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作者：Marfe, Roberto
作者单位：Collegio Carlo Alberto
摘要：Output, wages, and dividends feature term structures of variance ratios that are respectively flat, increasing, and decreasing. Income insurance from shareholders to workers explains these term structures. Risk-sharing smooths wages but only concerns transitory risk and hence enhances short-run dividend risk. As a result, actual labor-share variation largely forecasts the risk, premium, and slope of dividend strips. A simple general equilibrium model in which labor rigidity affects dividend dy...
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作者：Vanasco, Victoria
作者单位：Stanford University
摘要：This paper explores the tension between asset quality and market liquidity. I model an originator who screens assets whose cash flows are later sold in secondary markets. Screening improves asset quality but gives rise to asymmetric information, hindering trade of the asset cash flows. In the optimal mechanism (second-best), costly retention of cash flows is essential to implement asset screening. Market allocations can feature too much or too little screening relative to second-best, where to...
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作者：Colliard, Jean-Edouard; Hoffmann, Peter
作者单位：Hautes Etudes Commerciales (HEC) Paris; European Central Bank
摘要：We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity and in turn market quality. Consistent with theories of asset pricing under transaction costs, we document a shift in security holdings from short-term to long-te...
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作者：Lins, Karl V.; Servaes, Henri; Tamayo, Ane
作者单位：Utah System of Higher Education; University of Utah; University of London; London Business School; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of London; London School Economics & Political Science
摘要：During the 2008-2009 financial crisis, firms with high social capital, as measured by corporate social responsibility (CSR) intensity, had stock returns that were four to seven percentage points higher than firms with low social capital. High-CSR firms also experienced higher profitability, growth, and sales per employee relative to low-CSR firms, and they raised more debt. This evidence suggests that the trust between a firm and both its stakeholders and investors, built through investments i...
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作者：Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; National Bank of Slovakia; Center for Economic & Policy Research (CEPR)
摘要：We model fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover and performance is stronger than the cross-sectional relation, as the model predicts. Also as predicted, the turnover-performance relation is stronger for funds trading less-liquid stocks and funds likely to po...
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作者：Dell'Ariccia, Giovanni; Laeven, Luc; Suarez, Gustavo A.
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK; European Central Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on banks' internal ratings on loans to businesses over the period 1997 to 2011 from the Federal Reserve's Survey of Terms of Business Lending. We find that ex ante risk-taking by banks (measured by the risk rating of new loans) is negatively associated with increases in short-term interest rates. This relationship is more pronounced in regions that are less in sync with the nat...
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作者：Liang, Hao; Renneboog, Luc
作者单位：Singapore Management University; Tilburg University
摘要：Using corporate social responsibility (CSR) ratings for 23,000 companies from 114 countries, we find that a firm's CSR rating and its country's legal origin are strongly correlated. Legal origin is a stronger explanation than doing good by doing well factors or firm and country characteristics (ownership concentration, political institutions, and globalization): firms from common law countries have lower CSR than companies from civil law countries, with Scandinavian civil law firms having the ...
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作者：Bhutta, Neil; Dokko, Jane; Shan, Hui
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Brookings Institution
摘要：From 2007 to 2009 U.S. house prices plunged and mortgage defaults surged. While ostensibly consistent with widespread ruthless default, analysis of detailed mortgage and house price data indicates that borrowers do not walk away until they are deeply underwaterfar deeper than traditional models predict. The evidence suggests that lender recourse is not the major driver of this result. We argue that emotional and behavioral factors play an important role in decisions to continue paying. Borrowe...
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作者：Kirilenko, Andrei; Kyle, Albert S.; Samadi, Mehrdad; Tuzun, Tugkan
作者单位：Imperial College London; University System of Maryland; University of Maryland College Park; Southern Methodist University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study intraday market intermediation in an electronic market before and during a period of large and temporary selling pressure. On May 6, 2010, U.S. financial markets experienced a systemic intraday eventthe Flash Crashwhere a large automated selling program was rapidly executed in the E-mini S&P 500 stock index futures market. Using audit trail transaction-level data for the E-mini on May 6 and the previous three days, we find that the trading pattern of the most active nondesignated intr...
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作者：Bradley, Daniel; Gokkaya, Sinan; Liu, Xi
作者单位：State University System of Florida; University of South Florida; University System of Ohio; Ohio University
摘要：Using hand-collected biographical information on financial analysts from 1983 to 2011, we find that analysts making forecasts on firms in industries related to their preanalyst experience have better forecast accuracy, evoke stronger market reactions to earning revisions, and are more likely to be named Institutional Investor all-stars. Plausibly exogenous losses of analysts with related industry experience have real financial market implications-changes in firms' information asymmetry and pri...
