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作者：Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Universita della Svizzera Italiana; University of Geneva; Villanova University; University of Pennsylvania
摘要：Due to their low trading costs, exchange-traded funds (ETFs) are a potential catalyst for short-horizon liquidity traders. The liquidity shocks can propagate to the underlying securities through the arbitrage channel, and ETFs may increase the nonfundamental volatility of the securities in their baskets. We exploit exogenous changes in index membership and find that stocks with higher ETF ownership display significantly higher volatility. ETF ownership increases the negative autocorrelation in...
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作者：Atmaz, Adem; Basak, Suleyman
作者单位：Purdue University System; Purdue University; University of London; London Business School; Center for Economic & Policy Research (CEPR)
摘要：We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price and its mean return, volatility, and trading volume. We find that the stock price is convex in cash-flow news and increases in belief dispersion, while its mean return decreases when the view on the stock is optimistic, and vice versa when pessimistic. Moreover, belief dispersion leads to higher ...
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作者：Pohl, Walter; Schmedders, Karl; Wilms, Ole
作者单位：Norwegian School of Economics (NHH); University of Zurich; Tilburg University
摘要：This paper shows that the latest generation of asset pricing models with long-run risk exhibit economically significant nonlinearities, and thus the ubiquitous Campbell-Shiller log-linearization can generate large numerical errors. These errors translate in turn to considerable errors in the model predictions, for example, for the magnitude of the equity premium or return predictability. We demonstrate that these nonlinearities arise from the presence of multiple highly persistent processes, w...
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作者：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
作者单位：New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk-tolerant agents (banks) borrow from risk-averse agents (i.e., take deposits) to fund levered investments. Leverage exposes banks to funding risk, which they insure by holding liquidity buffers. By changing the nominal rate the central bank influences the liquidity premium, and hence the cost of taking leverage. Lower nominal rates make liquidity cheaper and raise le...
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作者：Baugh, Brian; Ben-David, Itzhak; Park, Hoonsuk
作者单位：University of Nebraska System; University of Nebraska Lincoln; University System of Ohio; Ohio State University; National Bureau of Economic Research; Nanyang Technological University
摘要：For years, online retailers have maintained a price advantage over brick-and-mortar retailers by not collecting sales tax at the time of sale. Recently, several states have required that online retailer Amazon collect sales tax during checkout. Using transaction-level data, we document that households living in these states reduced their Amazon purchases by 9.4% following the implementation of the sales tax laws, implying elasticities of -1.2 to -1.4. The effect is stronger for large purchases...
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作者：Corgnet, Brice; Desantis, Mark; Porter, David
作者单位：Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; emlyon business school; Chapman University System; Chapman University
摘要：Using laboratory experiments, we provide evidence on three factors influencing trader performance: fluid intelligence, cognitive reflection, and theory of mind (ToM). Fluid intelligence provides traders with computational skills necessary to draw a statistical inference. Cognitive reflection helps traders avoid behavioral biases and thereby extract signals from market orders and update their prior beliefs accordingly. ToM describes the degree to which traders correctly assess the informational...
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作者：Chetty, Raj; Sandor, Laszlo; Szeidl, Adam
作者单位：Stanford University; National Bureau of Economic Research
摘要：We show that characterizing the effects of housing on portfolios requires distinguishing between the effects of home equity and mortgage debt. We isolate exogenous variation in home equity and mortgages by using differences across housing markets in house prices and housing supply elasticities as instruments. Increases in property value (holding home equity constant) reduce stockholdings, while increases in home equity wealth (holding property value constant) raise stockholdings. The stock sha...
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作者：Fagereng, Andreas; Gottlieb, Charles; Guiso, Luigi
作者单位：Statistics Norway; Centre for Economic Policy Research - UK
摘要：Using error-free data on life-cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life-cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per-period participation cost, and a yearly probability...
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作者：Cohen, Lauren; Gurun, Umit G.; Malloy, Christopher
作者单位：Harvard University; National Bureau of Economic Research; University of Texas System; University of Texas Dallas
摘要：Using customs and port authority data, we show that firms are significantly more likely to trade with countries that have a large resident population near their firm headquarters, and that these connected trades are their most valuable international trades. Using the formation of World War II Japanese internment camps to isolate exogenous shocks to local ethnic populations, we identify a causal link between local networks and firm trade. Firms are also more likely to acquire target firms, and ...
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作者：Schmalz, Martin C.; Sraer, David A.; Thesmar, David
作者单位：University of Michigan System; University of Michigan; University of California System; University of California Berkeley; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
摘要：We show that collateral constraints restrict firm entry and postentry growth, using French administrative data and cross-sectional variation in local house-price appreciation as shocks to collateral values. We control for local demand shocks by comparing treated homeowners to controls in the same region that do not experience collateral shocks: renters and homeowners with an outstanding mortgage, who (in France) cannot take out a second mortgage. In both comparisons, an increase in collateral ...
