Asia Pacific Equity Research18 January 2011
2010 Academic ReferenceJ.P. Morgan Quant: Collated abstracts of
finance papers published in 2010 To help with the job of keeping
track of the latest financial research output from academia we
typically compile quarterly collations of the abstracts of academic
papers In this reference document we include papers published in Q4
and for completeness also include all papers published in Q1, Q2
and Q3 to create a full 2010 summary report. Specifically we have
collated the abstracts from nine popular financial journals. The
journals from which articles have been collated are listed below: o
o o o o o o o o Journal of Financial and Quantitative Analysis
Journal of Financial Research Journal of Portfolio Management
Journal of Alternative Investments Journal of Financial Economics
The Financial Review Journal of Econometrics Journal of Finance
Journal of Behavioral FinanceGlobalo Quantitative Strategy Steve
MalinAC
(852) 2800 8568 [email protected] J.P. Morgan
Securities (Asia Pacific) Limited
Marco Dion
AC
(44-20) 7325-8647 [email protected] J.P. Morgan
Securities Ltd.
Robert Smith(852) 2800 8569 [email protected] J.P.
Morgan Securities (Asia Pacific) Limited
Satoshi Okamoto(81-3) 6736-8647 [email protected]
JPMorgan Securities Japan Co., Ltd.
Berowne Hlavaty(61-2) 9220-1591 [email protected]
J.P. Morgan Securities Australia Limited
Dubravko Lakos-Bujas(1-212) 622-3601
[email protected] J.P. Morgan Securities LLC
Viquar Shaikh(91-22) 6157 3325 [email protected] J.P.
Morgan India Private Limited
Please contact the journal directly if you are interested in
specific articles.
Latha Nair(91-22) 6157-3285 [email protected] J.P.
Morgan India Private Limited
Arfi Khan(91-22) 6157-3266 [email protected] J.P. Morgan
India Private Limited
See page 199 for analyst certification and important
disclosures, including non-US analyst disclosures.J.P. Morgan does
and seeks to do business with companies covered in its research
reports. As a result, investors should be aware that the firm may
have a conflict of interest that could affect the objectivity of
this report. Investors should consider this report as only a single
factor in making their investment decision.
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
Table of ContentsSummary
...............................................................................................................................13
Journal of Financial and Quantitative Analysis
.................................................................14
Feb (2010)
..............................................................................................................................15Is
There Shareholder Expropriation in the United States? An Analysis
of Publicly Traded Subsidiaries ...............................15
Clientele Change, Liquidity Shock, and the Return on Financially
Distressed
Stocks............................................................15
Predicting Global Stock Returns
...................................................................................................................................15
The Signaling Hypothesis Revisited: Evidence from Foreign IPOs
........................................................................................16
How Does Liquidity Affect Government Bond
Yields?..........................................................................................................16
Investor Protection, Equity Returns, and Financial
Globalization...........................................................................................16
An Epidemic Model of Investor
Behavior...............................................................................................................................17
Predicting Hedge Fund Failure: A Comparison of Risk Measures
..........................................................................................17
Fund Flow Volatility and Performance
...................................................................................................................................17
Pharmaceutical R&D Spending and Threats of Price
Regulation............................................................................................18
Apr (2010)
..............................................................................................................................19Corporate
Governance and Liquidity
...................................................................................................................................19
Factoring Information into Returns
...................................................................................................................................19
Portfolio Optimization with Mental
Accounts.........................................................................................................................19
Deviations from Put-Call Parity and Stock Return
Predictability............................................................................................20
Dynamic General Equilibrium and T-Period Fund Separation
................................................................................................20
Informational Efficiency and Liquidity Premium as the Determinants
of Capital Structure
...................................................21 How Syndicate
Short Sales Affect the Informational Efficiency of IPO Prices and
Underpricing .........................................21 The Impact
of the Euro on Equity
Markets..............................................................................................................................22
Forecasting Volatility Using Long Memory and Comovements
.............................................................................................22
Exploitable Predictable Irrationality: The FIFA World Cup Effect on
the U.S. Stock Market
...............................................22
June (2010)
............................................................................................................................24The
Response of Corporate Financing and Investment to Changes in the
Supply of Credit
...................................................24 Financing
Frictions and the Substitution between Internal and External Funds
......................................................................24
Disagreement, Portfolio Optimization, and Excess Volatility
.................................................................................................25
What Does the Individual Option Volatility Smirk Tell Us About
Future Equity
Returns?....................................................25 A
Reexamination of the Causes of Time-Varying Stock Return
Volatilities
..........................................................................25
The Role of State and Mutual Fund Ownership in the Split Share
Structure in China
............................................................26
Dynamic Factors and Asset Pricing
...................................................................................................................................26
Market Feedback and Equity Issuance: Evidence from Repeat Equity
Issues.........................................................................27
A Longer Look at the Asymmetric Dependence between Hedge Funds and
the Equity Market.............................................27
Prospect Theory and the Disposition Effect
............................................................................................................................28
August (2010)
........................................................................................................................29Estimating
the Equity Premium
...................................................................................................................................29
Rational Cross-Sectional Differences in Market Efficiency: Evidence
from Mutual Fund Returns........................................29
Idiosyncratic Risk, Long-Term Reversal, and
Momentum......................................................................................................30
Arbitrage Risk and Stock Mispricing
...................................................................................................................................30
Behavioral Explanations of Stock Price Performance - Decomposition
of Market-to-Book Ratios........................................30
Incorporating Economic Objectives into Bayesian Priors: Portfolio
Choice under Parameter Uncertainty
............................31
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Asia Pacific Equity Research 18 January 2011
Cross-Sectional Return Dispersion and Time Variation in Value
and Momentum Premiums
................................................31 Multiple Risky
Assets-Allocation Rules and Implications for U.S. Investors
.........................................................................32
Longer-Term Time-Series Volatility Forecasts
.......................................................................................................................32
Stock Returns and the Volatility of Liquidity
..........................................................................................................................32
Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades
Prior to Earnings Announcements ..........................34
Seasonality in the Cross Section of Stock Returns: The
International Evidence
.....................................................................34
Debt Capacity and Tests of Capital Structure Theories
...........................................................................................................34
Transparency, Price Informativeness, and Stock Return
Synchronicity: Theory and Evidence
..............................................35 Information,
Expected Utility, and Portfolio Choice
...............................................................................................................35
What Drove the Increase in Idiosyncratic Volatility during the
Internet
Boom?.....................................................................36
The Term Structure of Variance Swap Rates and Optimal Variance Swap
Investments.........................................................36
Level-Dependent Annuities: Defaults of Multiple
Degrees.....................................................................................................36
Affine Models of the Joint Dynamics of Exchange Rates and Interest
Rates..........................................................................37
Journal of Financial Research
.............................................................................................39
Spring (2010)
.........................................................................................................................40The
Economic Gains Of Trading Stocks Around
Holidays.....................................................................................................40
Dynamic Order Submission And Herding Behavior In Electronic Trading
............................................................................40
Switching To A Temporary Call Auction In Times Of High
Uncertainty...............................................................................40
Risk Premium Effects on Implied Volatility Regressions
.......................................................................................................41
