Are Speculators Informed?

The positions of hedgers and speculators are correlated with returns in a number of futures markets, but there is much debate as to the interpretation of such a relationship—whether it reflects private information, liquidity, or trend-chasing behavior. This paper studies the relationship between positioning of hedgers and speculators and returns in equity futures markets. I propose a novel test of the private information hypothesis: analyzing the effect of public announcements about futures positions on prices, using high-frequency data in short windows around the announcements. I find that the revelation of speculators\u27 positions is informative to investors more broadly, supporting the private information view

Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads

Wide and volatile interest rate spreads in the 2007-2009 financial crisis could represent concerns over asset liquidity or issuer solvency. To precisely identify the contribution of these two effects on sovereign bond and interbank spreads, I propose a model-free measure of euro-area market liquidity that captures all liquidity information impounded in bond yields. I find that credit and liquidity are independently important in risk spreads; the role of liquidity dominates in the interbank market, while its relative importance in sovereign bond spreads varies substantially by country. I exploit variation in sovereign bond returns over countries, maturities and time to directly test liquidity risk pricing; the possibility that liquidity could be negatively correlated with marginal utility. I find that liquidity risk premia are large and significant, evidencing the importance of a liquidity channel missed by measures that capture only instantaneous liquidity

Intraday trading in the overnight federal funds market

Transaction-level data for the federal funds market provide a rare look at the intraday behavior of trade volume and prices. An analysis of the data reveals that trade volume exhibits large swings over the course of the day while prices remain fairly stable, with rate volatility rising sharply only in the late afternoon. The analysis underscores the important role played by institutional deadlines-most notably, the close of trading-in driving movements in this market.Federal funds market (United States)

Using Individual Stocks or Portfolios in Tests of Factor Models

We examine the asymptotic efficiency of using individual stocks or portfolios as base assets to test cross-sectional asset pricing models. The literature has argued that creating portfolios reduces idiosyncratic volatility and enables factor loadings, and consequently risk premia, to be estimated more precisely. We show analytically and find empirically that the more efficient estimates of betas from creating portfolios do not lead to lower asymptotic variances of factor risk premia estimates. Instead, the standard errors of factor risk premia estimates are determined by the cross-sectional distribution of factor loadings and residual risk. Creating portfolios shrinks the dispersion of betas and leads to higher asymptotic standard errors of risk premia estimates

Notes on Bonds: Illiquidity Feedback During the Financial Crisis

This paper traces the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis; bonds fell more than six percent below more-liquid but otherwise identical notes. Using high-resolution data on market quality and trader identities and characteristics, we find that the discounts amplify through feedback loops, where cheaper, less-liquid securities flow to investors with longer horizons, thereby increasing their illiquidity and thus their appeal to these investors. The effect of the widened liquidity gap on transactions costs is further amplified by a surge in the price liquidity providers charged for access to their balance sheets in the crisis

Range-wide sources of variation in reproductive rates of northern spotted owls

We conducted a range-wide investigation of the dynamics of site-level reproductive rate of northern spotted owls using survey data from 11 study areas across the subspecies geographic range collected during 1993–2018. Our analytical approach accounted for imperfect detection of owl pairs and misclassification of successful reproduction (i.e., at least one young fledged) and contributed further insights into northern spotted owl population ecology and dynamics. Both nondetection and state misclassification were important, especially because factors affecting these sources of error also affected focal ecological parameters. Annual probabilities of site occupancy were greatest at sites with successful reproduction in the previous year and lowest for sites not occupied by a pair in the previous year. Site-specific occupancy transition probabilities declined over time and were negatively affected by barred owl presence. Overall, the site-specific probability of successful reproduction showed substantial year-to-year fluctuations and was similar for occupied sites that did or did not experience successful reproduction the previous year. Site-specific probabilities for successful reproduction were very small for sites that were unoccupied the previous year. Barred owl presence negatively affected the probability of successful reproduction by northern spotted owls in Washington and California, as predicted, but the effect in Oregon was mixed. The proportions of sites occupied by northern spotted owl pairs showed steep, near-monotonic declines over the study period, with all study areas showing the lowest observed levels of occupancy to date. If trends continue it is likely that northern spotted owls will become extirpated throughout large portions of their range in the coming decades

A principal component meta-analysis on multiple anthropometric traits identifies novel loci for body shape

Large consortia have revealed hundreds of genetic loci associated with anthropometric traits, one trait at a time. We examined whether genetic variants affect body shape as a composite phenotype that is represented by a combination of anthropometric traits. We developed an approach that calculates averaged PCs (AvPCs) representing body shape derived from six anthropometric traits (body mass index, height, weight, waist and hip circumference, waist-to-hip ratio). The first four AvPCs explain >99% of the variability, are heritable, and associate with cardiometabolic outcomes. We performed genome-wide association analyses for each body shape composite phenotype across 65 studies and meta-analysed summary statistics. We identify six novel loci: LEMD2 and CD47 for AvPC1, RPS6KA5/C14orf159 and GANAB for AvPC3, and ARL15 and ANP32 for AvPC4. Our findings highlight the value of using multiple traits to define complex phenotypes for discovery, which are not captured by single-trait analyses, and may shed light onto new pathways

New genetic loci link adipose and insulin biology to body fat distribution.

Body fat distribution is a heritable trait and a well-established predictor of adverse metabolic outcomes, independent of overall adiposity. To increase our understanding of the genetic basis of body fat distribution and its molecular links to cardiometabolic traits, here we conduct genome-wide association meta-analyses of traits related to waist and hip circumferences in up to 224,459 individuals. We identify 49 loci (33 new) associated with waist-to-hip ratio adjusted for body mass index (BMI), and an additional 19 loci newly associated with related waist and hip circumference measures (P < 5 × 10(-8)). In total, 20 of the 49 waist-to-hip ratio adjusted for BMI loci show significant sexual dimorphism, 19 of which display a stronger effect in women. The identified loci were enriched for genes expressed in adipose tissue and for putative regulatory elements in adipocytes. Pathway analyses implicated adipogenesis, angiogenesis, transcriptional regulation and insulin resistance as processes affecting fat distribution, providing insight into potential pathophysiological mechanisms