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作者：Lochstoer, Lars A.; Tetlock, Paul C.
作者单位：University of California System; University of California Los Angeles; Columbia University
摘要：We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their mean-variance efficient (MVE) combination. Whereas discount rate news predominates in market returns, systematic cash flow news drives the returns of anomaly portfolios and their MVE combination with the market portfolio. Anomaly cash flow and discount rate shocks are largely uncorrelated with market cash flow and discount rate shocks a...
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作者：Haddad, Valentin; Sraer, David
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR)
摘要：Banks' balance sheet exposure tofluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing fluctuations in interest rates. When banks' exposure to interest rate risk increases, the price of this risk simultaneously rises. We present a collection of empirical observations that support this view, bu...
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作者：Peress, Joel; Schmidt, Daniel
作者单位：INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris
摘要：In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on distraction days, trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with ...
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作者：Borovicka, Jaroslav; Stachurski, John
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Australian National University
摘要：We obtain exact necessary and sufficient conditions for existence and uniqueness of solutions of a class of homothetic recursive utility models postulated by Epstein and Zin. The conditions center on a single test value with a natural economic interpretation. The test sheds light on the relationship between valuation of cash flows, impatience, risk adjustment, and intertemporal substitution of consumption. We propose two methods to compute the test value when an analytical solution is not avai...
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作者：Levit, Doron
作者单位：University of Pennsylvania; European Corporate Governance Institute
摘要：Information and control rights are central aspects of leadership, management, and corporate governance. This paper studies a principal-agent model that features both communication and intervention as alternative means to exert influence. The main result shows that a principal's power to intervene in an agent's decision limits the ability of the principal to effectively communicate her private information. The perverse effect of intervention on communication can harm the principal, especially w...
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作者：Schallheim, Jim
作者单位：Utah System of Higher Education; University of Utah
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作者：Huang, Chong; Li, Fei; Weng, Xi
作者单位：University of California System; University of California Irvine; University of North Carolina; University of North Carolina Chapel Hill; Peking University
摘要：We propose a theory of reputation to explain how investors rationally respond to mutual fund star ratings. A fund's performance is determined by its information advantage, which can be acquired but decays stochastically. Investors form beliefs about whether the fund is informed based on its past performance. We refer to such beliefs as fund reputation, which determines fund flows. As performance changes continuously, equilibrium fund reputation may take discrete values only and thus can be lab...
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作者：Baldauf, Markus; Mollner, Joshua
作者单位：University of British Columbia; Northwestern University
摘要：We study the consequences of, and potential policy responses to, high-frequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT, with consequences for this tradeoff: Information production decreases because informed traders have less time to trade before HFTs react, but liquidity (measured by the bid-ask spread) improves because informational asymmetries decline. HFT also pushes outcomes inside the frontier of this tradeoff. However, ou...
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作者：Berger, David; Turner, Nicholas; Zwick, Eric
作者单位：Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using difference-in-differences and regression kink research designs, we find that the First-Time Homebuyer Credit increased home sales by 490,000 (9.8%), median home prices by $2,400 (1.1%) per standard deviation increase in program exposure, and the transition rate into homeownership by 53%. The policy response did not reverse immediately. Instead, demand co...
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作者：Shkilko, Andriy; Sokolov, Konstantin
作者单位：Wilfrid Laurier University; University of Memphis
摘要：Modern markets are characterized by speed differentials, with some traders being fractions of a second faster than others. Theoretical models suggest that such differentials may have both positive and negative effects on liquidity and gains from trade. We examine these effects by studying a series of exogenous weather episodes that temporarily remove the speed advantages of the fastest traders by disrupting their microwave networks. The disruptions are associated with lower adverse selection a...
