, but the FCA Final Notice 206018 of November 2020 is likely to strengthen CTFC's hand, and CTFC clearly believe that they have extensive evidence on their side.
Keywords : FX, Exchange Rate Option Pricing, Black-Scholes, Derivatives, FCA, Final Notice, CTFC
Abstract :最近，英国金融行为管理局（FCA）于2020年11月发布了206018号最终公告，根据FSMA 2000 s.206，对经纪[公司X]处以300多万英镑的罚款，罪名是在汇率（FX）期权市场上滥用所谓的“印刷”假交易“根据FCA”的印刷涉及经纪人向客户传达，在未发生此类交易时，交易已按规定价格和/或规模执行”，因此“在其他数据来源中，考虑到此信息的交易决定，为了说明这一点，金融行为监管局在2014年的3个不同日期提供了4个伪造的“印刷”拉丁美洲（LATAM）汇率期权交易的极高水平的例子，但甚至没有说明具体的汇率对、主要货币金额或声称的交易最后通知中的费率。然而，此前美国商品期货交易委员会CTFC于2018年9月28日公布的对[公司X集团]公司和其他公司的投诉中详细列出了更为详细的相关信息，指控其违反了《美国商品交易法》（US Commodity Exchange Act），目前仍在美国进行诉讼。例如，CTFC的申诉称：“不存在的LATAM外汇期权交易在纽约客户的[自营交易系统]屏幕上闪现”，“2013年和2014年，在LATAM货币对中发生了200多次。”包括美元兑巴西雷亚尔（巴西雷亚尔）和美元兑墨西哥比索（墨西哥比索）汇率期权。CTFC的投诉还指称存在一种广泛的“飞涨价格”（在业内也被称为“欺骗”或“称为交易”）的潜在做法，即：“从2013年1月到2014年12月，[该集团]在纽约的LATAM经纪人使用[特定]别名发布了25000多份LATAM外汇期权出价和报价。这些价格中的绝大多数（如果不是全部的话）都是“空运”的——它们并不代表交易机构的实际出价或报价。”同样，CTFC的申诉称，“大约在2014年1月至2014年6月期间，[集团]伦敦办事处的一些经纪人协助为美国客户代理LATAM外汇期权。仅在此期间，[集团]的经纪人就使用[特定]别名公布了6900多个拉丁美洲外汇期权价格。这些价格中的绝大多数（如果不是全部的话）都是“空运的”——它们并不代表交易机构的实际出价或报价。”此外，CTFC声称，“至少从2008年到2015年，[集团]的经纪人通过语音（电话）、即时消息（“IM”）向客户空运出价和报价，以及[自营交易系统]。这些经纪商将在[自营交易系统]上通过各种[集团]别名之一发布投标和报价。。。。。因为平台是匿名的，[交易对手]交易员无法区分经纪人发出的出价和要约与实际交易机构发出的出价和要约之间的区别。“因此，在经纪人屏幕上“飞涨价格”或“飞涨利率”的任何此类做法都不可避免地会使特定市场参与者对流动性和流动性产生误解在特定汇率期权市场中，交易利率（如有）集中在给定水平。这反过来又会促使市场参与者在本来不会进行汇率期权交易的时间和汇率进行交易，因此不可避免地有时也会招致本来不会发生的损失。根据CTFC的指控，当经纪人在[自营交易系统]屏幕系统上匹配两个虚假的出价和出价时，就会发生印刷交易，然后，它会自动向使用[自营交易系统]的交易对手发出信号，表明真正的汇率期权交易是在这些汇率和时间发生的。与此相关的一种情况是，交易对手无意中接受了[自营交易系统]上的单一飞行出价或飞行出价。在这种情况下，根据CTFC的指控：“如果一个[集团]经纪人得到“支付”或“给予”一个飞行价格，[然后]该[集团]经纪人将争相寻找一个实际的交易对手介入交易。如果经纪人找不到交易对手，他会。。。编造一个借口——让交易者掩盖原来的出价或报价不真实的事实。”然而，即使找到了一个替换的真实第二交易对手，这仍然是在原来的实际交易时间之后进行的事后交易。因此，根据CTFC的指控，FCA最后通知所指的“印刷”虚假交易的做法，实际上远没有“飞扬”虚假价格或汇率的基本做法广泛。这并不奇怪，因为在交易所交易的衍生品市场，例如交易所交易的期货市场，对于一些流动性较低的合约和月份，在任何时候都可能有大量的指示性报价水平，其中离散的实际交易流量较小。