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作者：Haddad, Valentin; Muir, Tyler
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Poor financial health of intermediaries coincides with low asset prices and high risk premiums. Is this because intermediaries matter for asset prices, or because their health correlates with economy-wide risk aversion? In the first case, return predictability should be more pronounced for asset classes in which households are less active. We provide evidence supporting this prediction, suggesting that a quantitatively sizable fraction of risk premium variation in several large asset classes s...
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作者：Pastor, Lubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
摘要：Motivated by the recent rise of populism in Western democracies, we develop a tractable equilibrium model in which a populist backlash emerges endogenously in a strong economy. In the model, voters dislike inequality, especially the high consumption of elites. Economic growth exacerbates inequality due to heterogeneity in preferences , which leads to heterogeneity in returns on capital. In response to rising inequality, voters optimally elect a populist promising to end globalization. Equality...
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作者：Bernstein, Asaf
作者单位：University of Colorado System; University of Colorado Boulder
摘要：Using U.S. household-level data and plausibly exogenous variation in the location-timing of home purchases with a single lender, I find that negative home equity causes a 2% to 6% reduction in household labor supply. Supporting causality, households are observationally equivalent at origination and equally sensitive to local housing shocks that do not cause negative equity. Results also hold comparing purchases within the same year-metropolitan statistical area that differ by only a few months...
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作者：Shue, Kelly; Townsend, Richard R.
作者单位：Yale University; University of California System; University of California San Diego; National Bureau of Economic Research
摘要：We hypothesize that investors partially think about stock price changes in dollar rather than percentage units, leading to more extreme return responses to news for lower-priced stocks. Consistent with such non-proportional thinking, we find a doubling in price is associated with a 20% to 30% decline in volatility and beta (controlling for size/liquidity). To identify a causal price effect, we show that volatility jumps following stock splits and drops following reverse splits. Lower-priced st...
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作者：Hu, Yunzhi; Varas, Felipe
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Duke University
摘要：An entrepreneur borrows from a relationship bank or the market. The bank has a higher cost of capital but produces private information over time. While the entrepreneur accumulates reputation as the lending relationship continues, asymmetric information is also developed between the bank/entrepreneur and the market. In this setting, zombie lending is inevitable: Once the entrepreneur becomes sufficiently reputable, the bank will roll over loans even after learning bad news, for the prospect of...
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作者：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
作者单位：University of Pennsylvania; New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We show that maturity transformation does not expose banks to interest rate risk-it hedges it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low and insensitive to market interest rates. Hedging the deposit franchise requires banks to earn income that is also insensitive, that is, to lend long term at fixed rates. As predicted by this theory, we show that banks closely match the interest rate sensitivities of their interest income and expense, and that t...
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作者：Linnainmaa, Juhani T.; Melzer, Brian T.; Previtero, Alessandro
作者单位：Dartmouth College; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington
摘要：A common view of retail finance is that conflicts of interest contribute to the high cost of advice. Within a large sample of Canadian financial advisors and their clients, however, we show that advisors typically invest personally just as they advise their clients. Advisors trade frequently, chase returns, prefer expensive and actively managed funds, and underdiversify. Advisors' net returns of -3% per year are similar to their clients' net returns. Advisors do not strategically hold expensiv...
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作者：Guren, Adam M.; Krishnamurthy, Arvind; Mcquade, Timothy J.
作者单位：Boston University; National Bureau of Economic Research; Stanford University
摘要：How can mortgages be redesigned to reduce macrovolatility and default? We address this question using a quantitative equilibrium life-cycle model. Designs with countercyclical payments outperform fixed payments. Among those, designs that front-load payment reductions in recessions outperform those that spread relief over the full term. Front-loading alleviates liquidity constraints when they bind most, reducing default and stimulating housing demand. To illustrate, a fixed-rate mortgage (FRM) ...
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作者：Benetton, Matteo
摘要：I develop a structural model of mortgage demand and lender competition to study how leverage regulation affects the U.K. mortgage market. Using variation in risk-weighted capital requirements across lenders and mortgages with different loan-to-values (LTVs), I show that a 1-percentage-point increase in risk-weighted capital requirements increases lenders' marginal cost of originating mortgages by about 26 basis points (11%) on average. I use the estimated model to study proposed leverage regul...
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作者：Gupta, Arpit; Van Nieuwerburgh, Stijn
作者单位：New York University; Columbia University
摘要：We propose a new valuation method for private equity (PE) investments. It constructs a replicating portfolio using cash flows on listed equity and fixed-income instruments (strips). It then values the strips using an asset pricing model that captures the risk in the cross-section of bonds and equity factors. The method delivers a risk-adjusted profit on each PE investment and a time series for the expected return on each fund category. We find negative risk-adjusted profits for the average PE ...
