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作者：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Yale University; Centre for Economic Policy Research - UK
摘要：We analyze optimal monetary policy and its implications for asset prices when aggregate demand has inertia. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (above their steady-state levels consistent with current potential output). Overshooting leads to a temporary disconnect between the performance of financial markets and the real economy, but accelerates the recovery. When there is a lower bound constraint on the discount rate, good macroecono...
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作者：Fedyk, Anastassia
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：This paper estimates the effect of news positioning on the speed of price discovery, using exogenous variation in prominent (front-page) positioning of news articles on the Bloomberg terminal. Front-page articles see 240% higher trading volume and 176% larger absolute excess returns during the first 10 minutes after publication than equally important non-front-page articles. Overall, the information in front-page articles is fully incorporated into prices within an hour of publication. The res...
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作者：Chang, Huifeng; d'Avernas, Adrien; Eisfeldt, Andrea L.
作者单位：Fudan University; Stockholm School of Economics; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, asset volatility is an unambiguously positive signal for investment, while equity volatility sends a mixed signal: Elevated volatility raises the option value of equity and increases investment for financially sound firms, but exacerbates debt overhang and decreases investment for firms close to default. Our...
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作者：Kremer, Ilan; Schreiber, Amnon; Skrzypacz, Andrzej
作者单位：Hebrew University of Jerusalem; University of Warwick; Bar Ilan University; Hebrew University of Jerusalem
摘要：We examine a dynamic disclosure model in which the value of a firm follows a random walk. Every period, with some probability, the manager learns the firm's value and decides whether to disclose it. The manager maximizes the market perception of the firm's value, which is based on disclosed information. In equilibrium, the manager follows a threshold strategy with thresholds below current prices. He sometimes reveals pessimistic information that reduces the market perception of the firm's valu...
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作者：Che, Yeon-Koo; Choe, Chongwoo; Rhee, Keeyoung
作者单位：Columbia University; Monash University; Sungkyunkwan University (SKKU)
摘要：We develop a model of bailout stigma in which accepting a bailout signals a firm's balance-sheet weakness and reduces its funding prospects. To avoid stigma, high-quality firms withdraw from subsequent financing after receiving bailouts or refuse bailouts altogether to send a favorable signal. The former leads to a short-lived stimulation followed by a market freeze even worse than if there were no bailout. The latter revives the funding market, albeit with delay, to the level achievable witho...
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作者：Malmendier, Ulrike; Wellsjo, Alexandra Steiny
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California San Diego
摘要：We show that past inflation experiences strongly predict homeownership within and across countries. First, we collect novel survey data, which reveal inflation protection to be a key motivation for homeownership, especially after high inflation experiences. Second, using household data from 22 European countries, we find that higher exposure to historical inflation predicts higher homeownership rates. We estimate similar associations among immigrants to the United States who experienced differ...
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作者：Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David
作者单位：European Central Bank; European Central Bank
摘要：This paper shows that the liquidation value of collateral depends on the interdependency between borrower and collateral risk. Using transaction-level data on short-term repurchase agreements (repo), we show that borrowers pay a premium of 1.1 to 2.6 basis points when their default risk is positively correlated with the risk of the collateral that they pledge. Moreover, we show that borrowers internalize this premium when making their collateral choices. Loan-level credit registry data suggest...
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作者：Schoar, Antoinette
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作者：Bogousslavsky, Vincent; Fos, Vyacheslav; Muravyev, Dmitriy
作者单位：Boston College; Michigan State University; Michigan State University's Broad College of Business
摘要：We train a machine learning method on a class of informed trades to develop a new measure of informed trading, informed trading intensity (ITI). ITI increases before earnings, mergers and acquisitions, and news announcements, and has implications for return reversal and asset pricing. ITI is effective because it captures nonlinearities and interactions between informed trading, volume, and volatility. This data-driven approach can shed light on the economics of informed trading, including impa...
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作者：Mccartney, W. ben; Orellana-li, John; Zhang, Calvin
作者单位：University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Virginia
摘要：Political identity and partisanship are salient features of today's society. Using deeds records and voter rolls, we show that current residents are more likely to sell their homes when opposite-party neighbors move in nearby than when unaffiliated or same-party neighbors do. This is especially true when the new neighbors are politically active, consistent with an animosity between parties mechanism. We conclude that affective polarization is not limited to purely political settings and affect...