Summer (2010)
......................................................................................................................42Expected
Volatility, Unexpected Volatility, And The Cross-Section Of Stock
Returns .........................................................42
Risk Premium Effects On Implied Volatility
Regressions.......................................................................................................42
Trading-Volume Shocks And Stock Returns: An Empirical Analysis
....................................................................................42
On The Robustness Of Range-Based Volatility
Estimators.....................................................................................................43
Fall (2010)
..............................................................................................................................44Dynamic
Hedge Fund Style Analysis With Errors-In-Variables
.............................................................................................44
Regular(Ized) Hedge Fund Clones
...................................................................................................................................44
Mutual Funds Selection Based On Funds Characteristics
.......................................................................................................44
Debt Forgiveness And Stock Price Reaction Of Lending
Banks.............................................................................................45
State Dependency Of Bank Stock Reaction To Federal Funds Rate
Target Changes
.............................................................45
Winter (2010)
.........................................................................................................................46Corporate
Hedging And Shareholder Value
............................................................................................................................46
Risk And Hedging Behavior: The Role And Determinants Of Latent
Heterogeneity
.............................................................46 The
Daylight Saving Time Anomaly In Stock Returns: Fact Or Fiction?
...............................................................................46
Daylight And Investor Sentiment
...................................................................................................................................47
Short Selling And Mispricings When Fundamentals Are Known
...........................................................................................47
Determinants Of Capital Structure In Business Start-Ups
.......................................................................................................47
Sustainable Growth And Stock
Returns...................................................................................................................................48
Journal of Portfolio Management
........................................................................................50
Winter (2010)
.........................................................................................................................51Portfolio
of Risk Premia: A New Approach to Diversification
...............................................................................................51
Horizon Diversification: Reducing Risk in a Portfolio of Active
Strategies
...........................................................................51
Efficient Replication of Factor Returns: Theory and
Applications..........................................................................................52
Know Your VMS Exposure
...................................................................................................................................523
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
Maybe It Really Is Different This
Time...................................................................................................................................53
Optimizing Carry Pickup in Real Money
Portfolios................................................................................................................53
Finding Fair Value in Global Equities: Part
I..........................................................................................................................53
Regimes: Nonparametric Identification and
Forecasting.........................................................................................................54
The Ps of Pricing and Risk Management,
Revisited................................................................................................................54
Correlation and Volatility Dynamics in REIT Returns: Performance
and Portfolio
Considerations.......................................54 Illiquidity
and Portfolio Risk of Thinly Traded
Assets............................................................................................................55
Spring (2010)
.........................................................................................................................55Crisis
and Innovation
...................................................................................................................................55
Risk Management Lessons Worth Remembering from the Credit Crisis of
20072009.........................................................55
Accentuated Intraday Stock Price Volatility: What is the Cause?
...........................................................................................56
Finding Fair Value in Global Equities: Part IIForecasting Returns
.....................................................................................56
Stocks of Admired and Spurned Companies
...........................................................................................................................57
A Valuation Study of Stock Market Seasonality and the Size Effect
......................................................................................57
Do Seasonal Anomalies Still Work?
...................................................................................................................................57
Volatility Exposure for Strategic Asset
Allocation..................................................................................................................58
Valuation-Indifferent Weighting for
Bonds.............................................................................................................................58
A Bond-Picking Model for Corporate Bond Allocation
..........................................................................................................59
Summer (2010)
......................................................................................................................60Active
Portfolio Management and Positive Alphas: Fact or
Fantasy?....................................................................................60
Signal Weighting
...................................................................................................................................60
Thinking about Indices and Passive versus Active
Management.........................................................................................61
Constraint Attribution
...................................................................................................................................61
The Properties of Equally Weighted Risk Contribution
Portfolios..........................................................................................62
Rewarding Fundamentals
...................................................................................................................................62
Portfolios Weighted by Repurchase and Total Payout
............................................................................................................62
Reflections on Buy-Side Risk Management after (or Between) the
Storms
............................................................................63
The Problems and Challenges of High-Yield Bond Benchmarking
........................................................................................63
Market-Based Default Rate Forecasting
..................................................................................................................................64
Warren Buffett, BlackScholes, and the Valuation of Long-Dated
Options
...........................................................................64
Educational Endowments in Crises
...................................................................................................................................65
A Style-Based Market Risk Model for Hedge Fund Portfolios
...............................................................................................65
Fall (2010)
..............................................................................................................................66On
the Persistence of Style Returns
...................................................................................................................................66
Finding Better Securities while Holding Portfolios: Is Stochastic
Dominance the
Answer?...................................................66
Designing the New Policy Portfolio: A Smart, but Humble Approach
...................................................................................67
A Scenarios Approach to Asset
Allocation..............................................................................................................................67
Measuring Global Systemic Risk: What Are Markets Saying about Risk?
.............................................................................68
Offensive Risk Management II: The Case for Active Tail
Hedging........................................................................................68
On the Consistent Use of VaR in Portfolio Performance Evaluation: A
Cautionary Note
......................................................68 Is
Patience a Virtue? The Unsentimental Case for the Long View in
Evaluating Returns
......................................................69 The
Empirical Law of Active Management: Perspectives on the Declining
Skill of U.S. Fund Managers.............................69 The
Sustainability of Endowment Spending Levels:A Wake-up Call for
University Endowments
........................................70
4
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Asia Pacific Equity Research 18 January 2011
Journal of Alternative Investments
.....................................................................................72
Spring (2010)
.........................................................................................................................73Madoff:
A Returns-Based Analysis
...................................................................................................................................73
Hedge Fund Transparency: Where Do We
Stand?...................................................................................................................73
Stock Market and Agricultural Futures Diversification: An
International Perspective
...........................................................74 Exit
Strategies of Buyout Investments: An Empirical Analysis
..............................................................................................74
Can CDO Equity Be Short on Correlation?
