团队

Using real-time data, we show that currency excess return predictability is in part due to mispricing. First, the risk-adjusted profitability of systematic trading strategies decreases after dissemination of the underlying academic research, suggesting that market participants learn about mispricing from publications. Moreover, the decline is greater for strategies with larger insample profits and lower arbitrage costs. Second, the effect of comprehensive risk adjustments on trading profits is limited, and signal ranks and alphas decay quickly. The finding that analysts’ forecasts are inconsistent with currency predictors implies that investors’ trading contributes to mispricing and suggests biased expectations as a possible explanation.

Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore imperative to make rigorous statistical inference on correlation matrix equality between the two groups of countries. However, if the traditional vector-valued approach is undertaken, such inference is either infeasible due to limited number of countries comparing to the relatively abundant assets, or invalid due to the violations of temporal independence assumption. This highlights the necessity of treating the observations as matrix-valued rather than vector-valued. With matrix-valued observations, our problem of interest can be formulated as statistical inference on covariance structures under sub-Gaussian distributions, i.e., testing non-correlation and correlation equality, as well as the corresponding support estimations. We develop procedures that are asymptotically optimal under some regularity conditions. Simulation results demonstrate the computational and statistical advantages of our procedures over certain existing state-of-the-art methods for both normal and non-normal distributions. Application of our procedures to stock market data reveals interesting patterns and validates several economic propositions via rigorous statistical testing.

积极进行研发的企业，会在国际股票市场上获得更高的股票收益，这凸显了无形投资在国际资产定价中的作用。此研发效应在增长期权风险更有可能作定价的国家较强，但与市场情绪和套利限制所代表的国家特征无关。此外，我们发现研发强度与未来经营表现较佳、回报波动性和违约可能性息息相关。我们的证据显示，研发强度与股票收益之间的横向关系更可能归因于风险溢价，而非错误定价。