上述例子中的另一个技术问题是，实际交易价格通常不是直接报价和交易的，而是类似于“隐含波动率”的价格。这是因为在Black-Scholes型汇率期权定价模型中，一种货币对中一种货币的“看涨期权”和同一货币对中另一种货币的“看跌期权”的公平市场价值除其他外取决于：i）原始汇率水平，ii）期权汇率执行水平，iii）期权到期时间，隐含波动率是交易者估计的关键理论参数。其他因素相等，随着隐含波动率的增加，任何汇率在期权到期前通过扩散从其原始水平移动到汇率期权执行水平的概率也会增加，因此公平市场期权价格也会增加，可以相应地从相关方程中退出和计算。CTFC于2018年9月28日公布的申诉最终结果如何，目前尚不清楚，但FCA于2020年11月发布的206018号最终通知可能会加强CTFC的实力，CTFC显然认为他们有大量证据支持。
Keywords :外汇、汇率期权定价、布莱克-斯科尔斯、衍生工具、FCA、最终通知、CTFC
[4] Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
标题:非均衡偏态、市场危机与期权定价：具有超对称性的非线性Langevin市场模型
作者:Igor Halperin(Fidelity Investments, Inc.)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3724000
Abstract : This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM) system. Borrowing ideas from supersymmetric quantum mechanics (SUSY QM), we use a parameterized ground state wave function (WF) of this QM system as a direct input to the model, which also fixes a non-linear Langevin potential. A stationary distribution of the original Langevin model is given by the square of this WF, and thus is also a direct input to the model. Using a two-component Gaussian mixture as a ground state WF with an asymmetric double well potential produces a tractable low-parametric model with interpretable parameters, referred to as the NES (Non-Equilibrium Skew) model. Supersymmetry (SUSY) is then used to find time-dependent solutions of the model in an analytically tractable way. The model produces time-varying variance, skewness and kurtosis of market returns, whose time variability can be linked to probabilities of crisis-like events. For option pricing out of equilibrium, the NES model offers a closed-form approximation by a mixture of three Black-Scholes prices, which can be calibrated to index options data and used to predict moments of future returns. The NES model is shown to be able to describe both regimes of a benign market and a market in a crisis or a severe distress.
