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作者：Barone, Guglielmo; Schivardi, Fabiano; Sette, Enrico
作者单位：University of Bologna; Luiss Guido Carli University; European Central Bank; Bank of Italy
摘要：We study the effects on corporate loan rates of an unexpected change in the Italian legislation that forbade interlocking directorates between banks. Exploiting multiple firm-bank relationships to fully account for all unobserved heterogeneity, we find that prohibiting interlocks decreased the interest rates of previously interlocked banks by 14 basis points relative to other banks. The effect is stronger for high-quality firms and for loans extended by interlocked banks with a large joint mar...
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作者：Andreani, Martina; Ellahie, Atif; Shivakumar, Lakshmanan
作者单位：INSEAD Business School; Utah System of Higher Education; University of Utah; University of London; London Business School
摘要：Focusing on the one-off tax gains and losses (i.e., windfalls) associated with the 2017 Tax Cuts and Jobs Act, we reexamine whether CEOs are rewarded for luck. We find that weakly monitored CEOs are compensated for the windfall tax gains but not penalized for the corresponding tax losses. No such pattern is observed for CEOs facing greater pay scrutiny. The pay for windfalls cannot be explained as rewards for CEOs' efforts, talents, political activities, or as firms sharing their tax gains wit...
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作者：Krishnamurthy, Arvind; Muir, Tyler
作者单位：Stanford University; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We analyze the behavior of credit and output in financial crises using data on credit spreads and credit growth. Crises are marked by a sharp rise in credit spreads, signaling sudden shifts in expectations. The severity of a crisis can be predicted by the extent of credit losses (spread increases) and financial sector fragility (precrisis credit growth). This interaction is a key feature of crises. Postcrisis recessions are typically severe and prolonged. Notably, precrisis spreads tend to dro...
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作者：Choukhmane, Taha; De Silva, Tim
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Stanford University
摘要：We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options. Patterns of active choice in response to different default funds imply that, absent participation frictions, 94% of investors prefer holding stocks, with an equity share of retirement wealth declining with age-patterns markedly different from observed allocations. We use this quasi-experiment to estimate a life-cycle model and find a relative risk aversion of 2.5, elasticity of in...
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作者：Gropper, Michael J.; Kuhnen, Camelia M.
作者单位：University of Colorado System; University of Colorado Boulder; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research
摘要：Using administrative data for 63,000 individuals across 2,500,000 person-month observations, we find that wealthier individuals have better life insurance coverage, controlling for the value of the asset insured, namely, the consumption needs of dependents. This positive wealth-insurance correlation, which is surprising given the prevailing view that wealth substitutes for insurance, persists after allowing for wealth-related differences in risk or bequest preferences, pricing, background risk...
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作者：Azarmsa, Ehsan; Shapiro, Joel
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Oxford
摘要：We present a model of competition between environmental, social, and governance (ESG) raters who acquire information about multiple unrelated categories and sell ratings. Raters specializing in different categories maximize the amount of information transmitted and surplus, and can be an equilibrium outcome. When investors place a high value on ESG performance across multiple categories, the unique equilibrium is for the raters to generalize-splitting their effort among the categories, resulti...
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作者：Calvet, Laurent E.; Campbell, John Y.; Gomes, Francisco; Sodini, Paolo
作者单位：Universite Cote d'Azur; Centre for Economic Policy Research - UK; Harvard University; National Bureau of Economic Research; University of London; London Business School; Stockholm School of Economics
摘要：This paper estimates the cross-sectional distribution of Epstein-Zin preferences using the wealth and risky portfolio shares of a large panel of Swedish households. We find modestly heterogeneous risk aversion (standard deviation 0.97, median 7.50) and a meaningfully heterogeneous and right-skewed time preference rate (TPR; standard deviation 7.31%, median 4.08%) and elasticity of intertemporal substitution (EIS; standard deviation 3.17, median 0.70). Risk aversion and the EIS are only very we...
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作者：Binfare, Matteo; Zimmerschied, Kyle E.
作者单位：University of Missouri System; University of Missouri Columbia; University of Arkansas System; University of Arkansas Fayetteville
摘要：We study the asset allocation and investment performance of U.S. private foundations that support the charitable sector. Large foundations generated positive risk-adjusted returns before 2008, driven by early access to private equity and venture capital funds, but have underperformed since. The median foundation underperforms by more than 100 bps. Foundations with concentrated stock holdings achieve higher returns but assume more risk. Due to the constraints imposed by the 5% minimum spending ...
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作者：Piazzesi, Monika
作者单位：Stanford University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：This paper documents new stylized facts about returns and cashflow growth rates on stocks and housing over decade-long holding periods. While cashflow growth rates on the two assets comove positively, their returns comove negatively until the Global Financial Crisis and positively thereafter. These facts present a puzzle for representative-agent models that imply positive return comovement for assets with similar cashflows. I consider a heterogeneous-agent model with segmented stock and housin...
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作者：Bryzgalova, Svetlana; Pelger, Markus; Zhu, Jason
作者单位：University of London; London Business School; Stanford University
摘要：We build cross-sections of asset returns for a given set of characteristics, that is, managed portfolios serving as test assets, as well as building blocks for tradable risk factors. We use decision trees to endogenously group similar stocks together by selecting optimal portfolio splits to span the stochastic discount factor, projected on individual stocks. Our portfolios are interpretable and well diversified, reflecting many characteristics and their interactions. Compared to combinations o...
