Periodic strategies in optimal execution with multiplicative price impact

We study the optimal execution problem with multiplicative price impact in algorithmic trading, when an agent holds an initial position of shares of a financial asset. The interselling decision times are modeled by the arrival times of a Poisson process. The criterion to be optimized consists in maximizing the expected net present value of the gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of the asset price.     

VIX term structure and VIX futures pricing with realized volatility

Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed-form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high-frequency data, the proposed model provides superior pricing performance compared with the classic Heston–Nandi GARCH model under a variance-dependent pricing kernel, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods.     

政策不确定性、财政扩张与区域商业银行风险——基于中国地方官员变更和银行业的证据

文章利用2007-2017年我国93家区域商业银行的面板数据，并结合省级宏观经济数据和地方官员变更数据，实证考察了中国地方官员变更引起的经济政策不确定性对区域商业银行风险的重要影响。研究结果表明：（1）地方官员变更引起的政策不确定性增大了区域商业银行风险；（2）地方官员变更引起的政策不确定性，通过提高银行的资产收益率降低了商业银行风险；而不确定性时期的财政扩张，通过降低银行资产收益率增大了商业银行风险；并且财政扩张的负面影响大于政策不确定性的正面影响；（3）各省的市委书记发生职位更替引起的政策不确定性对区域商业银行风险的影响更大。文章研究为新时代背景下的金融供给侧结构性改革、政府宏观经济政策的制定以及财政体制与金融体制之间的联系提供参考。     

When Do Qualitative Risk Disclosures Backfire? The Effects of a Mismatch in Hedge Disclosure Formats on Investors' Judgments

Disclosure standards mandate the quantitative disclosure of hedging‐instrument‐related risks but not the disclosure of hedged‐item‐related risks. We examine how a match (mismatch) in formats, caused by making quantitative (qualitative) hedged item disclosures alongside quantitative hedging instrument disclosures, affects investors' integration of information from these two related disclosures. Our first experiment varies the hedged item disclosure format (quantitative or qualitative) and the portion of risk hedged (small or large). We find that when disclosure formats are mismatched, the less comparable nature of the two disclosures caused investors to neglect the offsetting relationship when assessing net risks. As a result, risk and investment judgments were influenced by the more prominent quantitative hedging instrument disclosures. Our second experiment finds that the use of a qualitative debiaser that clarifies the relationship between the two disclosures led to the integration of information and mitigated this effect.     

知识型员工双重社会网络对企业创新绩效作用机制研究

基于企业基础资源观和组织学习理论，从知识型员工个人和组织社会网络两个方面构建知识型员工双重社会网络影响企业创新绩效的理论模型，分析知识共享、组织学习及资源整合在员工双重社会网络对企业创新绩效影响机制中的作用。结果表明：知识型员工双重社会网络对科技型企业创新绩效的作用路径有3条，资源获取与整合、知识共享与学习及员工动态创新能力分别在其中发挥中介作用；在不同类型组织文化环境中，知识型员工双重社会网络对企业创新绩效的作用特征、作用重点以及作用机制存在显著差异，内部整合维度主要通过知识共享和组织学习影响企业创新绩效，外部适应维度主要通过隐性知识传播和资源整合影响企业创新绩效。     

The Impact of Employment on Parental Coresidence

We examine the extent to which parents use housing and shared living arrangements as a form of risk‐sharing for their adult children, using detailed data on children and parents in the Health and Retirement Study for 1998–2012. On average, a young man moving from full‐time to nonemployment raises the likelihood of coresiding with a parent by 1.5 percentage points; moving from full‐time employment to being part‐time employed raises the likelihood of coresiding with a parent by 2 percentage points. The implied elasticity of parental coresidence with respect to the son's income is ‐1.1; for daughters, the elasticity is ‐0.5.     

Pricing Defaultable Bonds Using a Lévy Jump‐Diffusion Model

This paper uses a reduced‐form approach to derive a closed‐form pricing formula for defaultable bonds. The authors specify the default hazard rate as an affine function of multiple variables which follow the Lévy jump‐diffusion processes. Because such specification allows greater flexibility in the generation of a valid probability of default, their pricing model should be more accurate than the valuation models in traditional studies, which ignore the jump effects. This paper also proposes a new method for estimating the parameters in a Lévy Jump‐diffusion process. The real data from the Taiwanese bond market are used to illustrate how their model can be applied in practical situations. The authors compare the pricing results for the influential variables with no jump effects, with jump magnitudes following the normal distribution, and with jump magnitudes following the gamma distribution. The results reveal that the predictive ability is the best for the model with the jump components. The valuation model shown in this paper should help portfolio managers more accurately price defaultable bonds and more effectively hedge their portfolio holdings.     

Further Mining the Predictability of Moving Averages: Evidence from the US Stock Market

Most studies on the predictability of moving average (MA) technical analysis use the discrete (buy/sell) trading recommendations. However, it is possibly incomplete or unreliable to explore the predictability of MA by only employing its generated trading signals. To further explore the forecastability of MA, we study its measurable impact on the stock market returns by using a conventional predictive regression framework. Our empirical study on the US stock market with respect to more detailed price information finds, (i) that the proposed predictor, MADP (MA based on daily prices) shows significant predictability in‐ and out‐of‐sample, and significantly outperforms the historical average (HA) benchmark as well as the MA based on monthly prices, (ii) that the predictability of MADP centers on the short‐term lags (within the most recent 10 days) and disappears when lags are beyond 20 days, and (iii) that the economic evaluation of the portfolios based on trading strategies confirms the superior performance of MADP with short‐term lags against the benchmark even though considering transaction costs.     

Balancing social and political strategies in emerging markets: Evidence from India

This article explores the substitution and complementary effects between political and social strategies on firm performance in the context of an emerging market (EM). Using in‐depth, historical case‐study approach, the article investigates how companies integrate political and social resources in this market. Corporate performance includes traditional measures, such as accounting performance and nonfinancial measures like the ease of doing business. The study finds that social strategies are stronger enablers of firm long‐term performance than political strategies. The latter have a short‐term impact on performance, but their success over time is limited. The main drawback of reliance on political resources in EMs is the lack of political stability, fragmented polity, and weak political coalitions. We identify rather limited evidence of firms using these two strategies as complements. Thus, we suggest that firms should employ both these strategies in the EM.