Keywords : Non-Equilibrium Market Dynamics, Langevin Dynamics, Non-Perturbative Methods, Quantum Mechanics, Supersymmetry, the Black-Scholes Model
Abstract :本文提出了一个基于朗之万模型的非线性市场收益动态模型接近。到期对于相互作用势的非线性，该模型允许小的和大的收益波动。将朗之万动力学映射到一个等效的量子力学系统上。借鉴超对称量子力学（SUSY-QM）的思想，我们用QM系统的参数化基态波函数（WF）作为模型的直接输入，并修正了非线性Langevin势。原始Langevin模型的平稳分布由该WF的平方给出，因此也是模型的直接输入。利用双组分高斯混合态作为基态WF，利用非对称双阱势产生一个可解释参数的低参数模型，称为NES（Non-balanced Skew）模型。然后利用超对称性（SUSY）以解析可处理的方式求出模型的时变解。该模型产生了市场收益的时变方差、偏度和峰度，其时变性可与类似危机事件的概率相联系。对于非均衡的期权定价，NES模型提供了一个由三个Black-Scholes价格混合而成的封闭式近似值，可以根据指数期权数据进行校准，并用于预测未来收益的时刻。NES模型能够同时描述良性市场和处于危机或严重困境的市场。
Keywords :非均衡市场动力学，朗之万动力学，非微扰方法，量子力学，超对称，布莱克-斯科尔斯模型
[5] Competition for Attention in the ETF Space
标题:ETF领域的注意力竞争
作者:Itzhak Ben-David(Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER)),Francesco A. Franzoni(USI Lugano; Swiss Finance Institute; Centre for Economic Policy Research (CEPR)),Byungwook Kim(Ohio State University (OSU) - Department of Finance),Rabih Moussawi(Villanova University - Department of Finance; University of Pennsylvania - The Wharton School)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3765063
Abstract : Exchange-traded funds (ETFs) are the most prominent financial innovation of the last three decades. Early ETFs offered broad-based portfolios at low cost. As competition became more intense, issuers started offering specialized ETFs that track niche portfolios and charge high fees. Specialized ETFs hold stocks with salient characteristics--high past performance, media exposure, and sentiment--that are appealing to retail and sentiment-driven investors. After their launch, these products perform poorly as the hype around them vanishes, delivering negative risk-adjusted returns. Overall, financial innovation in the ETF space follows two paths: broad-based products that cater to cost-conscious investors and expensive specialized ETFs that compete for the attention of unsophisticated investors.
Keywords : exchange-traded funds, ETFs, financial innovation, competition, attention ,retail investors, trading, securities, mutual funds, financial intermediation, overvaluation
Abstract :交易所交易基金（etf）是近三十年来最突出的金融创新。早期的etf以低成本提供基础广泛的投资组合。随着竞争变得更加激烈，发行人开始提供跟踪利基投资组合并收取高额费用的专业ETF。专业ETF持有的股票具有显著特征——过去的高表现、媒体曝光率和人气——对散户和人气驱动的投资者具有吸引力。上市后，这些产品表现不佳，因为周围的炒作消失，带来负风险调整回报。总的来说，ETF领域的金融创新遵循两条路径：面向成本意识强的投资者的基础广泛的产品和争夺不成熟投资者注意力的昂贵专业ETF。
Keywords :交易所买卖基金、ETF、金融创新、竞争、关注、散户、交易、证券、共同基金、金融中介、高估
[6] Bank Instability: Interbank Linkages and the Role of Disclosure
标题:银行不稳定性：银行间联系与信息披露的作用
作者:Stefan T. Trautmann(affiliation not provided to SSRN)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3764719
Abstract : We study the impact of disclosure about bank fundamentals on depositors’ behavior in the presence (and absence) of economic linkages between financial institutions. Using a controlled laboratory environment, we identify under which conditions disclosure is conducive to bank stability. We find that bank deposits are sensitive to perceived bank performance. While banks with strong fundamentals benefit from more precise disclosure, an opposing effect is present for solvent banks with weaker fundamentals. Depositors take information about economic linkages into account and correctly identify when disclosure about one institution conveys meaningful information for others. Our findings highlight both the costs and benefits of bank transparency and suggest that disclosure is not always stability enhancing.
Keywords : None
Abstract :我们研究了在金融机构之间存在（或不存在）经济联系的情况下，银行基本面信息披露对存款人行为的影响。利用受控的实验室环境，我们确定在何种条件下披露有利于银行稳定。我们发现，银行存款是敏感的感知银行绩效。虽然基本面强劲的银行受益于更精确的披露，但基本面较弱的有偿付能力银行却存在相反的效果。存款人考虑到经济联系方面的信息，并正确识别何时披露一个机构的信息会为其他机构传递有意义的信息。我们的研究结果强调了银行透明度的成本和收益，并表明披露并不总是能够增强稳定性。
Keywords :None
[7] Monetary Policy and Stock Market Valuation
标题:货币政策与股市估值
作者:None
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3764721
Abstract : This paper estimates the effect of the European Central Banks’s monetary policy on the term structure of expected stock market risk premia. Expected stock market premia are solved using analysts’ dividend forecasts, the Eurostoxx 50 stock index and Eurostoxx 50 dividend futures. Although risk-free rates have decreased after the global financial crisis, the results indicate that the expected average stock market return has remained quite stable at around 9 percent. This implies that the expected average stock market risk premium has increased since the financial crisis. The effect of monetary policy on expected premia is analysed using VAR models and local projection methods. According to the results, monetary policy easing raises the average expected premium. The effect is explained by a rise in long-horizon expected premia.
