-
作者：Kuehn, Lars-Alexander; Simutin, Mikhail; Wang, Jessie Jiaxu
作者单位：Carnegie Mellon University; University of Toronto; Arizona State University; Arizona State University-Tempe
摘要：We show that labor search frictions are an important determinant of the cross-section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment decisions under labor search frictions. In the model, loadings on labor market tightness proxy for priced time-variation in the efficiency of the aggregate matc...
-
作者：Nozawa, Yoshio
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I decompose the variation of credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses. Using a log-linearized pricing identity and a vector autoregression applied to microlevel data from 1973 to 2011, I find that expected returns contribute to the cross-sectional variance of credit spreads nearly as much as expected credit loss does. However, most of the time-series variation in credit spreads for the market portfolio corresponds to risk premi...
-
作者：Kroencke, Tim A.
作者单位：University of Basel
摘要：This paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption-based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a simple model of the filtering process that allows one to undo the filtering inherent in NIPA consumption. Unfiltered NIPA consumption well explains the equity premium and is priced in the cross-sect...
-
作者：Yang, Liyan; Zhu, Haoxiang
作者单位：University of Toronto; Peking University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We show that a linear pure strategy equilibrium may not exist in the model of Madrigal (1996), contrary to the claim of the original paper. This is because Madrigal's characterization of a pure strategy equilibrium omits a second-order condition. If the nonfundamental speculator's information about noise trading is sufficiently precise, a linear pure strategy equilibrium fails to exist. In parameter regions where a pure strategy equilibrium does exist, we identify a few calculation errors in M...
-
作者：Merkley, Kenneth; Michaely, Roni; Pacelli, Joseph
作者单位：Cornell University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We examine changes in the scope of the sell-side analyst industry and whether these changes impact information dissemination and the quality of analysts' reports. Our findings suggest that changes in the number of analysts covering an industry impact analyst competition and have significant spillover effects on other analysts' forecast accuracy, bias, report informativeness, and effort. These spillover industry effects are incremental to the effects of firm level changes in analyst coverage. O...
-
作者：Berk, Jonathan B.; van Binsbergen, Jules H.; Liu, Binying
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania; Hong Kong University of Science & Technology
摘要：We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms. The firm's decision to reallocate capital among its mutual fund managers adds at least $474,000 a month, which amounts to over 30% of the total value added of the industry. We provide evidence that this additional value added results from the firm's private information about the skill of its managers. The firm captures this value because investors reward the firm following a capital rea...
-
作者：Larrain, Mauricio; Stumpner, Sebastian
作者单位：Columbia University; Pontificia Universidad Catolica de Chile; Universite de Montreal
摘要：We study the effects of capital account liberalization on firm capital allocation and aggregate productivity in 10 Eastern European countries. Using a large firm-level data set, we show that capital account liberalization decreases the dispersion in the return to capital across firms, particularly in sectors more dependent on external finance. We provide evidence that capital account liberalization improves capital allocation by allowing financially constrained firms to demand more capital and...
-
作者：Brown, J. David; Earle, John S.
作者单位：George Mason University; IZA Institute Labor Economics
摘要：We analyze linked databases on all SBA loans and lenders and on all U.S. employers to estimate the effects of financial access on employment growth. Estimation exploits the long panels and variation in local availability of SBA-intensive lenders. The results imply an increase of 3-3.5 jobs for each million dollars of loans, suggesting real effects of credit constraints. Estimated impacts are stronger for younger and larger firms and when local credit conditions are weak, but we find no clear e...
-
作者：Constantinides, George M.; Ghosh, Anisha
作者单位：University of Chicago; National Bureau of Economic Research; Carnegie Mellon University
摘要：We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend...
-
作者：Du, Songzi; Zhu, Haoxiang
作者单位：Simon Fraser University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We study the design of credit default swaps (CDS) auctions, which determine the payments by CDS sellers to CDS buyers following defaults of bonds. Using a simple model, we find that the current design of CDS auctions leads to biased prices and inefficient allocations. This is because various restrictions imposed in CDS auctions prevent certain investors from participating in the price discovery and allocation process. The imposition of a price cap or floor also gives dealers large influence on...
