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作者：Nakajima, Makoto; Telyukova, Irina A.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Reverse mortgage loans (RMLs) allow older homeowners to borrow against housing wealth without moving. Despite rapid growth in this market, only 1.9% of eligible homeowners had RMLs in 2013. In this paper, we analyze reverse mortgages in a calibrated life-cycle model of retirement. The average welfare gain from RMLs is $252 per homeowner, and $1,770 per RML borrower. Bequest motives, uncertainty about health and expenses, and loan costs account for low demand. According to the model, the Great ...
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作者：Chen, Huafeng (Jason)
作者单位：Tsinghua University; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：Contrary to conventional wisdom, growth stocks (i.e., low book-to-market stocks) do not have substantially higher future cash-flow growth rates than value stocks, in both rebalanced and buy-and-hold portfolios. Efficiency growth, survivorship and look-back biases, and the rebalancing effect help explain the results. These findings suggest that duration alone is unlikely to explain the value premium.
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作者：Pool, Veronika K.; Sialm, Clemens; Stefanescu, Irina
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Texas System; University of Texas Austin; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper investigates whether mutual fund families acting as service providers in 401(k) plans display favoritism toward their own affiliated funds. Using a hand-collected data set on the menu of investment options offered to plan participants, we show that fund deletions and additions are less sensitive to prior performance for affiliated than unaffiliated funds. We find no evidence that plan participants undo this affiliation bias through their investment choices. Finally, we find that the...
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作者：Cohn, Jonathan B.; Gillan, Stuart L.; Hartzell, Jay C.
作者单位：University of Texas System; University of Texas Austin; University System of Georgia; University of Georgia
摘要：We use events related to a proxy access rule passed by the Securities and Exchange Commission in 2010 as natural experiments to study the valuation effects of changes in shareholder control. We find that valuations increase (decrease) following increases (decreases) in perceived control, especially for firms that are poorly performing, have shareholders likely to exercise control, and where acquiring a stake is relatively inexpensive. These results suggest that an increase in shareholder contr...
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作者：Lee, Jongsub; Naranjo, Andy; Sirmans, Stace
作者单位：State University System of Florida; University of Florida; University of Arkansas System; University of Arkansas Fayetteville
摘要：Using five-year credit default swap (CDS) spreads on 2,364 companies in 54 countries from 2004 to 2011, we find that firms exposed to stronger property rights through their foreign asset positions (institutional channel) and firms cross-listed on exchanges with stricter disclosure requirements (informational channel) reduce their CDS spreads by 40 bps for a one-standard-deviation increase in their exposure to the two channels. These channels capture effects beyond those associated with firm- a...
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作者：Purnanandam, Amiyatosh; Weagley, Daniel
作者单位：University of Michigan System; University of Michigan; University System of Georgia; Georgia Institute of Technology
摘要：We analyze the role of financial markets in shaping the incentives of government agencies using a unique empirical setting: the weather derivatives market. We show that the introduction of weather derivative contracts on the Chicago Mercantile Exchange (CME) improves the accuracy of temperature measurement by 13% to 20% at the underlying weather stations. We argue that temperature-based financial markets generate additional scrutiny of the temperature data measured by the National Weather Serv...
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作者：Falato, Antonio; Liang, Nellie
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Using a regression discontinuity design, we provide evidence that there are sharp and substantial employment cuts following loan covenant violations, when creditors gain rights to accelerate, restructure, or terminate a loan. The cuts are larger at firms with higher financing frictions and with weaker employee bargaining power, and during industry and macroeconomic downturns, when employees have fewer job opportunities. Union elections that create new labor bargaining units lead to higher loan...
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作者：van Binsbergen, Jules H.
作者单位：University of Pennsylvania
摘要：I study asset prices in a general equilibrium framework in which agents form habits over individual varieties of goods rather than over an aggregate consumption bundle. Goods are produced by monopolistically competitive firms whose elasticities of demand depend on consumers' habit formation. Firms that produce goods with a high habit level relative to consumption have low demand elasticities, set high prices for their product, have low expected returns on their stock, and have low asset pricin...
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作者：Akbas, Ferhat
作者单位：University of Kansas
摘要：I provide evidence that stocks experiencing unusually low trading volume over the week prior to earnings announcements have more unfavorable earnings surprises. This effect is more pronounced among stocks with higher short-selling constraints. These findings support the view that unusually low trading volume signals negative information, since, under short-selling constraints, informed agents with bad news stay by the sidelines. Changes in visibility or risk-based explanations are insufficient...
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作者：McLean, R. David; Pontiff, Jeffrey
作者单位：DePaul University; Boston College
摘要：We study the out-of-sample and post-publication return predictability of 97 variables shown to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining effects. We estimate a 32% (58%-26%) lower return from publication-informed trading. Post-publication declines are greater for predictors with higher in-sample returns, and returns are higher for portfolios concentrate...
