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作者：Polkovnichenko, Valery; Wei, Kelsey D.; Zhao, Feng
作者单位：University of Texas System; University of Texas Dallas; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Despite their mediocre mean performance, actively managed mutual funds are distinct from passive funds in their return distributions. Active value funds better hedge downside risk, while active growth funds better capture upside potential. Since such performance features may appeal to investors with tail-overweighting preferences, we show that preferences for downside protection and upside potential estimated from the empirical pricing kernel can help explain active fund flows in the value and...
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作者：Morais, Bernardo; Peydro, Jose-Luis; Roldan-Pena, Jessica; Ruiz-Ortega, Claudia
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; ICREA; Pompeu Fabra University; Bank of Mexico; The World Bank
摘要：We identify the international credit channel by exploiting Mexican supervisory data sets and foreign monetary policy shocks in a country with a large presence of European and U.S. banks. A softening of foreign monetary policy expands credit supply of foreign banks (e.g., U.K. policy affects credit supply in Mexico via U.K. banks), inducing strong firm-level real effects. Results support an international risk-taking channel and spillovers of core countries' monetary policies to emerging markets...
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作者：Cavagnaro, Daniel R.; Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S.
作者单位：California State University System; California State University Fullerton; Vanderbilt University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Using a large sample of institutional investors' investments in private equity funds raised between 1991 and 2011, we estimate the extent to which investors' skill affects their returns. Bootstrap analyses show that the variance of actual performance is higher than would be expected by chance, suggesting that some investors consistently outperform. Extending the Bayesian approach of Korteweg and Sorensen, we estimate that a one-standard-deviation increase in skill leads to an increase in annua...
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作者：Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Chicago; Boston College
摘要：Many individual investors, mutual funds, and institutions trade as if dividends and capital gains are disconnected attributes, not fully appreciating that dividends result in price decreases. Behavioral trading patterns (e.g., the disposition effect) are driven by price changes instead of total returns. Investors rarely reinvest dividends, and trade as if dividends are a separate, stable income stream. Analysts fail to account for the effect of dividends on price, leading to optimistic price f...
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作者：Du, Du; Elkamhi, Redouane; Ericsson, Jan
作者单位：City University of Hong Kong; University of Toronto; McGill University
摘要：Most extant structural credit risk models underestimate credit spreads-a shortcoming known as the credit spread puzzle. We consider a model with priced stochastic asset risk that is able to fit medium- to long-term spreads. The model, augmented by jumps to help explain short-term spreads, is estimated on firm-level data and identifies significant asset variance risk premia. An important feature of the model is the significant time variation in risk premia induced by the uncertainty about asset...
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作者：Bernstein, Shai; Colonnelli, Emanuele; Iverson, Benjamin
作者单位：National Bureau of Economic Research; University of Chicago; Brigham Young University
摘要：This paper investigates the consequences of liquidation and reorganization on the allocation and subsequent utilization of assets in bankruptcy. Using the random assignment of judges to bankruptcy cases as a natural experiment that forces some firms into liquidation, we find that the long-run utilization of assets of liquidated firms is lower relative to assets of reorganized firms. These effects are concentrated in thin markets with few potential users and in areas with low access to finance....
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作者：Glaser, Markus; Iliewa, Zwetelina; Weber, Martin
作者单位：University of Munich; Max Planck Society; University of Mannheim; Center for Economic & Policy Research (CEPR)
摘要：Prices and returns are alternative ways to present information and to elicit expectations in financial markets. But do investors think of prices and returns in the same way? We present three studies in which subjects differ in the level of expertise, amount of information, and type of incentive scheme. The results are consistent across all studies: asking subjects to forecast returns as opposed to prices results in higher expectations, whereas showing them return charts rather than price chart...
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作者：Hartman-Glaser, Barney; Lustig, Hanno; Xiaolan, Mindy Z.
作者单位：University of California System; University of California Los Angeles; Stanford University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
摘要：Although the aggregate capital share of U.S. firms has increased, capital share at the firm-level has decreased. This divergence is due to mega-firms that produce a larger output share without a proportionate increase in labor compensation. We develop a model in which firms insure workers against firm-specific shocks, with more productive firms allocating more rents to shareholders, while less productive firms endogenously exit. Increasing firm-level risk delays exit and increases the measure ...
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作者：Jagannathan, Ravi; Liu, Binying; Zhang, Jiaqi
作者单位：Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology; Northwestern University
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作者：Buss, Adrian; Dumas, Bernard
作者单位：INSEAD Business School; Center for Economic & Policy Research (CEPR); University of Turin; National Bureau of Economic Research
摘要：We incorporate trading fees into a dynamic, multiagent general-equilibrium model in which traders optimally decide when to trade. For that purpose, we propose an innovative algorithm that synchronizes the traders. Securities prices are not so much affected by the payment of the fees itself, but rather by the trade-off that the traders face between smoothing consumption and smoothing holdings. In calibrated examples, the interest rate and welfare decline with trading fees, while risk premia and...
