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.

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。