Keywords : None
Abstract :本文估计了欧洲央行货币政策对股市预期风险溢价期限结构的影响。利用分析师的股息预测、Eurostoxx 50股指和Eurostoxx 50股息期货来解决预期的股市溢价。尽管全球金融危机后，无风险利率有所下降，但结果表明，股市预期平均回报率仍保持在9%左右相当稳定。这意味着，自金融危机以来，预期平均股市风险溢价有所上升。运用VAR模型和局部投影方法分析了货币政策对预期收益的影响。结果显示，货币政策放松提高了平均预期溢价。这种影响可以用长期预期溢价的上升来解释。
Keywords :None
[8] Bonds, Currencies and Expectational Errors
标题:债券、货币与预期误差
作者:Eleonora Granziera(Bank of Finland),Markus Sihvonen(Bank of Finland)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3764712
Abstract : We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward sloping term structure of carry trade returns documented by Lustig et al. (2019), difficult to replicate in a rational expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict surveybased expectational errors concerning interest and FX rates. The model explains why monetary policy induces drift patterns in bond and currency markets and predicts that long-term rates are a better gauge of market’s short rate expectations than previously thought.
Keywords : None
Abstract :我们提出了一个模型，在这个模型中，短期利率的粘性预期在债券市场和货币市场上产生了共同的可预测性模式。使用我们的校准模型，我们量化了这一渠道的影响，并发现它在很大程度上解释了为什么短期利率和收益率差预测债券和货币回报。该模型还创建了Lustig等人（2019）记录的套利交易回报向下倾斜的期限结构，难以在理性预期框架中复制。与模型一致，我们发现预测债券和货币收益的变量也预测基于调查的利率和汇率预期误差。该模型解释了为什么货币政策会导致债券和货币市场出现漂移模式，并预测长期利率比以前认为的更能衡量市场的短期利率预期。
Keywords :None
[9] Frequency-Domain Information for Active Portfolio Management
标题:用于主动投资组合管理的频域信息
作者:Gonçalo Faria(Catholic University of Portugal (UCP) - School of Economics and Management and CEGE),Fabio Verona(Bank of Finland - Research)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3764707
Abstract : We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the highest predictive power. The resulting forecasts are more accurate than those of traditional forecasting methods for both asset classes. When used in the context of active portfolio management, the forecasts based on frequency-domain information lead to better portfolio performances than when using the original time series of the predictors. It produces higher information ratio (0.57 vs 0.45), higher CER gains (1.12% vs 0.81%), and lower maximum drawdown (19.1% vs 19.6%).
Keywords : None
Abstract :我们评估使用频域信息进行主动投资组合管理的好处。为此，我们使用一种方法来预测债券风险溢价和股票风险溢价，该方法将（预测因子的）频率与最高预测能力隔离开来。对这两种资产类别的预测结果比传统的预测方法更为准确。当用于主动投资组合管理时，基于频域信息的预测比使用预测因子的原始时间序列时产生更好的投资组合绩效。它产生了更高的信息比率（0.57比0.45），更高的CER收益（1.12%比0.81%），以及更低的最大下降（19.1%比19.6%）。
Keywords :None
[10] Time-Frequency Forecast of the Equity Premium
标题:股票溢价的时频预测
作者:Gonçalo Faria(Catholic University of Portugal (UCP) - School of Economics and Management and CEGE),Fabio Verona(Bank of Finland - Research)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3764711
Abstract : Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We evaluate a large set of models and find that, by selecting the relevant frequencies for equity premium forecasting, this method significantly improves in both statistical and economic sense upon standard time series forecasting methods. This improvement is robust regardless of the predictor used, the out-of-sample period considered, and the frequency of the data used.
