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作者：Bryzgalova, Svetlana; Pelger, Markus; Zhu, Jason
作者单位：University of London; London Business School; Stanford University
摘要：We build cross-sections of asset returns for a given set of characteristics, that is, managed portfolios serving as test assets, as well as building blocks for tradable risk factors. We use decision trees to endogenously group similar stocks together by selecting optimal portfolio splits to span the stochastic discount factor, projected on individual stocks. Our portfolios are interpretable and well diversified, reflecting many characteristics and their interactions. Compared to combinations o...
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作者：Greenwald, Daniel l.; Krainer, John; Paul, Pascal
作者单位：New York University; Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Aggregate U.S. bank lending to firms expanded following the outbreak of COVID-19. Using loan-level supervisory data, we show that this expansion was driven by draws on credit lines by large firms. Banks that experienced larger credit line drawdowns restricted term lending more, crowding out credit to smaller firms, which reacted by reducing investment. A structural model calibrated to match our empirical results shows that while credit lines increase total bank credit in bad times, they redist...
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作者：Grullon, Gustavo; Ikenberry, David L.
作者单位：Rice University
摘要：Theory posits that when managers anticipate excess capacity, average q becomes a biased estimator of marginal q as the potential for underutilizing new capital reduces the marginal benefit of investing. After correcting for this source of measurement error, the explanatory power of Tobin's q substantially improves in time-series and cross-sectional regressions as well as in out-of-sample tests. These findings, together with a secular erosion in capacity utilization, help explain why corporate ...
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作者：Kruttli, Mathias s.; Tran, Brigitte roth; Watugala, Sumudu w.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We empirically analyze firm-level uncertainty generated from extreme weather events, guided by a theoretical framework. Stock options of firms with establishments in a hurricane's (forecast) landfall region exhibit large implied volatility increases, reflecting significant uncertainty (before) after impact. Volatility risk premium dynamics reveal that investors underestimate such uncertainty. This underreaction diminishes for hurricanes after Sandy, a salient event that struck the U.S. financi...
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作者：De Jong, Abe; Kooijmans, Tim; Koudijs, Peter
作者单位：University of Groningen; National Taiwan University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Can banks' reputational concerns improve the quality of opaque, off-balance sheet securities, such as mortgage-backed securities? We study this question in a uniquely parsimonious setting. In the 1760s, Dutch banking partnerships securitized West-Indian plantation mortgages that were risky and opaque. High-reputation banks originated better mortgages and issued securities that, on average, retained 17.5% more of their value during a market collapse. Reputational effects are attenuated when the...
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作者：Nozawa, Yoshio; Tsoy, Anton
作者单位：University of Toronto
摘要：We study a search and bargaining model of over-the-counter markets for nonstandardized assets of heterogeneous quality. Once matched, investors privately learn their values positively correlated with asset quality. Bargaining results in delay that is hump-shaped in quality and U-shaped in asset turnover. We document these patterns in commercial real estate and corporate bonds markets. Extreme qualities are little affected by changes in asset standardization, while intermediate qualities are mo...
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作者：Bolton, Patrick; Li, Ye; Wang, Neng; Yang, Jinqiang
作者单位：Centre for Economic Policy Research - UK; Imperial College London; University of London; London Business School; University of Washington; University of Washington Seattle; Shanghai Institute of International Finance & Economics; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
摘要：We propose a theory of banking in which banks cannot perfectly control deposit flows. Facing uninsurable loan and deposit shocks, banks dynamically manage lending, wholesale funding, deposits, and equity. Deposits create value by lowering funding costs. However, when the bank is undercapitalized and at risk of breaching leverage requirements, the marginal value of deposits can turn negative as deposit inflows, by raising leverage, increase the likelihood of costly equity issuance. Banks' inabi...
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作者：van Binsbergen, Jules; Hua, Sophia; Peeters, Jonas; Wachter, Jessica
作者单位：University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Using international data, we quantify the magnitude of survivorship bias in U.S. equity market performance, finding that it explains about one-third of the equity risk premium in the past century. We model the subjective crash belief of an investor who infers the crash risk in the United States by cross-learning from other countries. The U.S. crash probability shows a persistent and widening divergence from the implied global average. We attribute the upward bias in the measured equity premium...
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作者：Chen, Jun; Ewens, Michael
作者单位：Columbia University
摘要：This paper examines venture capital's (VC) role in the geographic clustering of high-growth startups. We exploit a rule change that disproportionately impacted U.S. regions that historically lacked VC financing via a restriction of banks to invest in the asset class. A one-standard-deviation increase in VCs' exposure to the rule led to a 20% decline in fund size and a 10% decrease in the likelihood of raising a follow-on fund. Startups were not wholly cushioned: financing and valuations declin...
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作者：Schoar, Antoinette
