赎回权的价值与封闭式基金折价率研究——兼论“封转开”方案设计

本文比较了封闭式基金与对等的开放式基金之间的差异，认为缺少赎回权是封闭式基金产生折价的主要原因。在一个具有完全择时能力的封闭式基金投资者的假设条件下，本文推导并证实了赎回权价值上限和隐含折价率下限计算公式。基于赎回权，本文提出了“封转开”方案设计的一个新思路，希望对市场上正在热烈讨论的“封转开”问题有所启示。     

Investor Recognition and Post‐Acquisition Performance of Acquirers

The literature has documented a negative relation between investor recognition and expected returns. This negative relation is consistent with the prediction in Merton (1987, Journal of Finance 42, 483–510). This paper investigates whether the changes in investor recognition of acquirers around the time of the acquisitions can explain the post‐acquisition underperformance of acquirer stocks. Using a large sample of U.S. acquisitions from 1980 to 2010, this paper finds that investor recognition, proxied by the number of institutional investors and the number of common shareholders, increases significantly during acquisitions. Once the increases in investor recognition are controlled for, the “puzzling” long‐run underperformances of acquirers disappears.     

Robust portfolio choice with stochastic interest rates

We determine the optimal investment strategy for an ambiguity-averse investor in a setting with stochastic interest rates. The investor has access to stocks, bonds, and a bank account and he is ambiguous about the expected rate of return of both bonds and stocks. The investor can have different levels of ambiguity aversion about the two types of risky assets. We find that it is more important to take model uncertainty about the stock dynamics than model uncertainty about the bond dynamics into account. Furthermore, the investor’s ambiguity increases his hedging demand. Consequently, the bond/stock ratio increases with his ambiguity and implies less extreme positions in the bank account. Altogether, our model yields portfolio allocations which are more in line with what is implementable in practice. Finally, we demonstrate that neglecting model uncertainty implies significant losses for the investor.     

Advertising intensity,investor recognition,and implied cost of capital

The main purpose of this paper is to test Merton’s (J Finance 42(3):483–510, 1987) hypothesis that better investor recognition is correlated with lower expected returns. We measure investor recognition with the firms’ advertising intensity and offer consistent evidence that higher advertising intensity is associated with lower implied cost of capital, as derived from Value Line target prices and dividend forecasts. Investor recognition plays an important role in attracting investors, improving liquidity, and ultimately reducing the cost of capital. The findings shed light on the capital market implications of advertising expenditures and complement the extant research on investor recognition.     

Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors?

We solve the portfolio problem of a long‐run investor when the term structure is Gaussian and when the investor has access to nominal bonds and stock. We apply our method to a three‐factor model that captures the failure of the expectations hypothesis. We extend this model to account for time‐varying expected inflation, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio of a long‐run investor looks very different from the portfolio of a mean‐variance optimizer. In particular, time‐varying term premia generate large hedging demands for long‐term bonds.     

Information Uncertainty and Stock Returns

There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.     

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.     

Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market

Using ‘American depository receipt’ (ADR) data on various countries, this paper sets out to investigate the relationship between investor protection and firm liquidity. Since weak investor protection leads to greater expropriation by managers, and thus greater asymmetric information costs, liquidity providers will incur relatively higher costs and will therefore offer higher bid–ask spreads. The empirical results demonstrate that the liquidity costs of poor investor protection were more significant during the period of the Asian financial crisis when the expected agency costs were particularly severe. This issue is further analyzed by investigating whether there is any evidence of increases in the vulnerability of ADRs of firms operating in countries with relatively poor investor protection mechanisms during periods of financial crisis.     

Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations

A portfolio optimization problem for an investor who trades T-bills and a mean-reverting stock in the presence of proportional and convex transaction costs is considered. The proportional transaction cost represents a bid-ask spread, while the convex transaction cost is used to model delays in capital allocations. I utilize the historical bid-ask spread in US stock market and assume that the stock reverts on yearly basis, while an investor follows monthly changes in the stock price. It is found that proportional transaction cost has a relatively weak effect on the expected return and the Sharpe ratio of the investor's portfolio. Meantime, the presence of delays in capital allocations has a dramatic impact on the expected return and the Sharpe ratio of the investor's portfolio. I also find the robust optimal strategy in the presence of model uncertainty and show that the latter increases the effective risk aversion of the investor and makes her view the stock as more risky.     

