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作者：Meling, Tom Grimstvedt
作者单位：University of Bergen
摘要：In this paper, I explore a reform at the Oslo Stock Exchange to assess the causal effect of posttrade trader anonymity on stock liquidity and trading volume. Using a regression discontinuity approach, I find that anonymity leads to a reduction in bid-ask spreads of 40% and an increase in trading volume of more than 50%. The increase in trading volume is accounted for largely by increased trading activity by institutional investors, while retail investors do not adjust their trading behavior in...
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作者：Giacoletti, Marco; Laursen, Kristoffer T.; Singleton, Kenneth J.
作者单位：University of Southern California; Stanford University; National Bureau of Economic Research
摘要：We study risk premiums in the U.S. Treasury bond market from the perspective of a Bayesian econometricianBLwho learns in real time from disagreement among investors about future bond yields. Notably, disagreement has substantial predictive power for yields, andBL's risk premiums are less volatile than those in the analogous model without learning.BL's forecasts are substantially more accurate than the consensus forecasts of market professionals, particularly following U.S. recessions. The pred...
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作者：Goncalves, Andrei S.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：The equity term structure is downward sloping at long maturities. I estimate an Intertemporal Capital Asset Pricing Model (ICAPM) to show that the trade-off between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly exposed to market risk, they are good hedges for reinvestment risk because dividend prices rise as expected returns decline, and longer-term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment ri...
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作者：Demarzo, Peter M.; He, Zhiguo
作者单位：Stanford University; National Bureau of Economic Research; University of Chicago
摘要：We characterize equilibrium leverage dynamics in a trade-off model in which the firm can continuously adjust leverage and cannot commit to a policy ex ante. While the leverage ratchet effect leads shareholders to issue debt gradually over time, asset growth and debt maturity cause leverage to mean-revert slowly toward a target. Investors anticipate future debt issuance and raise credit spreads, fully offsetting the tax benefits of new debt. Shareholders are therefore indifferent toward the deb...
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作者：Sandulescu, Mirela; Trojani, Fabio; Vedolin, Andrea
作者单位：University of Michigan System; University of Michigan; Universita della Svizzera Italiana; University of Geneva; University of Geneva; Boston University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We provide a theoretical framework to uncover in a model-free way the relationships among international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different from the ratio of international SDFs in incomplete markets, as captured by a stochastic wedge. We show theoretically that this wedge can be zero in incomplete and integrated markets. Market segmentation breaks the strong link between exchange rates and international...
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作者：Rampini, Adriano A.; Viswanathan, S.; Vuillemey, Guillaume
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作者：Chen, Andrew Y.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Suppose that the 300+ published asset pricing factors are all spurious. How much p-hacking is required to produce these factors? If 10,000 researchers generate eight factors every day, it takes hundreds of years. This is because dozens of published t-statistics exceed 6.0, while the corresponding p-value is infinitesimal, implying an astronomical amount of p-hacking in a general model. More structure implies that p-hacking cannot address approximate to 100 published t-statistics that exceed 4....
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作者：Delao, Ricardo; Myers, Sean
作者单位：University of Southern California; National Bureau of Economic Research; University of Pennsylvania
摘要：Why do stock prices vary? Using survey forecasts, we find that cash flow growth expectations explain most movements in the S&P 500 price-dividend and price-earnings ratios, accounting for at least 93% and 63% of their variation. These expectations comove strongly with price ratios, even when price ratios do not predict future cash flow growth. In comparison, return expectations have low volatility and small comovement with price ratios. Short-term, rather than long-term, expectations account f...
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作者：Dou, Winston Wei; Ji, Yan; Reibstein, David; Wu, Wei
作者单位：University of Pennsylvania; Hong Kong University of Science & Technology; Texas A&M University System; Texas A&M University College Station
摘要：We develop a model in which customer capital depends on key talents' contribution and pure brand recognition. Customer capital guarantees stable demand but is fragile to financial constraints risk if retained mainly by talents, who tend to quit financially constrained firms, damaging customer capital. Using a proprietary, granular brand-perception survey, we construct a firm-level measure of the inalienability of customer capital (ICC) that captures the degree to which customer capital depends...
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作者：Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno
作者单位：Northwestern University; Stanford University; National Bureau of Economic Research
摘要：We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign investors derive from holding U.S. safe assets. We show that this convenience yield can be inferred from the Treasury basis, the yield gap between U.S. government and currency-hedged foreign government bonds. Consistent with the theory, a widening of the basis coincides with an immediate appreciation and a subsequent depreciation of the dollar. Our results lend empirical support to mo...