.............................................................................................................................75
Dual Offerings of ETFs on the Same Stock Index: U.S. vs.
....................................................................................................75
Summer (2010)
......................................................................................................................76The
Long-Horizon Benefits of Traditional and New Real Assets in the
Institutional Portfolio
..............................................76 The Role of the
Constant Recovery Assumption in the Sub prime Bubble
.............................................................................76
Modeling the Cash Flow Dynamics of Private Equity Funds: Theory and
Empirical Evidence .............................................76
Alternative Asset Pricing: Momentum and the Hedge Fund
Puzzle........................................................................................77
An Early Look at the Deutsche Bank Alternative Investment Survey,
20022009
.................................................................77
Sources of Return within an Emerging Markets Fixed-Income and
Foreign Exchange
Portfolio...........................................77 Ethics: A
Guiding Tenet of the CAIA Association Garners Broad Support within
Academic Community............................78
Fall (2010)
..............................................................................................................................79Insurance-Linked
Securities: What Drives Their
Returns?......................................................................................................79
On Understanding Bear Market Funds
...................................................................................................................................79
Portfolios of ETFs: Applications to Absolute Return Funds and
Tactical Asset Allocation
...................................................79 Optimal
Portfolios with Traditional and Alternative Investments: An
Empirical
Investigation..............................................80 Does
a Contagion Effect Exist Between Equity Markets and Hedge Funds in
Periods of Extreme Stress?............................80 Emerging
Markets During the Crisis
...................................................................................................................................80
Winter (2011)
.........................................................................................................................81The
StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation
.......................................................................81
Portfolio Choice for Oil-Based Sovereign Wealth
Funds........................................................................................................81
Limited Liability Leverage : A New Measure of Leverage
.....................................................................................................81
Protection Potential of Commodity Hedge Funds
...................................................................................................................82
Spillover Effects of Counter-Cyclical Market Regulation: Evidence
from the 2008 Ban on Short Sales ...............................82
The Iconic Boom in Modern Russian
Art................................................................................................................................82
Asset Class and Strategy Investment Tracking Based Approaches
.........................................................................................83
Journal of Financial Economics
..........................................................................................85
Spring (2010)
.........................................................................................................................86O/S:
The relative trading activity in options and
stock............................................................................................................86
Performance persistence in
entrepreneurship...........................................................................................................................86
Quantifying private benefits of control from a structural model of
block trades
.....................................................................86
A resolution of the distress risk and leverage puzzles in the cross
section of stock returns
....................................................87 The good
news in short interest
...................................................................................................................................87
Institutional investors, intangible information, and the
book-to-market
effect........................................................................87
The effect of state anti takeover laws on the firm's bondholders
.............................................................................................88
How does law affect finance? An examination of equity tunneling in
Bulgaria......................................................................88
Seasoned equity offerings, market timing, and the corporate
lifecycle
...................................................................................88
Bailouts, the incentive to manage risk, and financial
crises.....................................................................................................89
Does corporate governance matter in competitive
industries?.................................................................................................895
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
The pecking order, debt capacity, and information asymmetry
...............................................................................................90
Institutional monitoring through shareholder litigation
...........................................................................................................90
Renegotiation of cash flow rights in the sale of VC-backed firms
..........................................................................................90
When should firms share credit with
employees?....................................................................................................................91
Ownership concentration, foreign shareholding, audit quality, and
stock price synchronicity: Evidence from China............91 Escape
from New York: The market impact of loosening disclosure
requirements
................................................................91
Resolving the exposure puzzle: The many facets of exchange rate
exposure..........................................................................92
Sentiment and stock prices: The case of aviation
disasters......................................................................................................92
Political rights and the cost of debt
...................................................................................................................................92
Reduced-form valuation of callable corporate bonds: Theory and
evidence
...........................................................................93
Capital structure decisions: Evidence from deregulated
industries..........................................................................................93
Activist arbitrage: A study of open-ending attempts of closed-end
funds
...............................................................................93
First-passage probability, jump models, and intra-horizon
risk...............................................................................................94
Are family firms more tax aggressive than non-family firms?
................................................................................................94
Asset liquidity and financial contracts: Evidence from aircraft
leases
....................................................................................94
Informed trading before analyst downgrades: Evidence from short
sellers
.............................................................................95
Market liquidity, asset prices, and welfare
..............................................................................................................................95
Summer (2010)
......................................................................................................................96A
skeptical appraisal of asset pricing
tests...............................................................................................................................96
When are outside directors effective?
...................................................................................................................................96
Liquidity biases in asset pricing tests
...................................................................................................................................96
The performance of emerging hedge funds and managers
......................................................................................................97
Inside the black box: The role and composition of compensation peer
groups
.......................................................................97
Detecting jumps from Lvy jump diffusion processes
............................................................................................................97
The Sarbanes-Oxley act and corporate investment: A structural
assessment
..........................................................................98
The role of private equity group reputation in LBO financing
................................................................................................98
Limited participation and consumption-saving puzzles: A simple
explanation and the role of insurance
..............................98 Going public to acquire? The
acquisition motive in IPOs
.......................................................................................................99
Average correlation and stock market returns
.........................................................................................................................99
Risk and CEO turnover
...................................................................................................................................99
Profiting from government stakes in a command economy: Evidence
from Chinese asset sales
..........................................100 Trade credit,
collateral liquidation, and borrowing constraints
.............................................................................................100
Dynamic asset allocation with stochastic income and interest rates
......................................................................................100
Uncertainty about average profitability and the diversification
discount
..............................................................................101
Creditor rights, information sharing, and bank risk taking
....................................................................................................101
CFOs and CEOs: Who have the most influence on earnings
management?..........................................................................101
Liquidity and valuation in an uncertain world
.......................................................................................................................102
Why do firms appoint CEOs as outside directors?
