股票停牌、涨跌停与ETF定价效率——基于上证50ETF日度数据的实证研究

本文应用中国股市2007年至2011年的数据,研究了上证50ETF市场价格和基金净值的相关关系,以及折溢价水平及其影响因素。基于ETF的申购赎回和交易机制,在成分股涨跌停板和停牌期间,由于ETF二级市场价格具有价格发现功能,ETF市场价格可能较大偏离(形式上的)ETF净值,造成ETF的异常折溢价,而此类异常折溢价并不是真正的套利机会。另外,上证50ETF的市场价格与基金净值存在显著同步变动的关系;在涨跌停板和停牌期间之外,上证50ETF的折溢价水平低于套利所需的交易成本。本文研究表明,上证50ETF具有较高的定价效率。     

Intraday volatility responses to monetary policy events

This paper explores the effects of US monetary policy events on intraday volatility in the US equity markets. We examine Federal Open Market Committee (FOMC) announcements as well as real-time changes in market expectations about future policy announcements and their impact on the intraday volatility dynamics of the S&P 500 index. The analysis shows elevated intraday volatility following FOMC announcements through the market close, with a spike at the time of the announcement. We then differentiate the volatility spike by modeling an asymmetric response based on the direction of the actual target rate change. Our results suggest that the size of the volatility spike is dependent on the direction of the rate change, with expansionary monetary policy actions having a larger spike than contractionary policy actions. The duration of these volatility spikes is relatively short-lived, with the spike dampening out within 15 minutes. A more lasting impact is, however, documented for real-time changes in market expectations where the volatility spike tends to persist for at least one hour.     

The Price Is (Almost) Right

Most previous research tests market efficiency using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis of market efficiency and an asset pricing model. In contrast, we adopt the perspective of a buy‐and‐hold investor and examine stock price levels. For such an investor, the price level is more relevant than the short‐horizon expected return, and betas of cash flow fundamentals are more important than high‐frequency stock return betas. Our cross‐sectional tests suggest that there exist specifications in which differences in relative price levels of individual stocks can be largely explained by their fundamental betas.     

Institutional Portfolio Flows and International Investments

Using a new technique, and weekly data for 25 countries from1994 to 1998, we analyze the relationship between institutionalcross-border portfolio flows, and domestic and foreign equityreturns. In emerging markets, institutional flows forecast statisticallyindistinguishable movements in country closed-end fund NAV returnsand price returns. In contrast, closed-end fund flows forecastprice returns, but not NAV returns. Furthermore, institutionalflows display trend-following (trend-reversing) behavior inresponse to symmetric (asymmetric) movements in NAV and pricereturns. The results suggest that institutional cross-borderflows are linked to fundamentals, while closed-end fund flowsare a source of price pressure in the short run.     

SENSITIVITY OF INVESTOR REACTION TO MARKET DIRECTION AND VOLATILITY: DIVIDEND CHANGE ANNOUNCEMENTS

We examine whether investor reactions are sensitive to the recent direction or volatility of underlying market movements. We find that dividend change announcements elicit a greater change in stock price when the nature of the news (good or bad) goes against the grain of the recent market direction during volatile times. For example, announcements to lower dividends elicit a significantly greater decrease in stock price when market returns have been up and more volatile. Similarly, announcements to raise dividends tends to elicit a greater increase in stock price when market returns have been normal or down and more volatile, although this latter tendency lacks statistical significance. We suggest an explanation for these results that combines the implications of a dynamic rational expectations equilibrium model with behavioral considerations that link the responsiveness of investors to market direction and volatility.     

Explaining House Price Dynamics: Isolating the Role of Nonfundamentals

This paper examines the role of nonfundamentals‐based sentiment in house price dynamics, including the well‐documented volatility and persistence of house prices during booms and busts. To measure and isolate sentiment's effect, we employ survey‐based indicators that proxy for the sentiment of three major agents in housing markets: home buyers (demand side), home builders (supply side), and lenders (credit suppliers). After orthogonalizing each sentiment measure against a broad set of fundamental variables, we find strong and consistent evidence that the changing sentiment of all three sets of market participants predicts house price appreciation in subsequent quarters, above and beyond the impact of changes in lagged price changes, fundamentals, and market liquidity. More specifically, a one‐standard‐deviation shock to market sentiment is associated with a 32–57 basis point increase in real house price appreciation over the next two quarters. These price effects are large relative to the average real price appreciation of 71 basis points per quarter observed over the full sample period. Moreover, housing market sentiment and its effect on real house prices is highly persistent. The results also reveal that the dynamic relation between sentiment and house prices can create feedback effects that contribute to the persistence typically observed in house price movements during boom and bust cycles.     

