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Darren 🥚 Profile picture
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3 Jan, 13 tweets, 6 min read
New SSRN papers, January 2021
(I haven't read these yet, but they have abstracts that look interesting.)

Law of One Price in Equity Volatility Markets
papers.ssrn.com/sol3/papers.cf…

Peer Momentum
papers.ssrn.com/sol3/papers.cf…

December 2020 edition:
On Systematic Skewness and Stock Returns
papers.ssrn.com/sol3/papers.cf…

Rivals’ Returns
papers.ssrn.com/sol3/papers.cf…

Intangible Value
papers.ssrn.com/sol3/papers.cf…

Is There a Value Premium in Cryptoasset Markets?
papers.ssrn.com/sol3/papers.cf…
Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence
papers.ssrn.com/sol3/papers.cf…

Cross-section of Industry Equity Returns and Global Tactical Asset Allocation across Regions and Industries
papers.ssrn.com/sol3/papers.cf…
Cross-Section of Risk-Taking and Asset Prices
papers.ssrn.com/sol3/papers.cf…

Asset Growth Effect and Q Theory of Investment
papers.ssrn.com/sol3/papers.cf…

Nonfinancial Value of Financial Firms
papers.ssrn.com/sol3/papers.cf…
COVID-19, Lockdowns and Herding Towards Cryptocurrency Market Specific Implied Volatility Index
papers.ssrn.com/sol3/papers.cf…

On Cryptocurrencies as an Independent Asset Class: Long-Horizon and COVID-19 Pandemic Era Decoupling from Global Sentiments
papers.ssrn.com/sol3/papers.cf…
Algos Gone Wild: What Drives the Extreme Order Cancellation Rates in Modern Markets?
papers.ssrn.com/sol3/papers.cf…

Board Structure and the Volatility of Volatility
papers.ssrn.com/sol3/papers.cf…
Detecting Intra-Day Jumps in Stock Prices with High-Frequency Option Data
papers.ssrn.com/sol3/papers.cf…

Implied Dividend Volatility and Expected Growth
papers.ssrn.com/sol3/papers.cf…
Modeling Corporate Bond Returns (AQR)
papers.ssrn.com/sol3/papers.cf…

Corporate Credit Default Swap Systematic Factors
papers.ssrn.com/sol3/papers.cf…
Option to Stock Volume Ratio and Future Returns
papers.ssrn.com/sol3/papers.cf…
Small and Larger Firms Over the Business Cycle
minneapolisfed.org/research/wp/wp…
Option Return Predictability
papers.ssrn.com/sol3/papers.cf…
Equity Volatility Term Premia
papers.ssrn.com/sol3/papers.cf…
Misery on Main Street, Victory on Wall Street: Economic Discomfort and the Cross-Section of Global Stock Returns
papers.ssrn.com/sol3/papers.cf…

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More from @ReformedTrader

Darren 🥚 Profile picture
4 Jan
1/ Option Trading Costs Are Lower than You Think (Muravyev, Pearson)

"Options price changes are predictable at high frequency. Effective spreads of traders who time executions are less than 40% of the size given by conventional measures."

papers.ssrn.com/sol3/papers.cf… Image
2/ * Trades and intraday bid/ask at one-minute frequencies for all U.S. listed equity options and the underlying stocks

* Option trades ≤ 10 cents, trades for which trade direction cannot be determined, and trades during the first and last five minutes of the day are removed ImageImageImage
3/ "Conventional measures of transactions costs are large: The effective spreads are about 80% of the size of the quoted spreads. The price impacts are also large.

"ITM options have relative (dollar) spreads that are smaller (larger) than those of options in the full sample." ImageImage
Read 17 tweets
Darren 🥚 Profile picture
4 Jan
1/ Term Structure of Short Selling Costs (Weitzner)

"Forward short selling costs (derived from put-call parity) predict future costs and stock returns. Short selling costs are higher over horizons when negative information is more likely to arrive."

papers.ssrn.com/sol3/papers.cf… Image
2/ * Dividend payers excluded
* Cost of shorting (median across strikes) over the term of the option is back-calculated using synthetic relationships, then forward rates are calculated
* Options with negative implied shorting costs are excluded
* Spot lending data is from Markit ImageImageImageImage
3/ "If earnings announcements are periods when negative information is more likely to arrive, then the term structure's shape should be affected by when an announcement takes place.

"Options that expire after the earnings announcements do have higher annualized shorting costs." ImageImage
Read 11 tweets
Darren 🥚 Profile picture
31 Dec 20
1/ Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies (Chu, Hirshleifer, Ma)

"We examine the causal effect of limits to arbitrage using Regulation SHO, which relaxed short-sale constraints for a set of pilot stocks, as a natural experiment."

papers.ssrn.com/sol3/papers.cf…
2/ "Reg SHO removed the uptick rule and bid price test on randomly selected pilot stocks.

"The SEC then eliminated short-sale price tests for all exchange-listed stocks, so SHO effectively ran from 5/2/2005 to 7/6/2007."

11 anomalies: L/S decile portfolios, equally weighted
3/ "We confirm that the pilot firms were in fact randomly assigned with respect to firm characteristics associated with the 11 anomalies.

"Results suggest that there was no significant difference between pilot and non-pilot firms prior to the announcement of the pilot program."
Read 14 tweets
Darren 🥚 Profile picture
29 Dec 20
1/ SPY betas of EFA, EEM, and DBC over the past ten years (contrast with TLT)... draw your own conclusions about diversification potential, etc.

(The beta measurement is a composite of metrics from three months out to five years.)

EFA: Image
2/ EEM: Image
3/ DBC: Image
Read 9 tweets
Darren 🥚 Profile picture
29 Dec 20
1/ Bubbles for Fama (Greenwood, Shleifer, You)

"A sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward, but such sharp price increases predict a substantially heightened probability of a crash."

papers.ssrn.com/sol3/papers.cf… Image
2/ "On average, industries that experienced a price run-up continue to go up by 7% over the next year (5% net of market) and 0% over the next two years (0% net of market).

"An *industry* run-up is also associated with poor average subsequent *market* returns." Image
3/ "If we study only cases in which a crash occurs, the average return experienced between the initial run-up and subsequent peak is 30% (107% for precious metal stocks in the late 1970s). It is difficult to bet against a bubble, even if one has correctly identified it ex-ante." Image
Read 14 tweets
Darren 🥚 Profile picture
27 Dec 20
One of my favorite quotes from this eye-opening book:

"July 30, 1931: Newspapers are full of articles telling people to buy stocks, real estate at bargain prices. They say times are sure to get better... The trouble is that nobody has any money." (p. xii)
mrzepczynski.blogspot.com/2020/12/one-ma…
"Reading his views in real time is fascinating. He has hopes for Hoover after 1929 and concerns with the Roosevelt policies. He writes about bank failures, the inability to collect on bills from those with nothing to give, fortunes made and lost in a wild stock market...
Read 4 tweets

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