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作者：Kaur, Supreet; Kremer, Michael; Mullainathan, Sendhil
作者单位：University of California System; University of California Berkeley; University of Chicago
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作者：Beason, Tyler; Schreindorfer, David
作者单位：Virginia Polytechnic Institute & State University; Arizona State University; Arizona State University-Tempe
摘要：We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below -10%, but returns below -30% matter very little. In contrast, prominent asset pricing models based on habits, long-run risks, rare disasters, undiversifiable idiosyncratic risk, and constrained intermediaries attribute the premium predominantly to returns above -10% or to the extreme left tail...
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作者：Cole, Harold; Neuhann, Daniel; Ordonez, Guillermo
作者单位：University of Pennsylvania; University of Texas System; University of Texas Austin
摘要：Using bid-level data from discriminatory auctions for Mexican government bonds, we demonstrate that asymmetric information about default risk is a key friction in sovereign bond markets. We document that large bidders achieve higher bid-acceptance rates than other bidders despite paying no more for executed bids. We then propose a new model of primary markets in which investors may differ in wealth, risk aversion, market power, and information. Only asymmetric information can qualitatively acc...
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作者：Yoder, Nathan
作者单位：University System of Georgia; University of Georgia
摘要：A principal (e.g., the US government) contracts with a researcher with unknown costs (e.g., a vaccine developer) to conduct a costly experiment. This contracting problem has a novel feature that captures the difference between the form of an experiment and the strength of its results: researchers face a problem of information design rather than optimal effort. Using a novel comparative static for Bayesian persuasion settings, I characterize the optimal contract and show how experimentation is ...
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作者：Christensen, Peter; Timmins, Christopher
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Duke University
摘要：Growing evidence indicates that neighborhoods affect human capital accumulation, raising concern that the exclusionary effects of housing discrimination could contribute to persistent inequality in the United States. Using data from HUD's most recent Housing Discrimination Study and microlevel data on neighborhood attributes in 28 US cities, we find that minorities are steered toward neighborhoods with less economic opportunity and greater exposures to crime and pollution. Holding preferences ...
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作者：Prendergast, Canice
作者单位：University of Chicago
摘要：Feeding America allocates donated food to over 200 food banks. In 2005, it transitioned from a queueing mechanism to one where food banks use a specialized currency to bid for food. Food banks chose very different food than they received before. Small food banks acquired 72% more pounds per client than large food banks at little nutritional cost. This reallocation of food is estimated to have increased its value by 21%, or $115 million per annum. Food banks also sourced food much closer, savin...
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作者：Plagborg-Moller, Mikkel; Wolf, Christian K.
作者单位：Princeton University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the importance of that shock for macroeconomic fluctuations. We show that, in a general moving-average model with external instruments, variance decompositions for the instrumented shock are interval-identified, with informative bounds. Various additional restrict...