Keywords : None
Abstract :任何时间序列都可以分解成不同频率上波动的周期分量。因此，本文提出了一种利用股票溢价与多个预测变量之间的频率关系来预测股票市场溢价的方法。我们评估了大量的模型，发现通过选择股票溢价预测的相关频率，这种方法在统计和经济意义上都比标准的时间序列预测方法有显著的改进。无论使用何种预测因子、考虑的样本外周期和使用数据的频率，这种改进都是稳健的。
Keywords :None
[11] How Cyclical Are Stock Market Return Expectations? Evidence from Capital Market Assumptions
标题:股市回报预期的周期性如何？资本市场假设的证据
作者:Magnus Dahlquist(Stockholm School of Economics; Swedish House of Finance),Markus Ibert(Board of Governors of the Federal Reserve System; Swedish House of Finance)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3763796
Abstract : We collect return expectations from the capital market assumptions of asset management firms that manage a combined USD 22.6 trillion in 2020. Consistent with rational expectations asset pricing models, asset managers' stock market return expectations are countercyclical and volatile: they are high when valuations are low and low when valuations are high. As U.S. equity valuations increased over the last decade, the ten-year expected U.S. equity premium declined from 4.6% per year at the beginning of the decade to 2.9% per year at the end of the decade and temporarily spiked by 2.0 percentage points during the COVID-19 induced market sell off in March 2020.
Keywords : Expectations formation, stock market expectations, asset management
Abstract :我们从资产管理公司的资本市场假设中收集收益预期，这些公司在2020年管理着22.6万亿美元的资产。与理性预期资产定价模型相一致，资产管理公司的股市回报预期是逆周期的、波动性的：估值低时回报预期高，估值高时回报预期低。随着美国股票估值在过去十年的增长，十年期预期美国股票溢价从十年期初的每年4.6%下降到十年期末的每年2.9%，并在2020年3月COVID-19引发的市场抛售期间暂时飙升了2.0个百分点。
Keywords :预期形成、股市预期、资产管理
[12] Once Upon a Time in AMERIBOR
标题:从前在美国
作者:Rupert Macey-Dare(University of Oxford - Saint Cross College; Middle Temple; Minerva Chambers)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3758803
Abstract : October 2020 brought news of a pioneering first public issue of long term corporate debt with floating interest based on the AMERIBOR index, from Signature Bank. This was closely followed in December 2020 with the announcement that global bank Citi would begin market-making in AMERIBOR-based interest rate swaps, and then of the first publicized AMERIBOR-based interest rate swap between EDandF Mann and First Merchant Bank. Together this early evidence suggests that, AMERIBOR-based rates may well be becoming attractive to many market participants as replacements for USD Libor, in USD bond and derivative transactions, and after Libor's imminent decommissioning, AMERIBOR might well take over as the floating rate index of choice for many market participants, rather than say risk free alternative SOFR.N.B. AMERIBOR is a proprietary average interest rate calculated by AFX, the American Financial Exchange, as "the transaction volume weighted average interest rate of the daily transactions in the AMERIBOR overnight unsecured loan market on the AFX" and which "reflects the actual borrowing costs of thousands of small, medium and regional banks across America." It is thus highly relevant to US bank and corporate funding costs and hedging, and touted and designed to be a potential successor to USD Libor for these parties. Products provided or intermediated by AFX to its members include overnight and 30-day (1 month) and 90-day (3 month) unsecured loans and an indicative 30-day AMERIBOR-based forward rate. The Chicago Board of Exchange CBOE which has hosted AFX since AFX's inception in 2015, also provides additional exchange traded futures for simple and compounding average AMERIBOR rates over periods including: 7-day, 14-day, 30-day and 90-day, for contract periods starting out to a year or more.The first AMERIBOR-based public bond issue which settled on 6 October 2020, was a $375m 10-year