................................................................................................................102
The marketing of seasoned equity offerings
..........................................................................................................................102
Multi-market trading and arbitrage
.................................................................................................................................103
Local institutional investors, information asymmetries, and equity
returns
..........................................................................103
Co-movement, information production, and the business cycle
............................................................................................103
Returns of claims on the upside and the viability of U-shaped
pricing kernels
.....................................................................104
Preferred risk habitat of individual investors
.........................................................................................................................104
Board interlocks and the propensity to be targeted in private
equity transactions
.................................................................104
The world price of home bias
.................................................................................................................................105
6
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
Optimal compensation contracts when managers can hedge
.................................................................................................105
Payoff complementarities and financial fragility: Evidence from
mutual fund outflows
......................................................105 CEOs
versus CFOs: Incentives and corporate
policies..........................................................................................................106
Evaluating asset pricing models using the second Hansen-Jagannathan
distance
.................................................................106
Unstable banking
.................................................................................................................................106
Bank lending during the financial crisis of 2008
...................................................................................................................107
Paulson's gift
.................................................................................................................................107
Securitization and distressed loan renegotiation: Evidence from the
subprime mortgage crisis
...........................................107 Will the U.S. bank
recapitalization succeed? Eight lessons from Japan
................................................................................108
Costly external finance, corporate investment, and the subprime
mortgage credit crisis
......................................................108 The
subprime credit crisis and contagion in financial markets
..............................................................................................108
Auction failures and the market for auction rate
securities....................................................................................................109
The real effects of financial constraints: Evidence from a
financial
crisis.............................................................................109
The Financial
Review..........................................................................................................111
Spring (2010)
.......................................................................................................................112CEO
Pay-For-Performance Heterogeneity Using Quantile
Regression.................................................................................112
Signaling, Free Cash Flow and "Nonmonotonic"
Dividends.................................................................................................112
Dividends versus Share Repurchases Evidence from Canada: 19852003
...........................................................................112
The Ex-dividend Day: Action On and Off the Danish Exchange
..........................................................................................113
Debt Issuance in the Face of Tax Loss Carryforwards
..........................................................................................................113
Investors' Use of Historical Forecast Bias to Adjust Current
Expectations
...........................................................................113
Changes in the Information Efficiency of Stock Prices: Additional
Evidence
......................................................................114
Predictability in Consumption Growth and Equity Returns: A Bayesian
Investigation
........................................................114 A Note
on Affordability and the Optimal Share Price
...........................................................................................................114
Summer (2010)
....................................................................................................................115Is
Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and
Gold.........................................................................115
50+ Years of Diversification
Announcements.......................................................................................................................115
Terrorism and Stock Market Sentiment
.................................................................................................................................115
On Model Testing in Financial
Economics............................................................................................................................116
Investment Irreversibility, Cash Flow Risk, and Value-Growth Stock
Return
Effects..........................................................116
Does Inclusion in a Smaller S&P Index Create Value?
.........................................................................................................116
The Efficacy of Regulation Fair Disclosure
..........................................................................................................................116
Yes, The Value Line Enigma Is Still Alive: Evidence from Online
Timeliness Rank
Changes............................................117 Stock Splits
and Bond Yields: Isolating the Signaling
Hypothesis........................................................................................117
Does the Quality of Financial Advice Affect Prices?
............................................................................................................117
The Moving Average Ratio and Momentum
.........................................................................................................................118
Arbitrage and the Evaluation of Linear Factor Models in UK Stock
Returns
.......................................................................118
Short-Horizon Return Predictability in International Equity Markets
...................................................................................118
Asset Pricing and Welfare Analysis with Bounded Rational Investors
.................................................................................119
Fall (2010)
............................................................................................................................120Anonymity,
Stealth Trading and the Information Content of Broker
Identity.......................................................................120
Evidence from Decimalization on the NYSE
........................................................................................................................120
Risk Changes around Calls of Convertible
Bonds.................................................................................................................120
Syndication in Venture Capital Financing
.............................................................................................................................121
Bond Market Access, Credit Quality, and Capital Structure: Canadian
Evidence
................................................................1217
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
Debt Maturity, Credit Risk, and Information Asymmetry: The case
of Municipal Bonds
....................................................121 Industry
Structure and Corporate Debt Maturity
...................................................................................................................122
Earnings Management Surrounding New Debt
Issues...........................................................................................................122
Information Transfer Effects of Bond Rating Downgrades
...................................................................................................122
Treasury bond Volatility and Uncertainty about Monetary Policy
........................................................................................122
SEO Cycles
.................................................................................................................................123
Partial Price Adjustments and Equity Carve-Outs
.................................................................................................................123
Price Movers on the Stock Exchange of Thailand: Evidence from a
Fully Automated Order-Driven Market......................123 Prior
Payment Status and the Likelihood to Pay Dividends: International
Evidence
............................................................124
Corporate Hedging Policy and Equity
Mispricing.................................................................................................................124
Restructuring Using Operating Asset Exchanges: Issues and Evidence
................................................................................124
What are the capital structure determinants for tax-exempt
organizations?
