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作者：Greenwald, Daniel l.; Krainer, John; Paul, Pascal
作者单位：New York University; Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Aggregate U.S. bank lending to firms expanded following the outbreak of COVID-19. Using loan-level supervisory data, we show that this expansion was driven by draws on credit lines by large firms. Banks that experienced larger credit line drawdowns restricted term lending more, crowding out credit to smaller firms, which reacted by reducing investment. A structural model calibrated to match our empirical results shows that while credit lines increase total bank credit in bad times, they redist...
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作者：Grullon, Gustavo; Ikenberry, David L.
作者单位：Rice University
摘要：Theory posits that when managers anticipate excess capacity, average q becomes a biased estimator of marginal q as the potential for underutilizing new capital reduces the marginal benefit of investing. After correcting for this source of measurement error, the explanatory power of Tobin's q substantially improves in time-series and cross-sectional regressions as well as in out-of-sample tests. These findings, together with a secular erosion in capacity utilization, help explain why corporate ...
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作者：Kruttli, Mathias s.; Tran, Brigitte roth; Watugala, Sumudu w.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We empirically analyze firm-level uncertainty generated from extreme weather events, guided by a theoretical framework. Stock options of firms with establishments in a hurricane's (forecast) landfall region exhibit large implied volatility increases, reflecting significant uncertainty (before) after impact. Volatility risk premium dynamics reveal that investors underestimate such uncertainty. This underreaction diminishes for hurricanes after Sandy, a salient event that struck the U.S. financi...
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作者：Dittmar, Robert F.; Hsu, Alex; Roussellet, Guillaume; Simasek, Peter
作者单位：Rice University; University System of Georgia; Georgia Institute of Technology; McGill University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We examine the relative pricing of nominal Treasury bonds and Treasury inflation-protected securities in the presence of U.S. default risk. Hedged breakeven inflation is significantly positively related to U.S. default risk, driven by correlation between shocks to default risk and both shocks to inflation swap premia and Treasury yields. To understand the mechanisms through which default risk is related to inflation swaps and sovereign yields, we estimate an affine term structure model to capt...
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作者：Pikulina, Elena s.; Ferreira, Daniel
作者单位：University of British Columbia; University of London; Centre for Economic Policy Research - UK; London School Economics & Political Science; European Corporate Governance Institute
摘要：We introduce the concept of subtle discrimination-biased acts that cannot be objectively ascertained as discriminatory. When candidates compete for promotions by investing in skills, firms' subtle biases induce discriminated candidates to overinvest when promotions are low-stakes (to distinguish themselves from favored candidates) but underinvest in high-stakes settings (anticipating low promotion probabilities). This asymmetry implies that subtle discrimination raises profits in low-productiv...
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作者：Betermier, Sebastien; Calvet, Laurent E.; Knupfer, Samuli; Kvaerner, Jens Soerlie
作者单位：McGill University; SKEMA Business School; Universite Cote d'Azur; Centre for Economic Policy Research - UK; Aalto University; BI Norwegian Business School; Research Institute of Industrial Economics (IFN); Tilburg University
摘要：This paper develops an empirical methodology for extracting pricing factors from investor portfolio data. We apply this approach to the stockholdings of Norwegian individual investors from 1997 to 2017. A two-factor model, featuring the market portfolio and a long-short portfolio constructed from the holdings of investors sorted by age or wealth, explains both the common variation in portfolio holdings and the cross section of stock returns. Portfolio tilts toward the long-short investor facto...
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作者：Green, Daniel; Roth, Benjamin n.
作者单位：Harvard University
摘要：Portfolio allocation decisions increasingly incorporate social values. We develop a tractable framework to study how competition between investors to own socially valuable assets affects social welfare. Relative to the most common social-investing strategies, we identify alternative strategies that result in higher impact and higher financial returns. We identify strategies for investors to have impact when impact is difficult to measure. From the firm's perspective, increasing profitability c...
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作者：Lagaras, Spyridon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Mergers are associated with large and persistent earnings declines for incumbent employees in target firms. Linking employer-employee administrative data with information on merger activity in Brazil, I find the negative effects concentrate on employees who exit target firms and reflect displacement in the short run and wage declines in the long run. Low-skilled, managerial, and older employees fare worse. Overall, I conclude that mergers are followed by substantial reallocation costs reflecti...
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作者：Gonzalez, Rodrigo Barbone; Khametshin, Dmitry; Peydro, Jose-luis; Polo, Andrea
作者单位：Central Bank of Brazil; Luiss Guido Carli University
摘要：We show that FX interventions can be effective, particularly in attenuating global financial spillovers. We exploit global financial shocks and Brazilian central bank interventions in FX derivatives using three matched administrative registers: bank credit (to firms), foreign credit to banks, and employer-employees. After the U.S. Taper Tantrum (followed by emerging markets' FX turbulence), Brazilian banks with more foreign debt cut credit supply, reducing firm-level employment. A subsequent l...
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作者：Kwan, Alan; Liu, Yukun; Matthies, Ben
作者单位：University of Hong Kong; University of Rochester; University of Notre Dame
摘要：Using data on Internet news reading, we measure fund-level attention to both aggregate and firm-specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility. Those funds that exhibit stronger attention-reallocation patterns earn higher future returns. In the cross-section of fund portfolios, fund attention is positively related to stock holdings. Furthermore, fund...
