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作者：Adrian, Tobias; Crump, Richard K.; Vogt, Erik
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross-section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight-to-safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasurie...
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作者：Pennacchi, George; Tchistyi, Alexei
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：This paper identifies an error in Sundaresan and Wang (2015, hereafter SW) that invalidates its Theorem 1. The paper develops a model of contingent capital (CC) with a stock price trigger that is consistent with SW's framework and yields closed-form solutions for stock and CC prices. Yet, the model shows that unique stock price equilibria exist for a broader range of CC contractual terms than those required by SW. Specifically, when conversion terms benefit CC investors and penalize shareholde...
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作者：Malenko, Andrey; Malenko, Nadya
作者单位：Boston College
摘要：We analyze how proxy advisors, which sell voting recommendations to shareholders, affect corporate decision-making. If the quality of the advisor's information is low, there is overreliance on its recommendations and insufficient private information production. In contrast, if the advisor's information is precise, it may be underused because the advisor rations its recommendations to maximize profits. Overall, the advisor's presence leads to more informative voting only if its information is s...
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作者：Demarzo, Peter M.
作者单位：Stanford University; National Bureau of Economic Research
摘要：Optimal dynamic capital structure choice is fundamentally a problem of commitment. In a standard trade-off setting with shareholder-debtholder agency conflicts, full commitment counterfactually predicts the firm would rely almost exclusively on debt financing. Conversely, absent commitment a Modigliani-Miller-like value irrelevance and policy indeterminacy result holds. Thus, the content of dynamic trade-off theory must depend on the commitment technology. In this context, collateral is valuab...
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作者：Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
作者单位：University of Oxford; Bocconi University; Bocconi University; Brown University; Harvard University
摘要：We revisit La Porta's finding that returns on stocks with the most optimistic analyst long-term earnings growth forecasts are lower than those on stocks with the most pessimistic forecasts. We document the joint dynamics of fundamentals, expectations, and returns of these portfolios, and explain the facts using a model of belief formation based on the representativeness heuristic. Analysts forecast fundamentals from observed earnings growth, but overreact to news by exaggerating the probabilit...
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作者：Siriwardane, Emil N.
作者单位：Harvard University; Office of Financial Research; United States Department of the Treasury
摘要：Using proprietary credit default swap (CDS) data, I investigate how capital shocks at protection sellers impact pricing in the CDS market. Seller capital shocks-measured as CDS portfolio margin payments-account for 12% of the time-series variation in weekly spread changes, a significant amount given that standard credit factors account for 18% during my sample. In addition, seller shocks possess information for spreads that is independent of institution-wide measures of constraints. These find...
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作者：Calomiris, Charles W.; Jaremski, Matthew
作者单位：Columbia University; National Bureau of Economic Research; Utah System of Higher Education; Utah State University
摘要：Deposit insurance reduces liquidity risk but can increase insolvency risk by encouraging reckless behavior. Several U.S. states installed deposit insurance laws before the creation of the Federal Deposit Insurance Corporation, and those laws applied only to some depository institutions within those states. These experiments present a unique testing ground for investigating the effect of deposit insurance. We show that deposit insurance removed market discipline constraining uninsured banks. Ta...
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作者：Barrot, Jean-Noel; Loualiche, Erik; Sauvagnat, Julien
作者单位：Hautes Etudes Commerciales (HEC) Paris; Center for Economic & Policy Research (CEPR); University of Minnesota System; University of Minnesota Twin Cities; Bocconi University
摘要：In this paper, we investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7% risk premium, suggesting that their cash flows covary negatively with investors' marginal utility. We find that the premium emanates from the risk of displacement of least efficient firms triggered by import competition. These findings suggest that foreign productivity shocks are associated with times w...
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作者：Hartzmark, Samuel M.; Sussman, Abigail B.
作者单位：University of Chicago
摘要：Examining a shock to the salience of the sustainability of the U.S. mutual fund market, we present causal evidence that investors marketwide value sustainability: being categorized as low sustainability resulted in net outflows of more than $12 billion while being categorized as high sustainability led to net inflows of more than $24 billion. Experimental evidence suggests that sustainability is viewed as positively predicting future performance, but we do not find evidence that high-sustainab...
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作者：Martin, Ian W. R.; Wagner, Christian
作者单位：University of London; London School Economics & Political Science; Copenhagen Business School
摘要：We derive a formula for the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to that of the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The theory performs well empirically both in and out of sample. Our results suggest that there is considerably more variation in expected returns, over time and across stocks, than has previously been a...
