-
作者：Nagel, Stefan
-
作者：Alan, Sule; Cemalcilar, Mehmet; Karlan, Dean; Zinman, Jonathan
作者单位：University of Essex; Koc University; Northwestern University; National Bureau of Economic Research; Dartmouth College
摘要：Lower prices produce higher demand... or do they? A bank's direct marketing to holders of free checking accounts shows that a large discount on 60% APR overdrafts reduces overdraft usage, especially when bundled with a discount on debit card or autodebit transactions. In contrast, messages mentioning overdraft availability without mentioning price increase usage. Neither change persists long after the messages stop. These results do not square easily with classical models of consumer choice an...
-
作者：Defusco, Anthony A.
作者单位：Northwestern University
摘要：I empirically analyze how changes in access to housing collateral affect homeowner borrowing behavior. To isolate the role of collateral constraints from that of wealth effects, I exploit the fully anticipated expiration of resale price controls on owner-occupied housing in Montgomery County, Maryland. I estimate a marginal propensity to borrow out of housing collateral that ranges between $0.04 and $0.13 and is correlated with homeowners' initial leverage. Additional analysis of residential i...
-
作者：Engelberg, Joseph; McLean, R. David; Pontiff, Jeffrey
作者单位：University of California System; University of California San Diego; Boston College
摘要：Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and six times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing due to biased expectations, or data mining. We develop and conduct several unique tests to differentiate between these three explanations. Our results are most consistent with the idea that anomaly returns are driven by biased expectations, which are at least partly correc...
-
作者：Carvalho, Daniel
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Theory suggests that financing frictions can have significant implications for equity volatility by shaping firms' exposure to economic risks. This paper provides evidence that an important determinant of higher equity volatility among research and development (R&D)-intensive firms is fewer financing constraints on firms' ability to access growth options. I provide evidence for this effect by studying how persistent shocks to the value of firms' tangible assets (real estate) affect their subse...
-
作者：Ru, Hong
作者单位：Nanyang Technological University
摘要：Using proprietary data from the China Development Bank (CDB), this paper examines the effects of government credit on firm activities. Tracing the effects of government credit across different levels of the supply chain, I find that CDB industrial loans to state-owned enterprises (SOEs) crowd out private firms in the same industry but crowd in private firms in downstream industries. On average, a $1 increase in CDB SOE loans leads to a $0.20 decrease in private firms' assets. Moreover, CDB inf...
-
作者：Admati, Anat R.; DeMarzo, Peter M.; Hellwig, Martin F.; Pfleiderer, Paul
作者单位：Stanford University; Max Planck Society
摘要：Firms' inability to commit to future funding choices has profound consequences for capital structure dynamics. With debt in place, shareholders pervasively resist leverage reductions no matter how much such reductions may enhance firm value. Shareholders would instead choose to increase leverage even if the new debt is junior and would reduce firm value. These asymmetric forces in leverage adjustments, which we call the leverage ratchet effect, cause equilibrium leverage outcomes to be history...
-
作者：Dow, James; Han, Jungsuk
作者单位：University of London; London Business School; Stockholm School of Economics
摘要：How can fire sales for financial assets happen when the economy contains well-capitalized but nonspecialist investors? Our explanation combines rational expectations equilibrium and lemons models. When specialist (informed) market participants are liquidity-constrained, prices become less informative. This creates an adverse selection problem, decreasing the supply of high-quality assets, and lowering valuations by nonspecialist (uninformed) investors, who become unwilling to supply capital to...
-
作者：Dahlquist, Magnus; Setty, Ofer; Vestman, Roine
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; Tel Aviv University; Stockholm University
摘要：We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals' holdings inside and outside the pension system, we find substantial heterogeneity within and between passive and active investors in terms of labor income, financial wealth, and stock market participation. We build a life-cycle consumption-savings model, with a DC pension account and an opt-out/default choice, that produces realistic investor heterogeneity. Relative to a co...
-
作者：Colacito, Ric; Croce, Mariano M.; Gavazzoni, Federico; Ready, Robert
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; National Bureau of Economic Research; Bocconi University; Center for Economic & Policy Research (CEPR); University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; INSEAD Business School; University of Oregon
摘要：Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply features both global and local short- and long-run shocks. Since news shocks are priced, heterogeneous exposure to long-lasting global growth shocks results in a relevant reallocation ...