Risk and return in residential spatial markets: An empiric and theoretic model

The paper is concerned with price and rent fluctuations in predominantly owner-occupied residental real estate. It presents the owner-occupier household as a housing consumer as well as an investor. It conjectures that since risk and return are known to be positively related in financial markets, they might also be thus related in residential real estate markets. If that is so, neighborhoods that are known to yield high returns will be the ones less price and rent stable than low yielding ones.The Capital Asset Pricing Model is not helpful in explaining a possible risk/return relationship in housing markets. Its major assumption about portfolio diversification is contrary to the nature of owner-occupied residential real estate. An owner occupier household, by definition, holds one unit of the asset and acts simultaneously as an investor and consumer of housing. For the capital market investor, investment and consumption decisions are separable. Therefore, a new theoretical model of consumer choice is proposed. Tel-Aviv price and rent data during a volatile market period are used for testing the main risk/return conjecture as well as other related hypotheses stemming from the model. The findings lend support to the conjecture and shed light on possible spatial determinants of owners' risk.     

Investor Sentiment and the Closed‐end Fund Puzzle: Out‐of‐sample Evidence

In this paper we examine the proposition that small investor sentiment, measured by the change in the discount/premium on closed‐end funds, is an important factor in stock returns. We conduct an out‐of‐sample test of the investor sentiment hypothesis in a market environment that is more likely to be prone to investor sentiment than the USA. We fail to provide supporting evidence for the claim of Lee et al. (1991) that investor sentiment affects the risk of common stocks. Consistent with Elton et al. (1998) , who show that investor sentiment does not enter the return generating process, our tests do not detect investor sentiment in a capital market that is more susceptible to small investor sentiment. Our results provide additional support against the claim that investor sentiment represents an independent and systematic asset pricing risk.     

Order price clustering,size clustering,and stock price movements: Evidence from the Taiwan Stock Exchange

This paper examines order price clustering, size clustering, and stock price movements in an active emerging country’s equities market, the Taiwan Stock Exchange (TWSE). We first explore the relationships between investor types and order price/size clustering. Next, we investigate the joint determinants of the round-price and round-size orders based on daily and intraday data analyses. Finally, we look at the relationships among investor types, round prices/sizes, and stock price movements. The findings reveal that all investor types exhibit price and size clustering phenomena. After controlling for other factors, institutional investors have a relatively lower level of size clustering when compared with individuals. Our results confirm the price resolution hypothesis, whereby the levels of daily price and size clustering increase with firm risk, and the probability of a round-price or round-size order increases as transitory volatility rises. Partially consistent with the negotiation hypothesis, the probability of a round-price or round-size order increases when order competition turns fiercer. Mutual funds exhibit stronger quarter-end and session-end effects than do other investors. We also detect strategic trading behaviors, showing that the probability of an order with a tail price of one (nine) increases when buy (sell) order competition is fiercer. Lastly, stocks with mutual funds’ round-price or round-size buy (sell) orders experience rising (falling) future stock returns.     

Robust consumption and portfolio choice for time varying investment opportunities

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with recursive preferences. The investor worries about model misspecification and seeks robust decision rules. The expected excess return of a risky asset follows a mean-reverting process. I find that whether the concern about model misspecification decreases the total demand for equities largely depends on risk aversion and the attitude toward intertemporal substitution. When the elasticity of intertemporal substitution is about 1 and risk aversion is moderate, the aversion to model uncertainty increases the proportion of wealth invested in equities. The calibration analysis based on detection-error probabilities shows that the quantitative effect of robustness is almost negligible.     

REVISITING BOOKBUILDING VERSUS AUCTION IPOS: A PERSPECTIVE OF INFORMATIONALLY EFFICIENT PRICES IN THE AFTERMARKET

We compare price efficiency between auction and bookbuilding initial public offerings (IPOs). Our empirical results fail to support the prevailing conjecture that bookbuilding IPOs are more price efficient than auction IPOs. We find statistical insignificance between two IPO samples or weak evidence for the opposite hypothesis. We add to the evidence that auctions yield aftermarket price efficiency equal to that of bookbuilding or are statistically indifferent when measured by market microstructure and Center for Research in Security Prices (CRSP) data. We also examine whether underlying price efficiency forces reflect the relative presence of informed institutional and retail investors, aftermarket price support, and divergence of investor expectations.     

Effects of firm owenership structure on hiring of M&A advisors

This study tests the hypothesis that certification is an important service performed by M&A (merger and acquisition) advisors. It conducts an empirical investigation of the relationship between corporate ownership and the decision to hire an advisor. It demonstrates that ownership by institutional investors increases the propensity of firms to hire advisors in merger and acquisition transactions. The effect is (1) nonlinear in institutional investor percentage ownership, (2) greater for the selling firm than for the buyer, and (3) stronger where control is changing than where significant assets are being bought and sold. Confirmation of the certification hypothesis is also found in the decision to hire a prestigious advisor given that an advisor is to be hired.     