..........................................................................125
Political Risk and Purchases of Privatized State Owned Enterprises
....................................................................................125
Journal of
Econometrics....................................................................................................127
Spring (2010)
.......................................................................................................................128A
new instrumental method for dealing with endogenous
selection......................................................................................128
A comparison of meanvariance efficiency
tests...................................................................................................................128
A constrained maximum likelihood approach to estimating switching
regressions
..............................................................128
Short and long run causality measures: Theory and
inference...............................................................................................129
Adaptive estimation of the dynamics of a discrete time stochastic
volatility model
.............................................................129
Testing semiparametric conditional moment restrictions using
conditional martingale transforms
......................................130 Stochastic model
specification search for Gaussian and partial non-Gaussian state
space models .......................................130 The Hausman
test and weak
instruments...............................................................................................................................130
On the distribution of the sample autocorrelation coefficients
..............................................................................................131
Testing for heteroskedasticity and serial correlation in a random
effects panel data
model..................................................131 Activity
signature functions for high-frequency data
analysis...............................................................................................131
A comparison of two model averaging techniques with an application
to growth
empirics..................................................132
Estimating a class of triangular simultaneous equations models
without exclusion restrictions
...........................................132 Estimation of
spatial autoregressive panel data models with fixed effects
............................................................................132
An improved bootstrap test of stochastic dominance
............................................................................................................133
Summer (2010)
....................................................................................................................134Testing
for unobserved heterogeneity in exponential and Weibull duration
models
.............................................................134
Structural measurement errors in non separable
models........................................................................................................134
Non-negativity conditions for the hyperbolic GARCH model
..............................................................................................134
Semi parametric estimation of a simultaneous game with incomplete
information...............................................................135
Nonparametric least squares estimation in derivative families
..............................................................................................135
Robust penalized quantile regression estimation for panel
data?...........................................................................................136
Bayesian non-parametric signal extraction for Gaussian time
series.....................................................................................136
A spatio-temporal model of house prices in the US
..............................................................................................................136
Fall (2010)
............................................................................................................................138Some
thoughts on the development of co integration
............................................................................................................138
Testing for co-integration in vector auto regressions with
non-stationary volatility
.............................................................138
Forecasting with equilibrium-correction models during structural
breaks.............................................................................138
Model-based asymptotic inference on the effect of infrequent large
shocks on co-integrated variables...............................139
Likelihood inference for a nonstationary fractional autoregressive
model
............................................................................1398
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
Likelihood based testing for no fractional cointegration
.......................................................................................................139
Likelihood-based inference for cointegration with nonlinear
error-correction
......................................................................140
Modelling and measuring price discovery in commodity markets
........................................................................................140
Co integration, long-run structural modelling and weak exogeneity:
Two models of the UK economy...............................141 An
analysis of the persistent long swings in the Dmk/$ rate
.................................................................................................141
Speed of adjustment in cointegrated systems
........................................................................................................................141
Averaging estimators for auto regressions with a near unit
root............................................................................................142
Co integration in a historical
perspective...............................................................................................................................142
A spatio-temporal model of house prices in the
USA............................................................................................................142
On the asymptotic optimality of the LIML estimator with possibly
many
instruments.........................................................143
Econometric modeling of technical change
...........................................................................................................................143
Jumps and betas: A new framework for disentangling and estimating
systematic
risks........................................................143
Robust confidence sets in the presence of weak
instruments.................................................................................................144
On Bahadur efficiency of empirical
likelihood......................................................................................................................144
Nonparametric estimation for a class of Lvy processes
.......................................................................................................144
Efficient estimation in dynamic conditional quantile models
................................................................................................145
Estimating fixed-effect panel stochastic frontier models by model
transformation...............................................................145
A generalized asymmetric Student-t distribution with application to
financial
econometrics...............................................145
Bayesian semi parametric stochastic volatility modeling
......................................................................................................146
Inference on parameter ratios with application to discrete choice
models.............................................................................146
Estimating first-price auctions with an unknown number of bidders
....................................................................................147
Robust methods for detecting multiple level breaks in
autocorrelated time series
................................................................147
The LIML estimator has finite moments!
..............................................................................................................................147
Nonparametric least squares estimation in derivative families
..............................................................................................148
Estimating panel data models in the presence of endogeneity and
selection
.........................................................................148
Bayesian non-parametric signal extraction for Gaussian time
series.....................................................................................148
Robust penalized quantile regression estimation for panel data
............................................................................................149
Semi parametric estimation of a simultaneous game with incomplete
information...............................................................149
Structural measurement errors in non separable
models........................................................................................................150
Non-negativity conditions for the hyperbolic GARCH model
..............................................................................................150
Testing for unobserved heterogeneity in exponential and Weibull
duration models
.............................................................150
Intelligible factors for the yield curve
.................................................................................................................................151
Semi parametric inference in multivariate fractionally co
integrated
systems.......................................................................151
Winter (2010)
.......................................................................................................................152Testing
the correlated random coefficient
model...................................................................................................................152
Model selection versus statistical model specification
..........................................................................................................152
The Bierens test for certain nonstationary
models.................................................................................................................152
A low-dimension portmanteau test for non-linearity
.............................................................................................................153
Regression models with mixed sampling frequencies
...........................................................................................................153
Some identification problems in the cointegrated vector
autoregressive
model....................................................................153
Smoothing local-to-moderate unit root
theory.......................................................................................................................154
Bootstrapping I (1) data
.................................................................................................................................154
Applications of sub sampling, hybrid, and size-correction methods
.....................................................................................154
Understanding aggregate crime regressions
..........................................................................................................................155
The (mis)specification of discrete duration models with unobserved
heterogeneity
.............................................................155 A
dynamic patent intensity model with secret common innovation
factors
..........................................................................155
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A direct Monte Carlo approach for Bayesian analysis of the
seemingly unrelated regression model
...................................156 A consistent nonparametric
test of affiliation in auction
models...........................................................................................156
Efficient estimation of a multivariate multiplicative volatility
model
...................................................................................156
Realised quantile-based estimation of the integrated variance
..............................................................................................157
GMM estimation of social interaction models with
centrality...............................................................................................157
Pre-averaging estimators of the ex-post covariance matrix in noisy
diffusion models with non-synchronous data..............157 A
flexible approach to parametric inference in nonlinear and time
varying time series models
...........................................158 Inconsistency of the
MLE and inference based on weighted LS for LARCH
models...........................................................158
No-arbitrage macroeconomic determinants of the yield curve
..............................................................................................159
