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Fundamental Arbitrage under the Microscope : Evidence from Detailed Hedge Fund Transaction Data

Von Beschwitz, Bastian; Lunghi, Sandro; Schmidt, Daniel - 2021

We exploit detailed transaction and position data for a sample of long-short equity hedge funds to study the trading activity of fundamental investors. We find that hedge funds exhibit skill in opening positions, but that they close their positions too early, thereby forgoing about a third of...

Persistent link: https://www.econbiz.de/10013231945

A unified framework for dimension reduction in forecasting

Barbarino, Alessandro; Bura, Efstathia - 2017

series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and … forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive … of widely used macroeconomic series data with one or two sufficient reductions delivering similar forecasting performance …

Persistent link: https://www.econbiz.de/10011708094

Jumps in Bond Yields at Known Times

Kim, Don H. - 2016

We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogeneous affine function of the state...

Persistent link: https://www.econbiz.de/10013005585

International Yield Spillovers

Kim, Don H.; Ochoa, Marcelo - 2021

This paper investigates spillovers from foreign economies to the U.S. through changes in longterm Treasury yields. We document a decline in the contribution of U.S. domestic news to the variance of long-term Treasury yields and an increased importance of overnight yield changes—a rough proxy...

Persistent link: https://www.econbiz.de/10013221373

A Model of Endogenous Debt Maturity with Heterogeneous Beliefs

Darst, Matthew; Refayet, Ehraz - 2020

This paper studies optimal debt maturity in an economy with repayment enforcement frictions and investors disagree about repayment probabilities. The optimal debt maturity choice is a mix of long- and short-term debt securities. Spreading risky debt claims on cash flows over time allows debt to...

Persistent link: https://www.econbiz.de/10014121170

Information in Financial Markets : Who Gets it First?

Swem, Nathan - 2017

I compare the timing of information acquisition among institutional investors and sell-side analysts, and I show that hedge fund trades predict the direction of subsequent analyst ratings change reports while other investors' trades do not. In addition, hedge funds reverse trades after analyst...

Persistent link: https://www.econbiz.de/10014122285

Habit Formation Heterogeneity : Implications for Aggregate Asset Pricing

Grishchenko, Olesya V. - 2012

We study the asset pricing implications of a general equilibrium Lucas endowment economy inhabited by two agents with habit formation preferences. Preferences are modeled either as internal or external habits. We allow for agents' heterogeneity in relative risk aversion and habit strength. We...

Persistent link: https://www.econbiz.de/10013108737

Flights to Safety

Baele, Lieven - 2014

Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...

Persistent link: https://www.econbiz.de/10013051878

A Robust Capital Asset Pricing Model

Ruffino, Doriana - 2014

We build a market equilibrium theory of asset prices under Knightian uncertainty. Adopting the mean-variance decisionmaking model of Maccheroni, Marinacci, and Ruffino (2013a), we derive explicit demands for assets and formulate a robust version of the two-fund separation theorem. Upon market...

Persistent link: https://www.econbiz.de/10013061194

Investment commonality across insurance companies : fire sale risk and corporate yield spreads

Nanda, Vikram; Wu, Wei; Zhou, Xing - 2017

Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...

Persistent link: https://www.econbiz.de/10011710064