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这是“金融学前沿论文速递”第1471篇推送
编辑:李雨 审核:黄佳伟
仅用于学术交流，原文版权归原作者和原发刊所有
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Efficient estimation of bid–ask spreads from open, high, low, and close prices
Uncertainty about what is in the price
Monetary policy and fragility in corporate bond mutual funds
The risk and return of impact investing funds
Modeling volatility in dynamic term structure models
The risk and return of equity and credit index options
Systemic bank runs without aggregate risk: How a misallocation of liquidity may trigger a solvency crisis
Efficient estimation of bid–ask spreads from open, high, low, and close prices
原刊和作者：
Journal of Financial Economics 2024年11月
David Ardia (HEC Montréal)
HEC Montréal (Università della Svizzera Italiana)
Tim Kroencke (FHNW School of Business and Remaco Asset Management)
Popular bid–ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid–ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analyses, numerical simulations, and empirical evaluations, we show that our efficient estimator dominates other estimators from transaction prices, yields novel insights for measuring bid–ask spreads, and has broad applicability in empirical finance.
Uncertainty about what is in the price
原刊和作者：
Journal of Financial Economics 2024年11月
Joël Peress (INSEAD)
Daniel Schmidt (HEC Paris)
A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.
Monetary policy and fragility in corporate bond mutual funds
原刊和作者：
Journal of Financial Economics 2024年11月
John Chi-Fong Kuong (The Chinese University of Hong Kong)
James O’Donovan (City University of Hong Kong)
Jinyuan Zhang (UCLA)
We document aggregate outflows from corporate bond mutual funds days before and after the announcement of increases in the Federal Funds Target rate (FFTar). To rationalize this phenomenon, we build a model in which funds’ net-asset-values (NAVs) are stale and investors strategically redeem to profit from the mispricing when they learn about the increases of FFTar. Consistent with the model’s predictions, we find that stale NAVs and loose monetary policy environments weaken (strengthen) outflows sensitivity to increases in FFTar during illiquid (liquid) market conditions. Our results highlight when and how monetary policy could systematically exacerbate the fragility of corporate bond funds.
The risk and return of impact investing funds
原刊和作者：
Journal of Financial Economics 2024年11月
Jessica Jeffers (HEC Paris)
Tianshu Lyu (Yale School of Management)
Kelly Posenau (DePaul University）
Liyan Yang (Cornell University)
We provide the first analysis of the risk exposure and risk-adjusted performance of impact investing funds, private market funds with dual financial and social goals. We introduce a dataset of impact fund cash flows and exploit distortions in VC performance measures to characterize risk profiles. Impact funds have a lower market than comparable private market strategies. Accounting for , impact funds underperform the public market, though not necessarily more so than comparable strategies. We consider alternative pricing models, accounting for sustainability and emerging markets risk. We show investors’ wealth portfolios and taste change the perceived financial merit of impact investing.
Modeling volatility in dynamic term structure models
原刊和作者：
Journal of Financial Economics 2024年11月
Hitesh Doshi (University of Houston)
Kris Jacobs (University of Houston)
Rui Liu (Duquesne University)
We propose no-arbitrage term structure models with volatility factors that follow GARCH processes. The models’ tractability is similar to canonical affine term structure models, but they fit yield volatility much better, especially for long-maturity yields. This improvement does not come at the expense of a deterioration in yield fit. Because of the improved volatility fit, the model performs substantially better in pricing Treasury futures options. We conclude that the specification of the volatility factors is critical. Modeling volatility as a function of (lagged) squared innovations to factors improves on models where volatility is a linear function of the factors.
The risk and return of equity and credit index options
原刊和作者：
Journal of Financial Economics 2024年11月
Hitesh Doshi (University of Houston)
Jan Ericsson (McGill University)
Mathieu Fournier (UNSW Business School and Canadian Derivatives Institute)
Sang Byung Seo (University of Wisconsin-Madison)
We develop a structural credit risk model, which allows us to price equity/credit indices and their options through the asset dynamics of index constituents. We estimate the model via MLE and find that equity and credit index option prices are well explained out-of-sample. Contrary to recent empirical findings, the two option markets are not inconsistently priced through the lens of our model. Returns on both options, while extreme, do not indicate any evidence of mispricing. Our analysis suggests that jointly addressing the pricing of various instruments requires properly attributing three different sources of systematic risk: asset, variance, and jump risks.
Systemic bank runs without aggregate risk: How a misallocation of liquidity may trigger a solvency crisis
原刊和作者：
Journal of Financial Economics 2024年11月
Lukas Altermatt (University of Essex)
Hugo van Buggenum (KOF-ETH Zürich)
Lukas Voellmy (Swiss National Bank)
We develop a general equilibrium model of self-fulfilling bank runs. The key novelty is the way in which the banking system’s assets and liabilities are connected. Banks issue loans to entrepreneurs who sell goods to households, which in turn pay for the goods by redeeming bank deposits. The return on bank assets is thus contingent on households being able to withdraw their deposits. In a run, not all households that wish to consume manage to withdraw, since part of banks’ cash reserves end up in the hands of households without consumption needs. This misallocation of liquidity lowers revenues of entrepreneurs and bank asset returns, thereby rationalising the run. Interventions that restrict redemptions in a run can be self-defeating due to their negative effect on demand in goods markets. We show how runs can sometimes be prevented with combinations of deposit freezes and redemption penalties as well as with the provision of emergency liquidity.
原文：
https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/161/suppl/C
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