fixed-floating (after 5 years) callable, subordinated bond (Section 3(a)(2) Note) for Signature Bank, ISIN USB2669GGCK85. For the 1st 5 years, i.e. until October 2025, the bond pays a fixed rate of 4% p.a. semi-annually. The bond can then be called at par after the 1st 5 years. However, for as long as it is not called over the floating period from years 5 to 10, the bond will pay "three month AMERIBOR" plus 389 basis points. This will give Signature Bank the option to continue this borrowing at 3.89% p.a. above its "three month AMERIBOR" index out as far as 2030 if advantageous at the time e.g. in terms of the market premia then applicable for risk, term, subordination, and liquidity.This October 2020 bond closely mirrored the structure of Signature Bank's two earlier funding bond issues. In April 2016 Signature had issued a $260m 10 year fixed-floating (after 5 years) callable, subordinated bond, which pays 5.3% interest p.a. semi-annually for the 1st 5 years until April 2021, and then 3m USD Libor + 3.92% for as long as not called over the next 5 year period until 2026. Then in November 2019 Signature had issued a $200m 10 year fixed-floating (after 5 years) callable, subordinated bond, which pays 4.125% interest p.a. semi-annually for the 1st 5 years until November 2024, and then 3m USD Libor + 2.559% for as long as not called over the next 5 year period until 2029. However as identified in the Risk Factors section of Signature Bank's end 2019 Form 10-K, all its Libor related transactions are exposed to Libor termination risk, and this plus Signature Bank's founder membership of AFX, no doubt contributed to it switching from USD Libor to AMERIBOR-based floating funding in its last bond issue. Indeed this might also pave the way for Signature Bank's earlier bonds to be amended in due course also to reference AMERIBOR rather than Libor, or alternatively to be swapped for AMERIBOR-based alternatives, and similarly for other bond issuersAn interesting point is that there is not currently a "three month AMERIBOR" rate fixing corresponding say to the daily 3m USD Libor fixing. Hence the "three month AMERIBOR" rate used in Signature Bank's latest bond may be a synthetic rate e.g. derived from traded futures or determined ex post or say from a function of current AMERIBOR. Thus the correlation between "three month AMERIBOR" rate used and 3m Libor fixings, may prove to be lower than the claimed historic 98-99% correlation between AMERIBOR and O/N Libor, but presumably will still be very high.The pioneering first publicized AMERIBOR-based swap in December 2020 was a 1 year $24m fixed-floating interest rate swap between EDandF Man and First Merchants Bank, with netted monthly payments and a floating "one month AMERIBOR" index, which may also be a synthetic rate. The relatively tiny, non-standard principal amount of this swap, plus the short 1 year maturity, and netted payments, together all mark this out as most probably a tentative, safe, "test-the-waters" first transaction, hedging specific AMERIBOR-based assets and liabilities. However likely future developments, if there are no glitches, include a developing AMERIBOR based interest rate swap market with broadening liquidity and market making from Citi and other banks, and longer term AMERIBOR-based interest rates both being quoted directly, and also being covered as standard in ISDA type Definitions for other derivatives transactions and bonds. Thus we may have just witnessed a critical tipping point from USD Libor towards AMERIBOR, and the moment when AMERIBOR-based yield curves, bond and derivative transactions all "took off"..."once upon a time in AMERIBOR."