Wavelet analysis of change-points in a non-parametric regression
with heteroscedastic
variance........................................159 The effects of
dynamic feedbacks on LS and MM estimator accuracy in panel data
models: Some additional results ........159 Specification tests of
parametric dynamic conditional quantiles
...........................................................................................160
Root-N-consistent estimation of fixed-effect panel data
transformation models with censoring
..........................................160 Quasi-maximum
likelihood estimation of volatility with high frequency
data......................................................................161
Characterization of the asymptotic distribution of semiparametric
M-estimators
.................................................................161
Semiparametric bounds on treatment effects
.........................................................................................................................161
Threshold bipower variation and the impact of jumps on volatility
forecasting....................................................................162
Dominating estimators for minimum-variance
portfolios......................................................................................................162
An efficient GMM estimator of spatial autoregressive models
.............................................................................................162
A primal Divisia technical change index based on the output
distance function
...................................................................163
Journal of Finance
..............................................................................................................165
Spring (2010)
.......................................................................................................................166Product
Market Competition, Insider Trading, and Stock Market Efficiency
.......................................................................166
Real and Financial Industry Booms and Busts
......................................................................................................................166
Global Currency Hedging
.................................................................................................................................166
A Habit-Based Explanation of the Exchange Rate Risk Premium
........................................................................................167
Collateral Spread and Financial
Development.......................................................................................................................167
False Discoveries in Mutual Fund Performance: Measuring Luck in
Estimated
Alphas.......................................................167 Do
Hot Hands Exist among Hedge Fund Managers? An Empirical
Evaluation....................................................................168
Stock Market Declines and Liquidity
.................................................................................................................................168
Time Variation in Liquidity: The Role of Market-Maker Inventories
and
Revenues............................................................168
The Impact of Deregulation and Financial Innovation on Consumers:
The Case of the Mortgage Market ..........................169
Individualism and Momentum around the
World..................................................................................................................169
Correlation Risk and Optimal Portfolio
Choice.....................................................................................................................169
The Variability of IPO Initial Returns
.................................................................................................................................170
Levered Returns
.................................................................................................................................170
The New Game in Town: Competitive Effects of
IPOs.........................................................................................................170
Financial Structure, Acquisition Opportunities, and Firm Locations
....................................................................................171
Taxes on Tax-Exempt Bonds
.................................................................................................................................171
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A
Specification Test for Affine Term Structure Models......171
Personal Bankruptcy and Credit Market Competition
...........................................................................................................172
Corporate Political Contributions and Stock Returns
............................................................................................................172
The Interdependent and Intertemporal Nature of Financial Decisions:
An Application to Cash Flow Sensitivities .............172
Performance and Persistence in Institutional Investment
Management.................................................................................173
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Asia Pacific Equity Research 18 January 2011
Summer (2010)
....................................................................................................................174The
Variability of IPO Initial Returns
.................................................................................................................................174
Levered Returns
.................................................................................................................................174
The New Game in Town: Competitive Effects of
IPOs.........................................................................................................174
Financial Structure, Acquisition Opportunities, and Firm Locations
....................................................................................175
Taxes on Tax-Exempt Bonds
.................................................................................................................................175
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A
Specification Test for Affine Term Structure Models......175
Personal Bankruptcy and Credit Market Competition
...........................................................................................................175
Corporate Political Contributions and Stock Returns
............................................................................................................176
The Interdependent and Intertemporal Nature of Financial Decisions:
An Application to Cash Flow Sensitivities .............176
Performance and Persistence in Institutional Investment
Management.................................................................................176
Information and Incentives Inside the Firm: Evidence from Loan
Officer Rotation
.............................................................177
Networking as a Barrier to Entry and the Competitive Supply of
Venture Capital
...............................................................177
Does Credit Competition Affect Small-Firm Finance
...........................................................................................................177
Human Capital, Bankruptcy, and Capital
Structure...............................................................................................................178
Stapled Finance
.................................................................................................................................178
Cash Holdings and Corporate Diversification
.......................................................................................................................178
A Gap-Filling Theory of Corporate Debt Maturity Choice
...................................................................................................178
The Political Economy of Financial Regulation: Evidence from U.S.
State Usury Laws in the 19th Century......................179 Risk
and the Corporate Structure of
Banks............................................................................................................................179
Financial Strength and Product Market Behavior: The Real Effects of
Corporate Cash Holdings........................................179
Executive Compensation and the Maturity Structure of Corporate
Debt...............................................................................180
The Effect of SOX Section 404: Costs, Earnings Quality, and Stock
Prices.........................................................................180
Capital Structure as a Strategic Variable: Evidence from Collective
Bargaining..................................................................180
Presidential Address: Asset Price Dynamics with Slow-Moving
Capital..............................................................................181
Disagreement and Learning: Dynamic Patterns of Trade
......................................................................................................181
Generalized Disappointment Aversion and Asset
Prices.......................................................................................................181
Information Quality and Long-Run Risk: Asset Pricing
Implications...................................................................................182
Intraday Patterns in the Cross-section of Stock Returns
........................................................................................................182
Sell-Side School Ties
.................................................................................................................................182
Predictive Regressions: A Present-Value
Approach..............................................................................................................182
Do Limit Orders Alter Inferences about Investor Performance and
Behavior?
.....................................................................183
Why Do Foreign Firms Leave U.S. Equity Markets?
............................................................................................................183
Market Segmentation and Cross-predictability of Returns
....................................................................................................183
Mutual Fund Incubation
.................................................................................................................................184
Fall (2010)
............................................................................................................................185Big
Bad Banks? The Winners and Losers from Bank Deregulation in the
United States
.....................................................185 Price
Discovery in Illiquid Markets: Do Financial Asset Prices Rise
Faster Than They
Fall?..............................................185 Exploring
the Nature of "Trader
Intuition"............................................................................................................................185
Genetic Variation in Financial Decision-Making
..................................................................................................................186
Diversification and Its Discontents: Idiosyncratic and
Entrepreneurial Risk in the Quest for Social Status
.........................186 Hedge Fund Contagion and Liquidity
Shocks
.......................................................................................................................186
Microstructure and Ambiguity
.................................................................................................................................187
"Time for a Change": Loan Conditions and Bank Behavior when Firms
Switch Banks
.......................................................187 Short
Sellers and Financial
Misconduct.................................................................................................................................187
Luck versus Skill in the Cross-Section of Mutual Fund Returns
...........................................................................................18811
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A Bayesian Approach to Real Options: The Case of Distinguishing
between Temporary and Permanent Shocks...............188 Individual
Investors and Local Bias
.................................................................................................................................188
Winter (2010)
.......................................................................................................................189Sticks
or Carrots? Optimal CEO Compensation when Managers Are Loss Averse
..............................................................189
Why Are CEOs Rarely Fired? Evidence from Structural Estimation
....................................................................................189
The Cost of Debt
.................................................................................................................................189
The Net Benefits to Leverage
.................................................................................................................................190
Macroeconomic Conditions and the Puzzles of Credit Spreads and
Capital
Structure..........................................................190
Who Blows the Whistle on Corporate Fraud?
