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作者：Wardlaw, Malcolm
作者单位：University System of Georgia; University of Georgia
摘要：A large and rapidly growing literature examines the impact of misvaluation on firm policies by using mutual fund outflow-induced price pressure to isolate nonfundamental price variation. I demonstrate that the standard approach to computing outflow-induced price pressure produces a measure that is inadvertently a direct function of a stock's actual realized return during the outflow quarter, raising doubts about its orthogonality to fundamentals. After removing these direct measurements of ret...
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作者：Darmouni, Olivier
作者单位：Columbia University
摘要：In this paper, I estimate the magnitude of an informational friction limiting credit reallocation to firms during the 2007 to 2009 financial crisis. Because lenders rely on private information when deciding which relationship to end, borrowers looking for a new lender are adversely selected. I show how to separately identify private information from information common to all lenders but unobservable to the econometrician by using bank shocks within a discrete choice model of relationships. Qua...
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作者：Hombert, Johan; Schoar, Antoinette; Sraer, David; Thesmar, David
作者单位：Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley
摘要：We evaluate the effect of downside insurance on self-employment. We exploit a large-scale reform of French unemployment benefits that insured unemployed workers starting businesses. The reform significantly increased firm creation without decreasing the quality of new entrants. Firms started postreform were initially smaller, but their employment growth, productivity, and survival rates are similar to those prereform. New entrepreneurs' characteristics and expectations are also similar. Finall...
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作者：Kang, Wenjin; Rouwenhorst, K. Geert; Tang, Ke
作者单位：Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics; Yale University; Tsinghua University
摘要：This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are driven mainly by the liquidity demands of noncommercial traders, while long-term variation is driven primarily by the hedging demands of commercial traders. These two components influence expected futures returns with opposite signs. The gains from providing liquidity by commercials largely offset the premium they pay for obtaining pric...
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作者：Du, Wenxin; Pflueger, Carolin E.; Schreger, Jesse
作者单位：University of Chicago; National Bureau of Economic Research; Columbia University
摘要：We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy commitment. A government without commitment chooses excessively countercyclical inflation ex post, which leads risk-averse lenders to require a risk premium ex ante. This makes local currency debt too expensi...
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作者：Dobbie, Will; Goldsmith-Pinkham, Paul; Mahoney, Neale; Song, Jae
作者单位：Harvard University; National Bureau of Economic Research; Yale University; Stanford University
摘要：We study the financial and labor market impacts of bad credit reports. Using difference-in-differences variation from the staggered removal of bankruptcy flags, we show that bankruptcy flag removal leads to economically large increases in credit limits and borrowing. Using administrative tax records linked to personal bankruptcy records, we estimate economically small effects of flag removal on employment and earnings outcomes. We rationalize these contrasting results by showing that, conditio...
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作者：Vuillemey, Guillaume
作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
摘要：I study a contracting innovation that suddenly insulated traders of hedging contracts against counterparty risk: central clearing counterparties (CCPs) for derivatives. The first CCP was created in Le Havre (France) in 1882, in the coffee futures market. Using triple difference-in-differences estimation, I show that central clearing changed the geography of trade flows Europe-wide, to the benefit of Le Havre. Inspecting the mechanism using trader-level data, I find that the CCP solved both a m...
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作者：Frydman, Cary; Wang, Baolian
作者单位：University of Southern California; State University System of Florida; University of Florida
摘要：We test whether the display of information causally affects investor behavior in a high-stakes trading environment. Using investor-level brokerage data from China and a natural experiment, we estimate the impact of a shock that increased the salience of a stock's purchase price but did not change the investor's information set. We employ a difference-in-differences approach and find that the salience shock causally increased the disposition effect by 17%. We use microdata to document substanti...
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作者：Atanasov, Victoria; Moller, Stig V.; Priestley, Richard
作者单位：University of Mannheim; Aarhus University; CREATES; Danish Finance Institute; BI Norwegian Business School
摘要：This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The p...
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作者：Xiao, Yizhou
作者单位：Chinese University of Hong Kong
摘要：I examine the possibility of information-based trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have heterogeneous time-inseparable preferences, information differentially affects relative preferences for current and future consumption, making information-based trading mutually acceptable. The no-trade result c...