Price-based return comovement

Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with high-priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain variation in stock-level returns after controlling for movements in the market and industry portfolios as well as portfolios based on size, book-to-market, transaction costs, and return momentum. The results suggest that investors categorize stocks based on price.     

Why Does Performance Persistence Vary Among Closed-End Funds?

This study extends the research on closed-end fund performance persistence by investigating whether the persistence of both net asset value (NAV) and market price returns of U.S. registered closed-end funds is related to various fund characteristics. The sample consists of 505 closed-end funds, which are investigated over the period from January 1976 to December 1996. The analysis tests whether persistence is related to the fund characteristics size, goal, management fees, turnover, fund family membership, fund experience, and the exchange on which a fund is traded. The results vary across holding periods used to calculate persistence but are similar with respect to the NAV and market price returns. Funds with lower expense ratios and funds traded on the NYSE show more persistence of strong NAV and market price performance.     

Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market

The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. In contrast, we show that when theory clearly identifies the fundamental, e.g., at temperatures close to or below freezing, a close link exists between FCOJ prices and that fundamental. Using a simple, theoretically motivated, nonlinear, state dependent model, we can explain approximately 50% of the return variation on days with freezing temperatures. Moreover, while these observations represent less than 4.5% of the winter sample, they account for two-thirds of the entire winter return variability.     

Why do firm fundamentals predict returns? Evidence from short selling activity

This study uses short selling activity to test whether the relation between fundamentals and future returns is due to rational pricing or mispricing. We find that short sellers target firms with fundamental performance below market expectations. We also show that short selling activity reduces the return predictability of fundamentals by speeding up the price adjustments to negative fundamental signals. To further investigate whether the returns earned by short sellers reflect rational risk premia or mispricing, we exploit a natural experiment, namely Regulation of SHO, which creates exogenous shocks to short selling by temporarily relaxing short-sale constraints. Evidence from the experiment confirms that the superior returns to short sellers result from exploiting overpricing. Overall, our study suggests that the return predictability of fundamentals reflects mispricing rather than rational risk premia.     

On the premiums of iShares

We show that the newly developed exchange-traded world equity index funds, or iShares, trade at economically significant premiums for 10–50% of the times even after controlling for transaction costs and time-zone measurement errors. Moreover, iShares price returns exhibit excessive volatility relative to their NAV returns. These findings suggest a limit of arbitrage in the international iShares market where iShares can be created and redeemed at will and premiums that exceed the creation/redemption transaction costs should be immediately arbitraged away. However, our cointegration and persistence profile analyses indicate that the deviations of most iShares' prices from their NAVs are not persistent and converge to zero within two days. We propose several rational factors to explain the absolute value of iShares premiums. The panel regression results suggest that institutional ownership, bid–ask spread, trading volume, exchange rate volatility, political and financial crises and, to a lesser extent, the conditional correlation between the U.S. and home markets are the significant driving factors of the size of iShares premiums. However, a significant variation of the premiums still remains unexplained, which suggests that behavioral factors may account for some mispricing.     

The information content of closed-end country fund discounts

This paper examines whether premiums and discounts on closed-end country mutual funds (CECFs) contain useful information about future returns. We find that higher CECF premiums are associated both with higher future returns on the relevant foreign market index and with higher future NAV returns after controlling for the foreign market return. CECFs trading at large discounts are not necessarily bargains, because their future NAV performance can be expected to be relatively poor.     

Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns

Studies analyzing return expectations of financial market participantslike fund managers, CFOs or individual investors are highlyinfluential in academia and practice. We argue and show thatthe results in these surveys above are easily influenced bythe elicitation mode of return expectations. Surveys that askfor future stock price levels are more likely to produce meanreverting expectations than surveys that directly ask for futurereturns. Furthermore, we conduct a questionnaire study thatexplicitly analyzes whether the specific elicitation mode affectsreturn expectations in the above direction. In our study, subjectswere asked to state mean forecasts for seven time series. Usinga between subject design, one half of the subjects was askedto state future price levels, the other group was directly askedfor returns. We observe a highly significant framing effect.For upward sloping time series, the return forecasts statedby investors in the return forecast mode are significantly higherthan those derived for investors in the price forecast mode.For downward sloping time series, the return forecasts givenby investors in the return forecast mode are significantly lowerthan those derived for investors in the price forecast mode.We argue that this finding is consistent with behavioral theoriesof investor expectation formation based on the representativenessheuristic.     