.......................................................................................................................190
Corporate Fraud and Business Conditions: Evidence from IPOs
..........................................................................................191
Collateral, Risk Management, and the Distribution of Debt
Capacity...................................................................................191
Leverage Choice and Credit Spreads when Managers Risk
Shift..........................................................................................191
Lucky CEOs and Lucky Directors
.................................................................................................................................192
Managerial Legacies, Entrenchment, and Strategic
Inertia....................................................................................................192
Journal of Behavioral
Finance...........................................................................................194
Spring (2010)
.......................................................................................................................195Role
of Affective Reactions to Financial Information in Investors' Stock
Price Judgments
.................................................195 Effects of
Visual Priming on Improving Web Disclosure to
Investors..................................................................................195
Investment Decision Making: Do Experienced Decision Makers Fall
Prey to the Paradox of Choice?................................196
Financial Engineering and Rationality: Experimental Evidence Based
on the Monty Hall Problem ....................................196
The Availability Heuristic and Investors' Reaction to
Company-Specific
Events.................................................................196
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SummaryTo help with the job of keeping track of the latest
financial research output from academia we typically compile
quarterly collations of the abstracts of academic papers In this
reference document we include papers published in Q4 and for
completeness also include all papers published in Q1, Q2 and Q3 to
create a full 2010 summary report. Specifically we have collated
the abstracts from nine popular financial journals. The journals
from which articles have been collated are listed below alongside
their web address. Please contact the journal directly if you are
interested in specific articles.Figure 1: Summary of Journals
Included in this document
Journal Journal of Financial and Quantitative Analysis Journal
of Financial Research Journal of Portfolio Management Journal of
Alternative Investments Journal of Financial Economics The
Financial Review Journal of Econometrics
Web Address http://journals.cambridge.org/action/displayJo
urnal?jid=JFQ http://www.wiley.com/bw/journal.asp?ref=02 70-2592
http://www.iijournals.com/toc/jpm/current
http://www.iijournals.com/toc/jai/current
http://ideas.repec.org/s/eee/jfinec.html
http://www.olemissbusiness.com/financialRev iew/index.html
http://www.elsevier.com/wps/find/journaldesc
ription.cws_home/505575/description#descrip tion
http://www.afajof.org/
http://www.journalofbehavioralfinance.org/jou
rnals/journals_main.html
Journal of Finance Journal of Behavioral FinanceSource: J.P.
Morgan
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Asia Pacific Equity Research 18 January 2011
JOURNAL 1Journal of Financial and Quantitative Analysis
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Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
Feb (2010)Is There Shareholder Expropriation in the United
States? An Analysis of Publicly Traded SubsidiariesVladimir
Atanasov, Audra Boone and David Haushalter Journal of Financial and
Quantitative Analysis Volume 45, Issue 01, April 2010, pp 1-26 This
paper examines the relation between the performance and valuations
of publicly traded subsidiaries in the United States and the
ownership stake of their parent companies. Cross-sectional and
time-series tests demonstrate that subsidiaries of parents that own
a substantial minority stake exhibit negative peer-adjusted
operating performance and are valued at a 23% median discount
relative to peers. In contrast, majority-owned and fully divested
subsidiaries show no abnormal performance or valuations. The
results of our study indicate that the association between parent
ownership and subsidiary performance is nonlinear and that some
parents behave opportunistically toward their publicly traded
subsidiaries.
Clientele Change, Liquidity Shock, and the Return on Financially
Distressed StocksZhi Da and Pengjie Gao Journal of Financial and
Quantitative Analysis Volume 45, Issue 01, April 2010, pp 27-48 We
show that the abnormal returns on high default risk stocks
documented by Vassalou and Xing (2004) are driven by short-term
return reversals rather than systematic default risk. These
abnormal returns occur only during the month after portfolio
formation and are concentrated in a small subset of stocks that had
recently experienced large negative returns. Empirical evidence
supports the view that the short-term return reversal arises from a
liquidity shock triggered by a clientele change.
Predicting Global Stock ReturnsErik Hjalmarsson Journal of
Financial and Quantitative Analysis Volume 45, Issue 01, April
2010, pp 49-80 We show that the abnormal returns on high default
risk stocks documented by Vassalou and Xing (2004) are driven by
short-term return reversals rather than systematic default risk.
These abnormal returns occur only during the month after portfolio
formation and are concentrated in a small subset of stocks that had
recently experienced large negative returns. Empirical evidence
supports the view that the short-term return reversal arises from a
liquidity shock triggered by a clientele change.
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Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
The Signaling Hypothesis Revisited: Evidence from Foreign
IPOsBill B. Francis, Iftekhar Hasan, James R. Lothian and Xian Sun
Journal of Financial and Quantitative Analysis Volume 45, Issue 01,
April 2010, pp 81-106 While the signaling hypothesis has played a
prominent role as the economic rationale associated with the
initial public offering (IPO) underpricing puzzle (Welch (1989)),
the empirical evidence on it has been mixed at best (Jegadeesh,
Weinstein, and Welch (1993), Michaely and Shaw (1994)). This paper
revisits the issue from the vantage point of close to two decades
of additional experience by examining a sample of foreign IPOsfirms
from both financially integrated and segmented marketsin U.S.
markets. The evidence indicates that signaling does matter in
determining IPO underpricing, especially for firms domiciled in
countries with segmented markets, which as a result face higher
information asymmetry and lack access to external capital markets.
We find a significant positive and robust relationship between the
degree of IPO underpricing and segmented-market firms seasoned
equity offering (SEO) activities. For firms from integrated
markets, in contrast, the analyst-coverage purchase hypothesis
appears to matter more in explaining IPO underpricing, and the
aftermarket price appreciation explains these firms SEO activities.
The evidence, therefore, clearly supports the notion that some
firms are willing to leave money on the table voluntarily to get a
more favorable price at seasoned offerings when they are
substantially wealth constrained, a prediction embedded in the
signaling hypothesis.
How Does Liquidity Affect Government Bond Yields?Carlo Favero,
Marco Pagano and Ernst-Ludwig von Thadden Journal of Financial and
Quantitative Analysis Volume 45, Issue 01, April 2010, pp 107-134
The paper explores the determinants of yield differentials between
sovereign bonds, using euro-area data. There is a common trend in
yield differentials, which is correlated with a measure of
aggregate risk. In contrast, liquidity differentials display
sizeable heterogeneity and no common factor. We propose a simple
model with endogenous liquidity demand, where a bonds liquidity
premium depends both on its transaction cost and on investment
opportunities. The model predicts that yield differentials should
increase in both liquidity and risk, with an interaction term of
the opposite sign. Testing these predictions on daily data, we find
that the aggregate risk factor is consistently priced, liquidity
differentials are priced for a subset of countries, and their
interaction with the risk factor is in line with the models
prediction and crucial to detect their effect.