Keywords : Libor, AMERIBOR, Swaps, Futures, Derivatives, Index, Libor Transition
Abstract :2020年10月，Signature Bank首次公开发行了基于AMERIBOR指数的浮动利率长期公司债。紧随其后的是，花旗银行于2020年12月宣布，花旗全球银行将开始在基于AMERIBOR的利率掉期市场做市，然后是EDandF Mann和第一商业银行之间首次公开的基于AMERIBOR的利率掉期市场。这些早期证据表明，在美元债券和衍生品交易中，基于AMERIBOR的利率很可能对许多市场参与者具有吸引力，作为美元Libor的替代品，并且在Libor即将退役之后，AMERIBOR很可能会成为许多市场参与者选择的浮动利率指数，而不是假设无风险替代SOFR.N.B.AMERIBOR是由美国金融交易所AFX计算的专有平均利率，作为“AFX上AMERIBOR隔夜无担保贷款市场每日交易的交易量加权平均利率”，它“反映了全美数千家中小银行和地区银行的实际借款成本”，因此与美国银行和企业的融资成本和对冲高度相关，并吹捧和设计成为这些当事人的美元伦敦银行同业拆借利率的潜在继任者。AFX向其成员提供或中介的产品包括隔夜、30天（1个月）和90天（3个月）无担保贷款以及基于30天AMERIBOR的指示性远期利率。芝加哥交易所CBOE自2015年AFX成立以来，一直是AFX的东道主，它还提供额外的交易所交易期货，包括7天、14天、30天和90天的简单和复合平均AMERIBOR利率，合同期开始至一年或再来一杯。那杯第一次以AMERIBOR为基础的公共债券发行于2020年10月6日结算，是为签名银行ISIN USB2669GGCK85发行的3.75亿美元10年期固定浮动（5年后）可赎回次级债券（第3（a）（2）节注）。前5年，即至2025年10月，债券每半年支付4%的固定利率。债券可在前5年后按面值赎回。然而，只要在5年到10年的浮动期内没有赎回，债券将支付“三个月美国债券”加上389个基点。这将使签名银行有权选择继续以每年3.89%的利率在其“三个月美国银行”指数之上借款，直至2030年，如果当时有利的话，例如在适用于风险、期限、从属关系和流动性。这个2020年10月的债券与签名银行的两个早期债券结构非常相似为债券发行融资。2016年4月，Signature发行了价值2.6亿美元的10年期固定浮动（5年后）可赎回次级债券，在2021年4月之前的前5年，每半年支付5.3%的利息，然后在2026年之前的未来5年期间，支付300万美元伦敦银行同业拆借利率+3.92%的利息。然后在2019年11月，Signature发行了2亿美元的10年期固定浮动（5年后）可赎回次级债券，在2024年11月之前的前5年，每半年支付4.125%的利息，然后在2029年之前的未来5年期间，支付300万美元Libor+2.559%的利息。然而，正如签名银行2019年末10-K表的风险因素部分所述，其所有与伦敦银行同业拆借利率相关的交易都面临伦敦银行同业拆借利率终止风险，加上签名银行的AFX创办人成员身份，无疑促使其在上一次债券发行中从美元伦敦银行同业拆借利率转换为基于美国银行同业拆借利率的浮动融资。事实上，这也可能为签名银行早期的债券在适当时候进行修订铺平道路，也可以参考AMERIBOR而不是Libor，或者换成基于AMERIBOR的替代品，同样，对于其他债券发行人来说，有趣的一点是，目前还没有一个“三个月期美国银行”利率固定机制，也就是说，每天固定300万美元的伦敦银行同业拆借利率。因此，签名银行最新债券中使用的“三个月期美国银行”利率可能是一种合成利率，例如，从交易期货或事后确定的利率，或者说从当前美国银行的函数中得出的利率。因此，所使用的“三个月期AMERIBOR”利率与3m伦敦银行同业拆借利率之间的相关性可能被证明低于声称的AMERIBOR与O/N伦敦银行同业拆借利率之间98-99%的历史相关性，但想必还是会很紧张高。高首创于2020年12月首次公开的基于AMERIBOR的掉期是EDandF Man和第一招商银行之间的一年期2400万美元的固定浮动利率掉期，每月支付净额和浮动的“一个月AMERIBOR”指数，也可能是一种合成利率。本次掉期相对较小的非标准本金金额，加上1年的短期到期日和净额支付，所有这些都表明这很可能是一次试探性的、安全的“试水”首次交易，对冲特定的美国银行资产和负债。然而，如果没有问题，未来可能的发展包括发展中的基于AMERIBOR的利率互换市场，花旗和其他银行扩大流动性和做市，长期基于AMERIBOR的利率都直接报价，并作为ISDA类型定义中其他衍生品交易和债券的标准。因此，我们可能刚刚目睹了从美元Libor到AMERIBOR的一个关键转折点，以及基于AMERIBOR的收益率曲线、债券和衍生品交易都“起飞”的那一刻……“曾经在AMERIBOR。”
Keywords :伦敦银行同业拆借利率、美国银行同业拆借利率、掉期、期货、衍生品、指数、伦敦银行同业拆借利率转换
[13] Expectation Dispersion, Uncertainty, and the Reaction to News
标题:期望离散、不确定性与新闻反应
作者:Benjamin Born(Frankfurt School of Finance & Management gemeinnützige GmbH),Jonas Dovern(Friedrich-Alexander-Universität Erlangen-Nürnberg),Zeno Enders(University of Heidelberg)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3765299
