ABSTRACT
We decompose mutual fund value added by the length of funds' holdings using transaction‐level data. We motivate our decomposition with a model featuring horizon‐specific investment ideas, ...where short‐term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high‐turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low‐turnover funds add value only over longer horizons.
We study the liquidity properties of private equity cash flows using data from 837 buyout and venture capital funds from 1984 to 2010. Most cash flow variation at a point in time is diversifiable — ...either idiosyncratic to a given fund or explained by the fund’s age. Both capital calls and distributions also have a procyclical systematic component. Distributions are more sensitive than calls, implying procyclical aggregate net cash flows. A consequence is that the well-known finding that funds raised in hot markets underperform in absolute terms is sharply attenuated when comparing to public equities. Consistent with a liquidity premium for calling capital in bad times, we find that funds with a relatively high propensity to do so perform better in both absolute and relative terms. Venture capital cash flows and performance are considerably more cyclical than buyout, and the links between cyclical cash flows and performance are likewise stronger.
We advance quantitative-theoretic models of sovereign debt by proving the existence of a downward sloping equilibrium price function for long-term debt and implementing a novel method to accurately ...compute it. We show that incorporating long-term debt allows the model to match Argentina's average external debt-to-output ratio, average spread on external debt, the standard deviation of spreads, and simultaneously improve upon the model's ability to account for Argentina's other cyclical facts. We also investigated the welfare properties of maturity length and showed that if the possibility of self-fulfilling rollover crises is taken into account, long-term debt is superior to short-term debt.
This paper studies the interaction between default and liquidity for corporate bonds that are traded in an over-the-counter secondary market with search frictions. Bargaining with dealers determines ...a bond's endogenous liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Assuming a relative illiquid secondary bond market in default, earlier endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn leads to earlier endogenous default. Besides characterizing in closed form the full interdependence between liquidity and default for credit spreads, our calibrated model can jointly match empirically observed credit spreads and liquidity measures of bonds across different rating classes.
This study focuses on the utilization of advanced artificial intelligence methodologies for predicting the trajectory of the green bond market in Kazakhstan. The research aims to facilitate the ...growth of sustainable financial instruments while actively contributing to the achievement of environmental objectives. By leveraging innovative AI techniques, the analysis seeks to provide accurate forecasts, thereby aiding the development and support of the green bond market. This initiative aligns with Kazakhstan's drive for sustainable development and environmental protection, reinforcing the use of green financial instruments, such as green bonds, supported by governmental initiatives. Active development of the green bond market in Kazakhstan and in the world, as well as increased interest in sustainable financial instruments make it relevant to study the possibilities of using artificial intelligence to analyze and forecast this market. The green bond market contains a large amount of data, including information on projects, environmental performance, rates and yields. The relevance of the study is that the use of deep artificial intelligence to forecast the green bond market in Kazakhstan may lead to the development of more accurate and efficient methods of analysis and forecasting, which in turn may contribute to the development of the market for green financial instruments and contribute to the achievement of environmental goals. Kazakhstan is actively developing a sustainable development policy, including environmental protection and carbon footprint reduction, so green financial instruments such as green bonds are receiving government support. The purpose of the study is to analyze the use of deep artificial intelligence to forecast the green bond market in Kazakhstan.
We show that forcing insolvent consumer debtors to repay a larger fraction of debt causes them to strategically manipulate the data they report to creditors. Exploiting a policy change that required ...insolvent debtors to increase debt repayments at an arbitrary income cutoff, we document that some debtors reduce reported income to just below this cutoff to avoid the higher repayment. Those debtors who manipulate income have a lower probability of default on their repayment plans, consistent with having access to hidden income. We estimate this strategic manipulation costs creditors 12% to 36% of their total payout per filing.
Each time a stock gets added to or dropped from an index, we ask: “How much money would have to be tracking that index to explain the huge spike in rebalancing volume we observe on reconstitution ...day?” While index funds held 16% of the US stock market in 2021, we put the overall passive ownership share at 33.5%. Our headline number is twice as large because it reflects index funds as well as other kinds of passive investors, such as institutional investors with internally managed index portfolios and active managers who are closet indexing.
Several types of 1,4-diphenylanthracene derivatives
-
were prepared, and their photophysical properties were observed in the solid and solution states. Interestingly, the CN-group-substituted ...1,4-diphenylanthracene derivative
was found to exhibit a higher fluorescence quantum yield (
= 0.71) in the solid state than in the solution state, probably due to the formation of an intermolecular Ar-CN⋯H-Ar hydrogen bond and antiparallel type locked packing structure in the solid state. Furthermore, for some derivatives, an increase in the fluorescence quantum yield was observed in the PMMA film (1 wt%) over both the solid state and the solution state. More interestingly, some of the 1,4-diphenylanthracene derivatives exhibited unusual mechanofluorochromic properties with a "
" in luminous color depending on the substituents of the phenyl group, and with the derivatives having CF
, OMe, CN, and two F substituents (
-
,
-
) showing a significant luminous color change with a "
" after grinding. However, no change in the luminous color was observed for the derivatives having H, Me, and one F substituent (
-
), and especially for some of the CN-substituted derivatives, a reversible luminous color change with a "
" was observed, probably due to the formation of an antiparallel type packing structure. These "
" anthracene derivatives could probably be utilized as new mechanofluorochromic materials.
We use mutual fund flows as a measure of individual investor sentiment for different stocks, and find that high sentiment predicts low future returns. Fund flows are dumb money–by reallocating across ...different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is related to the value effect: high sentiment stocks tend to be growth stocks. High sentiment also is associated with high corporate issuance, interpretable as companies increasing the supply of shares in response to investor demand.
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