Topic 56 :
Asset Pricing: Frictions and Market Efficiency
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Fast and Slow Arbitrage: Smart Money, Dumb Money and Mispricing in the Frequency Domain
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Labor Market Competitor Network and the Transmission of Shocks
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Ubiquitous Comovement
1、Fast and Slow Arbitrage: Smart Money, Dumb Money and Mispricing in the Frequency Domain
Working paper
,
issued in
February 2019
.
Xi Dong,
City University of New York-Baruch College
Namho Kang,
Bentley University
Joel Peress,
INSEAD
We conduct a spectral analysis of the relation between capital flows and mispricing. Hedge funds
(smart money) and mutual funds (dumb money) both behave as low-pass filters, deploying highfrequency flows towards low-frequency mispricing in opposite directions. But hedge funds attenuate
high-frequency flows twice as much as mutual funds do, thus improving market efficiency more slowly
than mutual funds exacerbating market inefficiency. Time-series and cross-sectional tests indicate that
transaction and implementation costs are the reason hedge funds particularly behave as low-pass
filters.
原文链接：
https://pdfs.semanticscholar.org/bd57/6939bb77240ee6935e44627444c2c17ddcfb.pdf
2、Labor Market Competitor Network and the Transmission of Shocks
Working paper
,
issued in October 2018.
Yukun Liu,
University of Rochester
Xi Wu,
New York University
We construct a time-varying network of labor competitors for all U.S. public companies. We
show the importance of this network for transmitting labor and industry shocks. There are three
main findings. First, the overlap between firms’ labor competitors and product market rivals is
less than 20 percent. Second, firm returns strongly respond to both the contemporaneous and
lagged labor market shocks proxied by returns of the labor competitors. A long-short strategy
exploiting the lagged response generates an average annualized excess return of 9.36 percent.
Third, shocks to an industry can affect firms outside the industry through the labor network.
原文链接：
http://finasymposium.ust.hk/paper/xi_wu.pdf
Working paper
,
issued in March 2019.
William Grieser,
Texas Christian University
Junghoon Lee,
Tulane University
Morad Zekhnini,
Tulane Unviersity