Abstract : Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the preceding dispersion in expectations about the indicator value. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model, dispersion results from a perceived weak link between macroeconomic indicators and fundamentals that reduces the informational content of indicators, while higher fundamental uncertainty makes this informational content more valuable.
Keywords : None
Abstract :金融市场密切关注关键宏观经济指标的发布。我们研究了预期分散和经济不确定性对股市对指标释放的反应的作用。我们发现，金融市场对新闻的反应强度随着对指标值预期的分散而减弱。相反，不确定性增加了反应。我们在不完全信息的模型中使我们的发现合理化。在该模型中，分散性是由于宏观经济指标与基本面之间存在薄弱联系，从而降低了指标的信息含量，而更高的基本面不确定性使这些信息含量更有价值。
Keywords :None
[14] Attention, Lottery, or Salience? The Impact of Extreme Payoffs on Chinese Mutual Fund Flows
标题:注意、抽奖还是显赫？极端收益对中国共同基金流动的影响
作者:Shiyang Hu(Chongqing University - School of Economics and Business Admininstration),Cheng Xiang(Chongqing University - School of Economics and Business Admininstration),Xiaofeng Quan(Soochow University)
链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3726918
Abstract : Using a sample of Chinese mutual funds from 2004 to 2019, we find that investors direct flows into (out of) funds with salient upsides (downsides), controlling for a set of known determinants of fund flows. This effect is robust to alternative measures of key variables and is more pronounced for funds with larger individual ownership. This effect is not explained by individuals’ attention-driven purchases of attention-grabbing funds, funds’ lottery-like features, or the characteristics of funds’ underlying stocks. The salience theory, which argues that extreme payoffs distort individuals’ decision weights on risky asset choices only if these payoffs stand out relative to available alternatives and thus are salient, offers a plausible explanation for this effect.
Keywords : Salience theory; Limited attention; Lottery preferences; MAX effect; Mutual fund flows
Abstract :利用2004年至2019年的中国共同基金样本，我们发现投资者直接流入（流出）具有显著上升（下降）的基金，控制了一系列已知的资金流动决定因素。这一效应对关键变量的替代性度量具有较强的稳健性，对于个人持股规模较大的基金更为明显。这种效应并不是由个人的注意力驱动购买吸引注意力的基金、基金的彩票特征或基金标的股票的特征来解释的。显著性理论认为，只有当这些收益相对于可用的替代方案突出，因而显著时，极端收益才会扭曲个人对风险资产选择的决策权重，为这种效应提供了一个合理的解释。
Keywords :显著性理论；有限注意；彩票偏好；最大效应；共同资金流
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