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作者：Heimer, Rawley Z.; Myrseth, Kristian Ove R.; Schoenle, Raphael S.
作者单位：Boston College; Trinity College Dublin; Brandeis University; Brandeis University
摘要：We study the effect of subjective mortality beliefs on life-cycle behavior. With new survey evidence, we document that survival is underestimated (overestimated) by the young (old). We calibrate a canonical life-cycle model to elicited beliefs. Relative to calibrations using actuarial probabilities, the young undersave by 26%, and retirees draw down their assets 27% slower, while the model's fit to consumption data improves by 88%. Cross-sectional regressions support the model's predictions: D...
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作者：Egan, Mark
作者单位：Harvard University
摘要：I study how brokers distort household investment decisions. Using a novel convertible bond data set, I find that consumers often purchase dominated bonds-cheap and expensive otherwise-identical bonds coexist in the market. Brokers are incentivized to sell the dominated bonds, typically earning two times greater fees for selling them. I develop and estimate a broker-intermediated search model that rationalizes this behavior. The estimates indicate that costly search is a key friction in financi...
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作者：Hagstromer, Bjoern; Menkveld, Albert J.
作者单位：Stockholm University; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so, we construct an empirical map of information revelation where two dealers are connected based on the synchronicity of their quote changes. The tests, based on the euro to Swiss franc spot rate (EUR/CHF) quote data including the 2015 crash, largely support theory: strongly connected (i.e., central) dealers are more informed. Connections are weaker when there...
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作者：Marinovic, Ivan; Varas, Felipe
作者单位：Stanford University; Duke University
摘要：This paper studies optimal contracts when managers manipulate their performance measure at the expense of firm value. Optimal contracts defer compensation. The manager's incentives vest over time at an increasing rate, and compensation becomes very sensitive to short-term performance. This generates an endogenous horizon problem whereby managers intensify performance manipulation in their final years in office. Contracts are designed to encourage effort while minimizing the adverse effects of ...
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作者：Benhabib, Jess; Liu, Xuewen; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：We develop a model of informational interdependence between financial markets and the real economy, linking economic uncertainty to information production and aggregate economic activities in general equilibrium. The mutual learning between financial markets and the real economy creates a strategic complementarity in their information production, leading to self-fulfilling surges in economic uncertainties. In a dynamic setting, our model characterizes self-fulfilling uncertainty traps with two...
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作者：Bouchaud, Jean-Philippe; Krueger, Philipp; Landier, Augustin; Thesmar, David
作者单位：University of Geneva; University of Geneva; Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：We propose a theory of the profitability anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional model predictions: (1) analysts are on average too pessimistic regarding the future profits of high-profit firms, (2) the profitability anomaly is str...
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作者：DeVault, Luke; Sias, Richard; Starks, Laura
作者单位：Clemson University; University of Arizona; University of Texas System; University of Texas Austin
摘要：Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross-sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors' demand shocks. We investigate the underlying economic mechanisms and find that common institutional investment styles (e.g., risk management, momentum trading) explain a significant portion of the relation between instituti...
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作者：Ma, Yueran
作者单位：University of Chicago
摘要：I demonstrate that nonfinancial corporations act as cross-market arbitrageurs in their own securities. Firms use one type of security to replace another in response to shifts in relative valuations, inducing negatively correlated financing flows in different markets. Net equity repurchases and net debt issuance both increase when expected excess returns on debt are particularly low, or when expected excess returns on equity are relatively high. Credit valuations affect equity financing as much...
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作者：Halim, Edward; Riyanto, Yohanes E.; Roy, Nilanjan
作者单位：City University of Hong Kong; Nanyang Technological University
摘要：We design an experiment to study the implications of information networks for incentives to acquire costly information, market liquidity, investors' earnings, and asset price characteristics in a financial market. Social communication crowds out information production as a result of an agent's temptation to free ride on the signals purchased by her neighbors. Although information exchange among traders increases trading volume, improves liquidity, and enhances the ability of asset prices to re...
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作者：Eisdorfer, Assaf; Goyal, Amit; Zhdanov, Alexei
作者单位：University of Connecticut; University of Lausanne; Swiss Finance Institute (SFI); Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study whether default options are mispriced in equity values by employing a structural equity valuation model that explicitly takes into account the value of the option to default (or abandon the firm) and uses firm-specific inputs. We implement our model on the entire cross section of stocks and identify both over- and underpriced equities. An investment strategy that buys undervalued stocks and shorts overvalued stocks generates an annual four-factor alpha of about 11% for U.S. stocks. Th...
