期刊-NBER美国国民经济研究局-winter2005_88页_860kb

NBER Reporter Summary - Winter 2004/5

Core Content

This issue of the NBER Reporter focuses on the Asset Pricing Program, highlighting the growing intersection between market microstructure and asset pricing theory. It explores the role of liquidity, trading volume, and short sale constraints in influencing stock and bond prices. The article also discusses the concept of convenience yield and its implications for financial markets, drawing comparisons to the monetary market.

Main Topics and Key Findings

1. Liquidity, Trading, and Asset Prices

• Convenience Yield: The idea that trading generates a convenience yield, similar to how physical money has a convenience yield, is introduced. This yield is linked to the desire to trade on information, which makes certain assets more valuable despite being overpriced.
• 3Com and Palm Case Study:
  • 3Com sold 5% of Palm in an IPO, retaining 95% of shares.
  • Investors could obtain 150 Palm shares by buying 100 3Com shares, which were cheaper than buying Palm directly.
  • This led to a negative "stub value" for 3Com shares, indicating a mispricing.
  • The overpricing was not due to arbitrage opportunities, but due to irrational or information-based trading.
• Volatility and Volume:
  • High trading volume and price volatility are correlated with overpricing.
  • The convenience yield is higher when there is more information flow and fewer substitutes for trading.
  • The fall in 3Com stock at the Palm IPO suggests that traders coordinated to shift their focus from 3Com to Palm, reducing the convenience yield for 3Com.

2. Short Sale Constraints and Overpricing

• Short Sale Limitations:
  • There are limits to arbitrage due to short sale constraints, which affect the ability of investors to short stocks.
  • High short costs are associated with lower subsequent returns, suggesting that shorting is a key mechanism in price adjustment.
• Put-Call Parity Violations:
  • Short sale constraints lead to violations of put-call parity.
  • These violations are not isolated but are related to the cost of shorting and can forecast low future returns.
• Empirical Evidence:
  • Owen Lamont and Charles Jones used historical data from the 1920s to show that high short-cost stocks had lower returns.
  • Lamont and Jeremy C. Stein showed that short interest declines as markets rise, suggesting that negative opinions are "wiped out" during market upturns.

3. Liquidity Premia in Financial Markets

• Liquidity Premia in Bonds:
  • Liquidity premia are easier to observe in bonds than in stocks, due to known payoffs.
  • U.S. Treasury bonds and Refcorp bonds are compared, with the latter being fully collateralized and having no default risk, but still showing liquidity premia.
  • These premia range from 10 to 16 basis points and vary significantly over time.
• Liquidity Premia in Stocks:
  • Lubos Pastor and Robert F. Stambaugh found that stocks with higher liquidity betas (sensitivity to market liquidity) have higher average returns.
  • The liquidity beta premium accounts for a large portion of the return differences across portfolios.
  • Viral V. Acharya and Lasse H. Pedersen also found that illiquidity is correlated with higher returns, but their measure of illiquidity is highly correlated with size.
  • They adjusted for size and found that liquidity betas and market returns are the most important factors explaining the return premium.

4. Order Flow and Price Impact

• Price Impact:
  • The price impact of trades is a key indicator of illiquidity or convenience yield.
  • Order flow is correlated with exchange rate movements, suggesting that information flow affects prices.
• Empirical Evidence:
  • Martin D. D. Evans and Richard K. Lyons show that exchange rates move in response to order flow.
  • Their model suggests that order flow causes price changes, not just the other way around.
  • Similar findings are observed in Treasury bond markets, where trade-by-trade data is used to measure price impact.

Key Concepts and Theoretical Implications

• Liquidity Premia:
  • Financial assets with low liquidity may command a premium due to their special usefulness in allowing information-based trading.
  • This is not just about transactions costs, but also about market structure and trading behavior.
• Convenience Yield:
  • The convenience yield is the benefit of holding an asset that allows traders to act on information.
  • It is higher when volume is high, volatility is high, and substitutes are scarce.
• Market Microstructure:
  • The microstructure of financial markets plays a crucial role in price formation and liquidity dynamics.
  • Asymmetric information and short sale constraints are important factors in explaining price anomalies and market inefficiencies.

Summary of Research Contributions

• Empirical Studies:
  • Lamont and Thaler (3Com and Palm case) show how short sale constraints and information flow can lead to mispricing.
  • Lamont and Stein show that short interest is inversely related to market sentiment.
  • Ofek, Richardson, and Whitelaw find put-call parity violations linked to shorting costs.
• Theoretical Models:
  • Pastor and Stambaugh focus on liquidity betas and market liquidity.
  • Acharya and Pedersen use size-adjusted liquidity measures to explain return differences.
  • Evans and Lyons provide microstructural models that link order flow to price changes.

Conclusion

This issue highlights the importance of liquidity and market microstructure in asset pricing. It suggests that price anomalies such as overpricing, put-call parity violations, and negative stub values are not random but are driven by information-based trading, short sale constraints, and liquidity premia. The convenience yield concept bridges the gap between macroeconomic and microstructural views of asset pricing, offering a more comprehensive understanding of how market dynamics influence security valuations.