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作者：Gerakos, Joseph; Linnainmaa, Juhani T.; Morse, Adair
作者单位：Dartmouth College; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：Using data on $18 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 75 (31) bps on a gross (net) basis during the period 2000 to 2012. Estimates from a Sharpe model imply that asset managers' outperformance came from factor exposures. If institutions had instead implemented mean-variance efficient portfolios using index and institutional mutual funds available during the sample period, they would not have earned higher...
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作者：Goldberg, Jonathan; Nozawa, Yoshio
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Hong Kong University of Science & Technology
摘要：This paper examines dealer inventory capacity, or liquidity supply, as a driver of liquidity and expected returns in the corporate bond market. We identify shocks to aggregate liquidity supply using data on corporate bond yields and dealer positions. Liquidity supply shocks lead to persistent changes in market liquidity, are correlated with proxies for dealer financial constraints, and have significant explanatory power for cross-sectional and time-series variation in expected returns, beyond ...
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作者：Zhong, Hongda
作者单位：University of London; London School Economics & Political Science
摘要：Borrowing from multiple creditors exposes firms to rollover risk due to coordination problems among creditors, but it also improves firms' repayment incentives, thereby increasing pledgeability. Based on this trade-off, I develop a dynamic debt rollover model to analyze the evolution of creditor dispersion. Consistent with empirical evidence, I find that firms optimally increase creditor dispersion after poor performance. In contrast, cross-sectionally higher-growth firms can support more disp...
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作者：Cenedese, Gino; Della Corte, Pasquale; Wang, Tianyu
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Bank of England; Tsinghua University
摘要：We find dealer-level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Our analysis uses a unique data set of currency derivatives with disclosed counterparty identities together with exogenous variation introduced by the U.K. leverage ratio framework. Dealers who are affected by the regulatory shock charge an additional premium of about 20 basis points per annum for synthetic dollar funding relative to unaffected dealers. This fi...
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作者：Lustig, Hanno
作者单位：Stanford University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
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作者：Diep, Peter; Eisfeldt, Andrea L.; Richardson, Scott
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of London; London Business School
摘要：We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate risk loadings using prepayment forecasts versus realizations. Estimated loadings on prepayment risk decrease monotonically in securities' coupons relative to the par coupon, consistent with the predicted effect of prepayment on bond value. Prepayment risk appears to be ...
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作者：Whited, Toni M.; Zhao, Jake
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：We estimate real losses arising from the cross-sectional misallocation of financial liabilities. Extending a production-based framework of misallocation measurement to the liabilities side of the balance sheet and using manufacturing firm data from the United States and China, we find significant misallocation of debt and equity in China but not the United States. Reallocating liabilities of firms in China to mimic U.S. efficiency would produce gains of 51% to 69% in real value-added, with onl...
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作者：Bernstein, Shai; Mcquade, Timothy; Townsend, Richard R.
作者单位：Harvard University; National Bureau of Economic Research; Stanford University; University of California System; University of California San Diego
摘要：We investigate how the deterioration of household balance sheets affects worker productivity, and in turn economic downturns. Specifically, we compare the output of innovative workers who experienced differential declines in housing wealth during the financial crisis but were employed at the same firm and lived in the same metropolitan area. We find that, following a negative wealth shock, innovative workers become less productive and generate lower economic value for their firms. The reductio...
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作者：Defusco, Anthony A.; Mondragon, John
作者单位：Northwestern University
摘要：We study how employment documentation requirements and out-of-pocket closing costs constrain mortgage refinancing. These frictions, which bind most severely during recessions, may significantly inhibit monetary policy pass-through. To study their effects on refinancing, we exploit a Federal Housing Administration policy change that excluded unemployed borrowers from refinancing and increased others' out-of-pocket costs substantially. These changes dramatically reduced refinancing rates, partic...
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作者：Barkai, Simcha
作者单位：University of London; London Business School
摘要：This paper presents direct measures of capital costs, equal to the product of the required rate of return on capital and the value of the capital stock. The capital share, equal to the ratio of capital costs and gross value added, does not offset the decline in the labor share. Instead, a large increase in the share of pure profits offsets declines in the shares of both labor and capital. Industry data show that increases in concentration are associated with declines in the labor share.
