-
作者：Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan; Zhang, Xinran
作者单位：Singapore Management University; Columbia University; Tsinghua University; Central University of Finance & Economics
摘要：We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or p...
-
作者：Colliard, Jean-Edouard; Foucault, Thierry; Hoffmann, Peter
作者单位：Hautes Etudes Commerciales (HEC) Paris; European Central Bank
摘要：We propose a new model of trading in over-the-counter markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers use a more efficient trading technology than peripheral dealers, who are heterogeneously connected to core dealers and trade with each other bilaterally. Connectedness affects prices and allocations if and only if the peripheral dealers' aggregate inventory position differs from zero. Price d...
-
作者：Favilukis, Jack; Van Nieuwerburgh, Stijn
作者单位：University of British Columbia; Columbia University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：Many cities have attracted a flurry of out-of-town (OOT) home buyers. Such capital inflows affect house prices, rents, construction, labor income, wealth, and ultimately welfare. We develop an equilibrium model to quantify the welfare effects of OOT home buyers for the typical U.S. metropolitan area. When OOT investors buy 10% of the housing in the city center and 5% in the suburbs, welfare among residents falls by 0.61% in consumption-equivalent units. House prices and rents rise substantiall...
-
作者：Daniel, Kent; Garlappi, Lorenzo; Xiao, Kairong
作者单位：Columbia University; National Bureau of Economic Research; University of British Columbia
摘要：Using data on individual portfolio holdings and on mutual fund flows, we find that low interest rates lead to significantly higher demand for income-generating assets such as high-dividend stocks and high-yield bonds. We argue that this reaching-for-income phenomenon is driven by investors who follow the living off income rule-of-thumb. Our empirical analysis shows that this preference for current income affects both household portfolio choices and the prices of income-generating assets. In ad...
-
作者：Greenwald, Daniel L.; Landvoigt, Tim; Van Nieuwerburgh, Stijn
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania; Columbia University
摘要：Shared appreciation mortgages (SAMs) feature mortgage payments that adjust with house prices. They are designed to stave off borrower default by providing payment relief when house prices fall. Some argue that SAMs may help prevent the next foreclosure crisis. However, home owners' gains from payment relief are mortgage lenders' losses. A general equilibrium model in which financial intermediaries channel savings from saver to borrower households shows that indexation of mortgage payments to a...
-
作者：Singleton, Kenneth J.
作者单位：Stanford University; National Bureau of Economic Research
摘要：Beliefs of professional forecasters are benchmarked against those of a Bayesian econometrician BE who is learning about the unknown dynamics of the bond risk factors. Consistent with rational Bayesian learning, the forecast errors of individual professionals and BE are comparably predictable over the business cycle. The secular and cyclical patterns of professionals' forecasts relative to those of BE are explored in depth. Inconsistent with many models with belief dispersion, the relationship ...
-
作者：Kaplan, Steven N.; Sorensen, Morten
作者单位：National Bureau of Economic Research; University of Chicago; Centre for Economic Policy Research - UK; Copenhagen Business School
摘要：Using 2,603 executive assessments, we study how CEO candidates differ from candidates for other top management positions, particularly CFOs. More than half of the variation in the 30 assessed characteristics is explained by four factors that we interpret as general ability, execution (vs. interpersonal), charisma (vs. analytical), and strategic (vs. managerial). CEO candidates have more extreme factor scores that differ significantly from those of CFO candidates. Conditional on being considere...
-
作者：Davila, Eduardo; Parlatore, Cecilia
作者单位：Yale University; New York University
摘要：We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex ante identical: price informativeness is independent of the level of trading costs. When investors are ex ante heterogeneous, a change in trading costs can increase or decrease price informativeness, depending on the source of heterogeneity. Our results are valid under quadratic, linear...
-
作者：Ai, Hengjie; Kiku, Dana; Li, Rui; Tong, Jincheng
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Illinois System; University of Illinois Urbana-Champaign; University of Massachusetts System; University of Massachusetts Boston; University of Toronto
摘要：We develop a unified theory of dynamic contracting and assortative matching to explain firm dynamics. In our model, neither firms nor managers can commit to arrangements that yield lower payoffs than their outside options, which are microfounded by the equilibrium conditions in a matching market. The model endogenously generates power laws in firm size and CEO compensation, and explains differences in their right tails. We also show that our model quantitatively accounts for many salient featu...
-
作者：Moskowitz, Tobias J.
作者单位：Yale University; National Bureau of Economic Research
摘要：Sports betting markets offer a novel laboratory to test theories of cross-sectional asset pricing anomalies. Two features of this market-no systematic risk and terminal values exogenous to betting activity-evade the joint hypothesis problem, allowing mispricing to be detected. Examining a large and diverse set of liquid betting contracts, I find strong evidence of momentum, consistent with delayed overreaction and inconsistent with underreaction and rational pricing. Returns are a fraction of ...
