Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Anomalies and False Rejections

Tarun CHORDIA, Amit GOYAL, Alessio SARETTO
We use information from over 2 million trading strategies randomly generated using real data and from strategies that survive the publication process to infer the statistical properties of the set of strategies that could have been studied by researchers. Using this set, we compute t-statistic thres...
Keywords: Hypothesis Testing, Asset Pricing, Trading volume, Bond Interest Rates
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Leverage Network and Market Contagion

Jiangze BIAN, Hao ZHOU, Zhi DA, Dong LOU
Using detailed data of margin investors’ leverage ratios and trading activities, we provide novel evidence for the effect of margin-induced trading on the cross-section of stock returns during the recent market turmoil in China. We first document the deleverge-induced sales. Aggregating this behav...
Keywords: Jiangze Bian (University of International Business and Economics), ZhiMargin trading, Leverage, contagion, network centrality DA (University of Notre Dame), Dong Lou (London School of Economics), Hao ZHOU (Tsinghua University);
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Does Financial Globalization Propagate Managerial Skills? Lessons from the Mutual Fund Industry

Hong ZHANG, Massimo MASSA, Si CHENG
We examine whether globalization may unintendedly allow financial institutions with low managerial skills to grow. Using a complete sample of global mutual funds, we find that low-skilled fund companies may strategically differentiate their products by launching new funds that track less-explored fo...
Keywords: Globalization, Cross-border capital flows, Mutual Funds, Skills, market efficiency
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Annual Conference

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Investment Finance

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May 2018

Trading by Crossing

Yue-Cheong CHAN, Jennifer CONRAD, Gang HU, Sunil WAHAL
We study actual trading transactions that are darker than all “dark pools,” as they are truly invisible to the marketplace both pre- and post-trade. Using a proprietary dataset of institutional trades, we analyze internal crosses – transactions which allow institutions to match purchases and s...
Keywords: Institutional trading, Cross Trading, Inter-Fund Trade, Asset Management, Economies of Scale, Trading Cost, Best Execution
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Annual Conference

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Investment Finance

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May 2018

Global Market Inefficiencies

Söhnke M. BARTRAM, Mark GRINBLATT
Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The ...
Keywords: International finance, valuation, Asset Pricing, market efficiency, Fundamental analysis, Point-in-time, Transaction costs, Principal components, Instrumented principal components analysis
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