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作者：Chernov, Mikhail; Creal, Drew
作者单位：University of California System; University of California Los Angeles
摘要：The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect, the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps resolve the puzzle...
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作者：Henderson, Brian J.; Pearson, Neil D.; Wang, Li
作者单位：George Washington University; University of Illinois System; University of Illinois Urbana-Champaign; University System of Ohio; Case Western Reserve University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We use retail structured equity product (SEP) issuances to construct a new sentiment measure for large capitalization stocks. The SEP sentiment measure predicts negative abnormal returns on the SEP reference stocks based on a variety of factor models, and also predicts returns in Fama-MacBeth regressions that include a wide range of covariates. Consistent with our interpretation that SEP issuances reflect investor sentiment, aggregate SEP issuances are highly correlated with the Baker-Wurgler ...
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作者：Chen, Kaiji; Gao, Haoyu; Higgins, Patrick; Waggoner, Daniel F.; Zha, Tao
作者单位：Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Renmin University of China; National Bureau of Economic Research
摘要：We study how a fiscal expansion via infrastructure investment influences the dynamic impacts of monetary stimulus on credit allocation. We develop a two-stage approach and apply it to the Chinese economy with a confidential loan-level data set that covers all sectors. We find that infrastructure investment significantly weakened monetary policy's transmission to credit allocated to private firms, while reinforcing the monetary effects on loans to state-owned firms. This fiscal-monetary interac...
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作者：Van Nieuwerburgh, Stijn
作者单位：Center for Economic & Policy Research (CEPR); Columbia University; National Bureau of Economic Research
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作者：Gathergood, John; Hirshleifer, David; Leake, David; Sakaguchi, Hiroaki; Stewart, Neil
作者单位：University of Nottingham; University of Warwick; University of Warwick; University of Nottingham
摘要：We provide the first tests to distinguish whether individual investors equally balance their overall portfolios (naive portfolio diversification, NPD) or, in contrast, equally balance the values of same-day purchases of multiple assets (naive buying diversification, NBD). We find NBD in purchases of multiple stocks, and in mixed purchases of individual stocks and funds. In contrast, there is little evidence of NPD. Evidence suggests that NBD arises due to stock picking behavior and neglect of ...
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作者：Griffin, John M.; Kruger, Samuel; Mahajan, Prateek
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：In the $793 billion Paycheck Protection Program, we examine metrics related to potential misreporting including nonregistered businesses, multiple businesses at residential addresses, abnormally high implied compensation per employee, and large inconsistencies with jobs reported in another government program. These measures consistently concentrate in certain FinTech lenders and are cross-verified by seven additional measures. FinTech market share increased significantly over time, and suspici...
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作者：Indarte, Sasha
作者单位：University of Pennsylvania; University of Pennsylvania
摘要：This paper studies the role of moral hazard and liquidity in driving household bankruptcy. First, I estimate that increases in potential debt forgiveness have a positive, but small, effect on filing using a regression kink design. Second, exploiting quasi-experimental variation in mortgage payment reductions, I estimate that filing is five times more responsive to cash-on-hand than relief generosity. Using a sufficient statistic, I show the estimates imply large consumption-smoothing benefits ...
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作者：Hsu, Po-Hsuan; Li, Kai; Tsou, Chi-Yang
作者单位：Tsinghua University; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); University of Manchester; Alliance Manchester Business School; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University
摘要：This paper studies the asset pricing implications of industrial pollution. A long-short portfolio constructed from firms with high versus low toxic emission intensity within an industry generates an average annual return of 4.42%, which remains significant after controlling for risk factors. This pollution premium cannot be explained by existing systematic risks, investor preferences, market sentiment, political connections, or corporate governance. We propose and model a new systematic risk r...
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作者：Jiang, Jingwen; Kelly, Bryan; Xiu, Dacheng
作者单位：University of Chicago; Yale University; Yale University
摘要：We reconsider trend-based predictability by employing flexible learning methods to identify price patterns that are highly predictive of returns, as opposed to testing predefined patterns like momentum or reversal. Our predictor data are stock-level price charts, allowing us to extract the most predictive price patterns using machine learning image analysis techniques. These patterns differ significantly from commonly analyzed trend signals, yield more accurate return predictions, enable more ...
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作者：Jensen, Theis Ingerslev; Kelly, Bryan; Pedersen, Lasse Heje
作者单位：Copenhagen Business School; Yale University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Copenhagen Business School
摘要：Several papers argue that financial economics faces a replication crisis because the majority of studies cannot be replicated or are the result of multiple testing of too many factors. We develop and estimate a Bayesian model of factor replication that leads to different conclusions. The majority of asset pricing factors (i) can be replicated; (ii) can be clustered into 13 themes, the majority of which are significant parts of the tangency portfolio; (iii) work out-of-sample in a new large dat...
