-
作者：Mueller, Philippe; Tahbaz-Salehi, Alireza; Vedolin, Andrea
作者单位：University of London; London School Economics & Political Science; Columbia University
摘要：We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis-a-vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpre...
-
作者：Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo
作者单位：McGill University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK; Stockholm School of Economics
摘要：This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that, over the life cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the ...
-
作者：Harvey, Campbell R.
作者单位：Duke University; National Bureau of Economic Research
摘要：Given the competition for top journal space, there is an incentive to produce significant results. With the combination of unreported tests, lack of adjustment for multiple tests, and direct and indirect p-hacking, many of the results being published will fail to hold up in the future. In addition, there are basic issues with the interpretation of statistical significance. Increasing thresholds may be necessary, but still may not be sufficient: if the effect being studied is rare, even t > 3 w...
-
作者：Moreira, Alan; Savov, Alexi
作者单位：University of Rochester; New York University; National Bureau of Economic Research
摘要：We build a macrofinance model of shadow bankingthe transformation of risky assets into securities that are money-like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral-intensive funding. Shadow banking collapses, liquidity provision sh...
-
作者：Zviadadze, Irina
作者单位：Stockholm School of Economics
摘要：I relate the downward-sloping term structure of currency carry returns to compensation for currency exposures to macroeconomic risk embedded in the joint dynamics of U.S. consumption, inflation, nominal interest rate, and their stochastic variance. The interest rate and inflation shocks play a prominent role. Higher yield currencies exhibit higher multiperiod exposures to these shocks. The prices of these risk exposures are positive and sizeable across all investment horizons. The interest rat...
-
作者：Almazan, Andres; Chen, Zhaohui; Titman, Sheridan
作者单位：University of Texas System; University of Texas Austin; University of Virginia; National Bureau of Economic Research
摘要：This paper develops a top-down model of capital budgeting in which privately informed executives make investment choices that convey information to the firm's stakeholders (e.g., employees). Favorable information in this setting encourages stakeholders to take actions that positively contribute to the firm's success (e.g., employees work harder). Within this framework we examine how firms may distort their investment choices to influence the information conveyed to stakeholders and show that i...
-
作者：Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang
作者单位：Stanford University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：We characterize the role of benchmarks in price transparency of over-the-counter markets. A benchmark can raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the market transparency promoted by benchmarks reduces dealers' profit margins, dealers may nonetheless introduce a benchmark to encourage greater market participation by investors. Low-cost dealers may also introduce a b...
-
作者：Kahraman, Bige; Tookes, Heather E.
作者单位：Yale University
摘要：Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to identify a causal relationship between traders' ability to borrow and a stock's market liquidity. To quantify the impact of trader leverage, we employ a regression discontinuity design that exploits threshold rules that determine a stock's margin trading eligibility. We find that liquidity is higher when stocks become eligible formargin trading and that this liquidity enhance...
-
作者：Knupfer, Samuli; Rantapuska, Elias; Sarvimaki, Matti
作者单位：BI Norwegian Business School; Centre for Economic Policy Research - UK; Aalto University; VATT Institute for Economic Research
摘要：We trace the impact of formative experiences on portfolio choice. Plausibly exogenous variation in workers' exposure to a depression allows us to identify the effects and a new estimation approach makes addressing wealth and income effects possible. We find that adversely affected workers are less likely to invest in risky assets. This result is robust to a number of control variables and it holds for individuals whose income, employment, and wealth were unaffected. The effects travel through ...
-
作者：Tuzel, Selale; Zhang, Miao Ben
作者单位：University of Southern California
摘要：Firm location affects firm risk through local factor prices. We find more procyclical factor prices such as wages and real estate prices in areas with more cyclical economies, namely, high local beta areas. While procyclical wages provide a natural hedge against aggregate shocks and reduce firm risk, procyclical prices of real estate, which are part of firm assets, increase firm risk. We confirm that firms located in higher local beta areas have lower industry-adjusted returns and conditional ...
