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作者：Eyster, Erik; Rabin, Matthew; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; Harvard University; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such cursed traders generate more trade than those comprising solely rationals. Because rationals arbitrage away distortions caused by cursed traders, mixed markets can generate even more trade. Per-trader volume in cursed markets increases with market size; volume may instead disappear when traders infer others' information fro...
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作者：Schneider, Paul; Trojani, Fabio
作者单位：Universita della Svizzera Italiana; University of Geneva; University of Geneva
摘要：Under mild assumptions, we recover the model-free conditional minimum variance projection of the pricing kernel on various tradeable realized moments of market returns. Recovered conditional moments predict future realizations and give insight into the cyclicality of equity premia, variance risk premia, and the highest attainable Sharpe ratios under the minimum variance probability. The pricing kernel projections are often U-shaped and give rise to optimal conditional portfolio strategies with...
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作者：Zhang, Miao Ben
作者单位：University of Southern California
摘要：This paper studies the asset pricing implications of a firm's opportunities to replace routine-task labor with automation. I develop a model in which firms optimally undertake such replacement when their productivity is low. Hence, firms with routine-task labor maintain a replacement option that hedges their value against unfavorable macroeconomic shocks and lowers their expected returns. Using establishment-level occupational data, I construct a measure of firms' share of routine-task labor. ...
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作者：Bolton, Patrick; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
摘要：A risk-averse entrepreneur with access to a profitable venture needs to raise funds from investors. She cannot indefinitely commit her human capital to the venture, which limits the firm's debt capacity, distorts investment and compensation, and constrains the entrepreneur's risk sharing. This puts dynamic liquidity and state-contingent risk allocation at the center of corporate financial management. The firm balances mean-variance investment efficiency and the preservation of financial slack....
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作者：Nagel, Stefan
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作者：Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai
作者单位：University of California System; University of California Berkeley; New York University; Federal Reserve System - USA
摘要：A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and nonequity asset classes, with risk price estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the wealthy...
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作者：van Binsbergen, Jules H.; Opp, Christian C.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：We examine the importance of cross-sectional asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel quantitative model of the cross-section of firms that features lumpy investment and informational inefficiencies, while yielding distributions in closed form. Our findings indicate that anomalies can cause material real inefficiencies, which raises the possibility that agents who help eliminate them add significant value to the economy. The model shows that the ma...
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作者：Hazan, Moshe; Weiss, David; Zoabi, Hosny
作者单位：Tel Aviv University; Center for Economic & Policy Research (CEPR); New Economic School
摘要：In one of the greatest extensions of property rights in human history, common law countries began giving rights to married women in the 1850s. Before this women's liberation, the doctrine of coverture strongly incentivized parents of daughters to hold real estate, rather than financial assets such as money, stocks, or bonds. We exploit the staggered nature of coverture's demise across U.S. states to show that women's rights led to shifts in household portfolios, a positive shock to the supply ...
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作者：Richmond, Robert J.
作者单位：New York University
摘要：I uncover an economic source of exposure to global risk that drives international asset prices. Countries that are more central in the global trade network have lower interest rates and currency risk premia. To explain these findings, I present a general equilibrium model in which central countries' consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency ri...
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作者：Chiang, Chin-Han; Dai, Wei; Fan, Jianqing; Hong, Harrison; Tu, Jun
作者单位：The World Bank; Princeton University; Capital University of Economics & Business; Columbia University; National Bureau of Economic Research; Singapore Management University
摘要：Event studies of market efficiency measure earnings surprises using the consensus error (CE), given as actual earnings minus the average professional forecast. If a subset of forecasts can be biased, the ideal but difficult to estimate parameter-dependent alternative to CE is a nonlinear filter of individual errors that adjusts for bias. We show that CE is a poor parameter-free approximation of this ideal measure. The fraction of misses on the same side (FOM), which discards the magnitude of m...
