AFA Ph.D. Student Poster Session at the 2020 Annual Meeting(23)

金融经济学 · 公众号 · · 2020-03-29 21:30

正文

23期

编辑：李子健审核：陆堇

The Trinity of Market Participants: Taking Sides on Return Predictability
Linear Betas in the Cross-Section of Asset Returns
Do Digital Coins Have Fundamental Values? Evidence from Machine Learning

1、The Trinity of Market Participants: Taking Sides on Return Predictability

Working paper , issued in July 2019.

David McLean, Georgetown University
Jeffrey Pontiff, Boston College
Christopher Reilly, Boston College

Abstract

We study how various investors trade with respect to 131 stock return anomalies. Retail investors and institutions accumulate shares in stocks that become anomaly-shorts and reduce holdings in stocks that become anomaly-longs. In contrast, firms that issue shares become anomaly-shorts and firms that repurchase shares become anomaly-longs. All three types of investors continue to trade in the same direction once anomaly information is public. Retail buys are associated with lower future stock returns, institutional trades do not predict returns, while firm trades predict returns in the intended direction. The results suggest that firms are the smart money.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=257

2、Linear Betas in the Cross-Section of Asset Returns

Working paper , issued in July 2019 .

Francesca Bastianello, Harvard University
Paul Fontanier, Harvard University

Abstract

This paper evaluates a specification for conditional beta models following Fama and French (2019). It rejects the Fama and French model using betas conditional on characteristics in favor of a linear conditional beta model following Shanken (1990). The tests used allow the data to select either the Fama and French (2019) model or the more flexible linear specification. Model-implied zero-beta rates are particularly sensitive to the choice of specification, and the linear conditional beta model provides a more stable, and more realistic, rate.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=260

3、Do Digital Coins Have Fundamental Values? Evidence from Machine Learning

Working paper , issued in July 2019.