The fundamentals of momentum investing: European evidence on understanding momentum through fundamentals

This paper tests Ahmed and Safdar's noise‐related fundamentals‐based explanation for the momentum premium in European equity markets. Consistent with the view that past price changes may be partially driven by noise, the future return behaviour of winners and losers is significantly dependent upon the degree to which past price performance is consistent with fundamentals. European momentum profits are concentrated among those firms where past price performance is congruent with fundamentals, but absent among those firms where past price performance is incongruent with fundamentals. The significantly different momentum premiums on congruent and incongruent fundamentals‐momentum strategies are attributable to the exploitation of existing mispricing among momentum stocks that can be ex ante identified using firm fundamentals.     

Oil and stock market activity when prices go up and down: the case of the oil and gas industry

We examine the asymmetric effects of daily oil price changes on equity returns, market betas, oil betas, return variances, and trading volumes for the US oil and gas industry. The responses of stock returns associated with negative changes in oil prices are higher than that associated with positive changes in oil prices. Stock risk measured by market beta is influenced more due to oil price decreases than due to oil price increases. On the other hand, oil risk exposures (oil betas) and return variances are more influenced by oil price increases than oil price decreases. The results of our study indicate that oil and gas firm returns, market betas, oil betas, return variances respond asymmetrically to oil price changes. We also find that relative changes in oil prices along with firm-specific factors such as firm size, ROA, leverage, market-to-book ratio (MBR) are important in determining the effects of oil price changes on oil and gas firms’ returns, risks, and trading volumes.     

房价预期与城镇居民家庭股市参与——理论探讨与微观经验证据

本文基于中国家庭金融调查数据,通过构建理论模型和实证检验分析了房价预期与家庭股市参与的关系,考察了行为金融偏差在房价预期影响股市参与过程中的作用,并根据背景风险、社会网络和户主特征进行异质性分析。结果表明:(1)房价上涨预期通过降低居民家庭的股票收益率预期和增加住房资产,进而降低居民家庭的股市参与概率和参与程度;(2)“心理账户”以及“有限关注”的存在显著弱化了房价上涨预期对家庭股市参与的负向作用;(3)房价上涨预期对股市参与概率和参与程度的负向作用在收入风险更高、健康状况更差、社会网络水平较低以及受教育程度偏低的家庭中更大。因此,稳定房价预期能够通过提升家庭股市参与,进而从需求角度促进股票市场的健康发展。     

Market Sentiment and Investor Overreaction: Evidence from New York Listed Asian Country Exchange Traded Funds

This article investigates Asian Country Exchange-Traded Fund (ETF) price deviation with underlying due to market sentiment. By implementing a dynamic contrarian trading strategy and a buy-and-hold strategy, this article finds that significant abnormal excess trading profit can be generated by capitalizing on the overnight price reversion. The excess return generated by the dynamic strategy over buy-and-hold separates the influence of market sentiment to ETF price deviation from fundamental movements. By studying the relations between variations of the excess returns and market sentiment, the article finds that the ETF price deviation is highly influenced by market sentiment and the effect exacerbates during financial crisis and distress.     

When are dividend increases bad for corporate bonds?

Employing an event study approach, we examine 5,574 bond return reactions to unexpected quarterly dividend change announcements in the U.S. corporate bond market over the period 2002–2014. On average, bond price reaction is in the same direction as dividend changes, which supports the hypothesis that dividend changes signal future firm performance. However, the price reaction varies significantly in the spectrum of bond's risk. Importantly, we document that some bondholders react negatively to unexpected dividend increases, indicating a wealth transfer effect. Such wealth transfer effect is most likely to occur in very high risk bond approaching maturity issued by firms with a low level of cash and incorporated outside Delaware.     

Mean-Reversion in REITs Discount to NAV &; Risk Premium

REITs discount to NAV is a puzzling regularity. The sharp increase in volatility of REITs prices over the past few years has spurred a relatively new concern amongst academics, managers and investors about the consequences of, and causes of, property risk premium on discount to NAV. The two interrelated questions arising from the recent increase in volatility of REITs prices are: Is the increased volatility responsible for the observed widening in discount to NAV? What does the observed private and public risk premium tell us about discount to NAV? We attempt to address these questions by analysing risk premiums in private and public real estate markets. The analysis is conducted in the most recent years of high stock price volatility. Our analysis reveals two major results: a tendency for discount to NAV to revert to the long term mean value of 20% and, more significantly, a lower risk premium in equivalent yields in private market than in public market. These results suggest that investors in public market have a different conception of property risk and complexity of lease options than what is conveyed by private property valuation.     

Individual Investors and Volatility

We show that retail trading activity has a positive effect on the volatility of stock returns, which suggests that retail investors behave as noise traders. To identify this effect, we use a reform of the French stock market that raises the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by 20 basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades.