團隊

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.

積極進行研發的企業，會在國際股票市場上獲得更高的股票收益，這凸顯了無形投資在國際資產定價中的作用。此研發效應在增長期權風險更有可能作定價的國家較強，但與市場情緒和套利限制所代表的國家特徵無關。此外，我們發現研發強度與未來經營表現較佳、回報波動性和違約可能性息息相關。我們的證據顯示，研發強度與股票收益之間的橫向關係更可能歸因於風險溢價，而非錯誤定價。