Generalizing the permanent-income hypothesis: Revisiting Friedman's conjecture on consumption

Friedman's contribution to the consumption literature goes well beyond the seminal permanent-income hypothesis. He conjectured that the marginal propensity to consume out of financial wealth shall be larger than out of “human wealth”, the present discounted value of future labor income. I present an explicitly solved model to deliver this widely noted consumption property by specifying that the conditional variance of changes in income increases with its level. A larger realization of income not only implies a higher level of human wealth, but also signals a riskier stream of future labor income, inducing a higher precautionary saving, and thus giving rise to Friedman's conjecture. Appropriately adjusting human wealth for income risk, I show that Friedman's conjecture may be formulated as a “generalized” permanent income hypothesis. I further show that Friedman's conjecture captures the first-order effect of stochastic precautionary savings. Finally, I propose a natural decomposition of the optimal saving rule to formalize various motives for holding wealth as emphasized in [Friedman, M., 1957. A Theory of the Consumption Function. Princeton University Press, Princeton].     

Information Collection and IPO Underpricing

This study provides new evidence that IPO underpricing is economic rents paid for investor to gather costly information. Subrahmanyam and Titman (1999) report that diverse investor information, once aggregated in the public market, could provide a more informative stock price and accurate feedback to firm’s investment decision. I investigate the hypothesis that IPO underpricing as economic rents could be higher, when investor information is diverse. In support of this hypothesis, I find a positive and significant correlation between the extent of underpricing and the information diversity measure proposed by Barron et al. (1998). There is a positive and significant correlation between this information diversity measure and an IPO firm’s subsequent (absolute) change in capital and R&D expenditures. In addition, firms with high information diversity measure and change in subsequent investment exhibit a better subsequent return performance than firms with low diversity and change in investment. This is consistent with the proposition that investor information serves as useful feedback for managers in the IPO market.JEL Classification: G32     

Toward Real‐Time Financial Reporting: How to Reduce Investors' Information Gap and the Cost of Capital

Public companies are struggling to provide detailed and accurate guidance in a turbulent world. Many have dropped guidance altogether, or substantially reduced the precision of their guidance. However, they pay a price for the resulting increase in investor uncertainty in the form of a higher cost of capital and reduced equity valuations. This article provides evidence that improving investors' information can help to reduce the cost of capital of public companies. A look at market data for the years 2007 through 2009 for German DAX 30 companies suggests that investor uncertainty stemming from current financial reporting practices appears to be amplifying the expected association between increases in the beta coefficient and the volatility of fundamentals such as revenues and income, which in turn could be increasing the cost of equity capital. The article explores ways for both individual companies and financial regulators to improve investor information and reduce the cost of capital. For individual companies, the proposed solution is more frequent and voluntary provision of information about actual performance in lieu of more extensive financial guidance. A look at market data for the years 2007 through 2009 for German DAX 30 companies suggests that investor uncertainty stemming from current financial reporting practices appears to be amplifying the expected association between increases in the beta coefficient and the volatility of fundamentals such as revenues and income, which in turn could be increasing the cost of equity capital. Quarterly reporting is a matter of tradition while today's information technology could easily provide investors with real‐time, or close to real‐time, financial information. Internal financial controls, the quality of financial reporting, and the cost of capital might all be improved by mandating faster reporting cycles.     

How do investors react under uncertainty?

It has long been accepted that risk plays an important role in determining valuation where risk reflects that investors are unsure of future returns but are able to express their prior expectations by a probability distribution of these returns. Knight (1921) introduced the concept of uncertainty where investors possess incomplete knowledge about this distribution and so are unable to formulate priors over all possible outcomes. One common approach for making uncertainty tractable is to assume that investors faced with uncertainty will base their decisions on the worst case scenario (i.e. follow maxmin expected utility). As a consequence it is postulated that investors will become more pessimistic as uncertainty increases, upgrading bad news and downgrading good news. Using Australian data, we find evidence that investors react to bad news at times of high market uncertainty but largely ignore good news which is consistent with them taking on a pessimistic bias. However, we also find evidence of the reverse when market uncertainty is low with investors taking on an optimistic stance by ignoring bad news but reacting to good news. We also find that the impact that market uncertainty has on the reaction of investors to new information is modified by the prevailing market sentiment at the time of the announcement. Besides throwing light on the question of how uncertainty impacts on investor behaviour, our findings seriously challenge the common assumption made that investors consistently deal with uncertainty by applying maxmin expected utility.