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作者：Parker, Jonathan A.; Schoar, Antoinette; Sun, Yang
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Brandeis University; Brandeis University
摘要：Target date funds (TDFs) are designed to provide unsophisticated or inattentive investors with age-appropriate exposures to different asset classes like stocks and bonds. The rise of TDFs has moved a significant share of retirement investors into macrocontrarian strategies that sell stocks after relatively good stock market performance. This rebalancing drives contrarian flows across equity mutual funds held by TDFs, stabilizing their funding, and reduces stock returns for stocks disproportion...
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作者：Detzel, Andrew; Novy-Marx, Robert; Velikov, Mihail
作者单位：University of Denver; University of Rochester; University of Rochester
摘要：Failing to account for transaction costs materially impacts inferences drawn when evaluating asset pricing models, biasing tests in favor of those employing high-cost factors. Ignoring transaction costs, Hou, Xue, and Zhang (2015, Review of Financial Studies, 28, 650-705) q-factor model and Barillas and Shanken (2018, The Journal of Finance, 73, 715-754) six-factor models have high maximum squared Sharpe ratios and small alphas across 205 anomalies. They do not, however, come close to spanning...
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作者：Leitner, Yaron; Williams, Basil
作者单位：New York University
摘要：Should regulators reveal the models they use to stress-test banks? In our setting, revealing leads to gaming, but secrecy can induce banks to underinvest in socially desirable assets for fear of failing the test. We show that although the regulator can solve this underinvestment problem by making the test easier, some disclosure may still be optimal (e.g., if banks have high appetite for risk or if capital shortfalls are not very costly). Cutoff rules are optimal within monotone disclosure rul...
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作者：Griffin, John M.; Hirschey, Nicholas; Kruger, Samuel
作者单位：Universidade Nova de Lisboa
摘要：Municipal bonds exhibit considerable retail pricing variation, even for same-size trades of the same bond on the same day, and even from the same dealer. Markups vary widely across dealers. Trading strongly clusters on eighth price increments, and clustered trades exhibit higher markups. Yields are often lowered to just above salient numbers. Machine learning estimates exploiting the richness of the data show that dealers that use strategic pricing have systematically higher markups. Recent Mu...
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作者：Kopytov, Alexandr
作者单位：University of Rochester
摘要：I present a dynamic general equilibrium model in which commonality in bank assets endogenously changes over the business cycle and shapes systemic risk. To reduce individual risks, banks diversify, increasing portfolio overlap and hence the similarity of their exposures to fundamental shocks. Systemic financial crises burst at the end of credit booms when productive investment opportunities are exhausted, banks' diversification incentives are strong, and their portfolios are highly correlated....
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作者：Ring, Marius a. k.
作者单位：University of Texas System; University of Texas Austin
摘要：Using the dispersion in stock returns during the financial crisis as a source of exogenous variation in the wealth of Norwegian entrepreneurs who held listed stocks, I show that adverse shocks to the wealth of business owners had large effects on their firms' financing, employment, and investment. The effects on investment and employment are driven by young firms, that obtain differentially less bank financing following an owner wealth shock. The effects on employment operate primarily through...
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作者：Fleckenstein, Matthias; Longstaff, Francisa A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders. The estimated small business equity premium is 10.74%. The standard deviation of small business equity returns is 56.37%. We validate the methodology by applying it to investment-grade corporate bonds and...
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作者：Chernov, Mikhail; Dahlquist, Magnus; Lochstoer, Lars
作者单位：Stockholm School of Economics; Stockholm School of Economics
摘要：The currency market features a small cross-section, and conditional expected returns can be characterized by few signals: interest differential, trend, and mean reversion. We exploit these properties to construct the ex ante mean-variance efficient portfolio of individual currencies. The portfolio is updated in real time and prices all prominent currency trading strategies, conditionally and unconditionally. The fraction of risk in these assets that does not affect their risk premiums is at le...
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作者：Fonseca, Julia
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Governments regulate debt collectors to protect consumers from predatory practices. These restrictions may lower repayment, reducing the supply of mainstream credit and increasing demand for alternative credit. Using individual credit record data and a difference-in-differences design comparing consumers in states that tighten restrictions on debt collection to those in neighboring states that do not, I find that restricting collections reduces access to mainstream credit and increases payday ...
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作者：Davila, Eduardo
作者单位：Yale University
摘要：This paper characterizes the optimal transaction tax in an equilibrium model of financial markets. If investors hold heterogeneous beliefs unrelated to their fundamental trading motives and the planner calculates welfare using any single belief, a positive tax is optimal, regardless of the magnitude of fundamental trading. Under some conditions, the optimal tax is independent of the planner's belief. The optimal tax can be implemented by adjusting its value until total volume equals fundamenta...
