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作者：Cieslak, Anna; Povala, Pavol
作者单位：Duke University; University of London
摘要：Using a novel no-arbitrage model and extensive second-moment data, we decompose conditional volatility of U.S. Treasury yields into volatilities of short-rate expectations and term premia. Short-rate expectations become more volatile than premia before recessions and during asset market distress. Correlation between shocks to premia and shocks to short-rate expectations is close to zero on average and varies with the monetary policy stance. While Treasuries are nearly unexposed to variance sho...
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作者：Povel, Paul; Sertsios, Giorgo; Kosova, Renata; Kumar, Praveen
作者单位：University of Houston System; University of Houston; Universidad de los Andes - Chile; Imperial College London; University of Houston System; University of Houston
摘要：We study the performance of investments made at different points of an investment cycle. We use a large data set covering hotels in the United States, with rich details on their location, characteristics, and performance. We find that hotels built during hotel construction booms underperform their peers. For hotels built during local hotel construction booms, this underperformance persists for several decades. We examine possible explanations for this long-lasting underperformance. The evidenc...
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作者：Basak, Suleyman; Pavlova, Anna
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR)
摘要：We analyze how institutional investors entering commodity futures markets, referred to as the financialization of commodities, affect commodity prices. Institutional investors care about their performance relative to a commodity index. We find that all commodity futures prices, volatilities, and correlations go up with financialization, but more so for index futures than for nonindex futures. The equity-commodity correlations also increase. We demonstrate how financial markets transmit shocks ...
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作者：Yin, Chengdong
作者单位：Purdue University System; Purdue University
摘要：This study examines whether the standard compensation contract in the hedge fund industry aligns managers' incentives with investors' interests. I show empirically that managers' compensation increases when fund assets grow, even when diseconomies of scale in fund performance exist. Thus, managers' compensation is maximized at a much larger fund size than is optimal for fund performance. However, to avoid capital outflows, managers are also motivated to restrict fund growth to maintain style-a...
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作者：Brown, David P.; Wu, Youchang
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We develop a model of performance evaluation and fund flows for mutual funds in a family. Family performance has two effects on a member fund's estimated skill and inflows: a positive common-skill effect, and a negative correlated-noise effect. The overall spillover can be either positive or negative, depending on the weight of common skill and correlation of noise in returns. Its absolute value increases with family size, and declines over time. The sensitivity of flows to a fund's own perfor...
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作者：He, Zhiguo; Manela, Asaf
作者单位：University of Chicago; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We study information acquisition and dynamic withdrawal decisions when a spreading rumor exposes a solvent bank to a run. Uncertainty about the bank's liquidity and potential failure motivates depositors who hear the rumor to acquire additional noisy signals. Depositors with less informative signals may wait before gradually running on the bank, leading to an endogenous aggregate withdrawal speed and bank survival time. Private information acquisition about liquidity can subject solvent-but-il...
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作者：Korteweg, Arthur; Nagel, Stefan
作者单位：University of Southern California; University of Michigan System; University of Michigan; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We adapt stochastic discount factor (SDF) valuation methods for venture capital (VC) performance evaluation. Our approach generalizes the popular Public Market Equivalent (PME) method and allows statistical inference in the presence of crosssectionally dependent, skewed VC payoffs. We relax SDF restrictions implicit in the PME so that the SDF can accurately reflect risk-free rates and returns of public equity markets during the sample period. This generalized PME yields substantially different...
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作者：Ramcharan, Rodney; Verani, Stephane; Van den Heuvel, Skander J.
作者单位：University of Southern California; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：HOW DID THE COLLAPSE of the asset-backed securities (ABS) market during the 2007 to 2009 financial crisis affect the supply of credit to the broader economy? Using new data on the U.S. credit union industry, we find that ABS-related losses are associated with a large contraction in the supply of credit to consumers, especially among those credit unions that began the crisis with weaker capitalization. We also find that this credit supply shock restricted the availability of mortgage and automo...
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作者：Asparouhova, Elena; Bossaerts, Peter; Roy, Nilanjan; Zame, William
作者单位：Utah System of Higher Education; University of Utah; University of Melbourne; City University of Hong Kong; University of California System; University of California Los Angeles
摘要：We study the Lucas asset pricing model in a controlled setting. Participants trade two long-lived securities in a continuous open-book system. The experimental design emulates the stationary, infinite-horizon setting of the model and incentivizes participants to smooth consumption across periods. Consistent with the model, prices align with consumption betas and comove with aggregate dividends, particularly so when risk premia are higher. Trading significantly increases consumption smoothing c...
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作者：Cerqueiro, Geraldo; Ongena, Steven; Roszbach, Kasper
作者单位：Universidade Catolica Portuguesa; University of Zurich; Centre for Economic Policy Research - UK; Sveriges Riksbank; University of Groningen
摘要：We show that collateral plays an important role in the design of debt contracts, the provision of credit, and the incentives of lenders tomonitor borrowers. Using a unique data set from a large bank containing timely assessments of collateral values, we find that the bank responded to a legal reform that exogenously reduced collateral values by increasing interest rates, tightening credit limits, and reducing the intensity of its monitoring of borrowers and collateral, spurring borrower delinq...