Investor Protection, Equity Returns, and Financial
GlobalizationMariassunta Giannetti and Yrj Koskinen Journal of
Financial and Quantitative Analysis Volume 45, Issue 01, April
2010, pp 135-168 We study the effects of investor protection on
stock returns and portfolio allocation decisions. In our
theoretical model, if investor protection is weak, wealthy
investors have an incentive to become controlling shareholders. In
equilibrium, the stock price reflects the demand from both
controlling shareholders and portfolio investors. Due to the high
demand from controlling shareholders, the price of weak
corporate16
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
governance stocks is not low enough to fully discount the
extraction of private benefits. Thus, stocks have lower expected
returns when investor protection is weak. This has implications for
domestic and foreign investors stockholdings. In particular, we
show that portfolio investors participation in the domestic stock
market and home equity bias are positively related to investor
protection and provide original evidence in their support.
An Epidemic Model of Investor BehaviorSophie Shive Journal of
Financial and Quantitative Analysis Volume 45, Issue 01, April
2010, pp 169-198 I test whether social influence affects individual
investors trading and stock returns. In each of the 20 most active
stocks in Finland over 9 years, the number of owners in a
municipality multiplied by the number of investors who do not own a
stock, a measure of the rate of transmission of diseases and rumors
through social contact, predicts individual investor trading. I
control for known determinants of trade, including daily news, and
show that competing explanations for the relation are unlikely.
Socially motivated trades predict stock returns, and the effects
are not reversed, suggesting that individuals share useful
information. Individuals susceptibility to social influence has
declined during the period, but the opportunities for social
influence have increased.
Predicting Hedge Fund Failure: A Comparison of Risk MeasuresBing
Liang and Hyuna Park Journal of Financial and Quantitative Analysis
Volume 45, Issue 01, April 2010, pp 199-222 This paper compares
downside risk measures that incorporate higher return moments with
traditional risk measures such as standard deviation in predicting
hedge fund failure. When controlling for investment strategies,
performance, fund age, size, lockup, high-water mark, and leverage,
we find that funds with larger downside risk have a higher hazard
rate. However, standard deviation loses the explanatory power once
the other explanatory variables are included in the hazard model.
Further, we find that liquidation does not necessarily mean failure
in the hedge fund industry. By reexamining the attrition rate, we
show that the real failure rate of 3.1% is lower than the attrition
rate of 8.7% on an annual basis during the period of 19952004.
Fund Flow Volatility and PerformanceDavid Rakowski Journal of
Financial and Quantitative Analysis Volume 45, Issue 01, April
2010, pp 223-237 This paper provides a detailed analysis of the
impact of daily mutual fund flow volatility on fund performance. I
document a significant negative relationship between the volatility
of daily fund flows and cross-sectional differences in riskadjusted
performance. This relationship is driven by domestic equity funds,
as well as small funds, well-performing funds, and funds that
experience inflows over the sample period. My results are
consistent with performance differences arising from the
transaction costs of nondiscretionary trading driven by daily fund
flows, but not
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Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
with performance differences arising from the suboptimal cash
holdings that arise from fund flows.
Pharmaceutical R&D Spending and Threats of Price
RegulationJoseph Golec, Shantaram Hegde and John A. Vernon Journal
of Financial and Quantitative Analysis Volume 45, Issue 01, April
2010, pp 239-264 Do threats of pharmaceutical price regulation
affect subsequent research and development (R&D) spending? This
study uses the Clinton administrations Health Security Act (HSA) of
1993 as a natural experiment to study this issue. We link events
surrounding the HSA to pharmaceutical stock price changes and then
examine the cross-sectional relation between firms stock price
changes and their subsequent unexpected R&D spending changes.
Results show that the HSA had significant negative effects on stock
prices and firm-level R&D spending. Conservatively, the HSA
reduced R&D spending by about $1 billion even though it never
became law.
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Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
Apr (2010)Corporate Governance and LiquidityKee H. Chung, John
Elder and Jang-Chul Kim Journal of Financial and Quantitative
Analysis Volume 45, Issue 02, April 2010, pp 265-291 We investigate
the empirical relation between corporate governance and stock
market liquidity. We find that firms with better corporate
governance have narrower spreads, higher market quality index,
smaller price impact of trades, and lower probability of
information-based trading. In addition, we show that changes in our
liquidity measures are significantly related to changes in the
governance index over time. These results suggest that firms may
alleviate information-based trading and improve stock market
liquidity by adopting corporate governance standards that mitigate
informational asymmetries. Our results are remarkably robust to
alternative model specifications, across exchanges, and to
different measures of liquidity.
Factoring Information into ReturnsDavid Easley, Soeren Hvidkjaer
and Maureen OHara Journal of Financial and Quantitative Analysis
Volume 45, Issue 02, April 2010, pp 293-309 We examine the
potential profits of trading on a measure of private information
(PIN) in a stock. A zero-investment portfolio that is size-neutral
but long in high PIN stocks and short in low PIN stocks earns a
significant abnormal return. The FamaFrench, momentum, and
liquidity factors do not explain this return. However, significant
covariation in returns exists among high PIN stocks and among low
PIN stocks, suggesting that PIN might proxy for an underlying
factor. We create a PIN factor as the monthly return on the
zero-investment portfolio above and show that it is successful in
explaining returns to independent PIN-size portfolios. We also show
that it is robust to inclusion of the Pstor-Stambaugh liquidity
factor and the Amihud illiquidity factor. We argue that information
remains an important determinant of asset returns even in the
presence of these additional factors.
Portfolio Optimization with Mental AccountsSanjiv Das, Harry
Markowitz, Jonathan Scheid and Meir Statman Journal of Financial
and Quantitative Analysis Volume 45, Issue 02, April 2010, pp
311-334 We integrate appealing features of Markowitzs mean-variance
portfolio theory (MVT) and Shefrin and Statmans behavioral
portfolio theory (BPT) into a new mental accounting (MA) framework.
Features of the MA framework include an MA structure of portfolios,
a definition of risk as the probability of failing to reach
the19
Steve Malin (852) 2800 8568 [email protected]
Asia Pacific Equity Research 18 January 2011
threshold level in each mental account, and attitudes toward
risk that vary by account. We demonstrate a mathematical
equivalence between MVT, MA, and risk management using value at
risk (VaR). The aggregate allocation across MA subportfolios is
mean-variance efficient with short selling. Short-selling
constraints on mental accounts impose very minor reductions in
certainty equival