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作者：Buffa, Andrea M.; Hodor, Idan
作者单位：University of Colorado System; University of Colorado Boulder; Monash University
摘要：We study the equilibrium implications of a multi-asset economy in which asset managers performance is tied to different benchmarks, reflecting heterogeneity in their investment mandates. Fluctuations in the capital asset managers invest for benchmarking purposes, scaled by the size of the economy, induce price pressure that results in negative spillovers across assets. We characterize a rich structure of asset price comovement within and across benchmarks by analyzing shock elasticities and cr...
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作者：Kaniel, Ron; Lin, Zihan; Pelger, Markus; Van Nieuwerburgh, Stijn
作者单位：University of Rochester; Reichman University; Stanford University; Stanford University; Columbia University
摘要：We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, before and after fees. The outperformance persists for more than three years. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance, while characteristics of the stocks that funds hold are not predictive. Returns of predictive long-short portfolios are higher following a period of high sentiment. Our estimation with ne...
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作者：Chang, Briana; Gomez, Matthieu; Hong, Harrison
作者单位：University of Wisconsin System; University of Wisconsin Madison; Columbia University; Columbia University; National Bureau of Economic Research
摘要：We document that banks that cut lending more during the Great Recession were lending to riskier firms ex-ante. To understand the aggregate implications of this sorting pattern, we build an assignment model in which banks have heterogeneous costs to take on risky loans and firms have different credit risks. In the model, aggregate loan volume depends on the entire distribution of bank holding costs and firm credit risks. We then use our model to recover the change in the distribution of bank ho...
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作者：Andrei, Daniel; Friedman, Henry; Ozel, N. Bugra
作者单位：McGill University; University of Texas System; University of Texas Dallas
摘要：This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms' characteristics. The model shows that heightened economic uncer-tainty amplifies stock price reactions to earnings announcements via increased investor attention, which varies by firm characteristics. Firms with higher systematic risk or more informative announcements attract more attention and exhibit stronger reactions to earn-ings announcements. Moreover, heightened investor attentio...
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作者：Armantier, Olivier; Foncel, Jerome; Treich, Nicolas
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universite de Lille; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; INRAE
摘要：We study insurance and portfolio decisions, two opposite risk retention tradeoffs. Using household level data, we identify the first joint determinants (e.g. subjective expectations, risk attitude) and frictions (e.g. liquidity constraints, financial literacy) in the literature. We also find key differences between the two decisions. Notably, contrary to economic intuition, risky asset holding and insurance coverage both increase with wealth. We show that this apparent puzzle is driven in part...
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作者：Monacelli, Tommaso; Quadrini, Vincenzo; Trigari, Antonella
作者单位：Bocconi University; University of Southern California
摘要：We study the importance of financial markets for (un)employment fluctuations in a model with matching frictions where firms borrow under limited enforcement. Borrowing affects employment through a 'debt bargaining channel': higher debt improves the bargaining po-sition of employers with workers and increases the incentive to hire. We estimate the model structurally and find that the debt bargaining channel accounts for 26 percent of unemployment fluctuations. We find empirical support for the ...
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作者：Huh, Yesol; Kim, You Suk
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study optimal securitization in the agency mortgage-backed securities (MBS) market. Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces adverse selection due to cheapest-to-deliver pricing. We find that lenders pool high-value loans separately and trade them in a less liquid market. We estimate a model of MBS pooling and trading to study welfare implications of pooling policies. TBA market structure produces a trade-off between efficiency and equity; broade...
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作者：Carlin, Bruce; Umar, Tarik; Yi, Hanyi
作者单位：Rice University; Boston College
摘要：Permissive laws deputize financial professionals to screen for misbehavior without pro-viding explicit incentives. These are very common in financial markets. To evaluate their effectiveness, we exploit the staggered adoption of the 2016 Model Act provisions intended to curb elder abuse. We find a drop in reports of abuse by financial professionals to the Department of Treasury and, separately, in financial crimes against the elderly as mon-itored by the FBI. The effect is stronger where the e...
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作者：Gormley, Todd A.; Gupta, Vishal K.; Matsa, David A.; Mortal, Sandra C.; Yang, Lukai
作者单位：Washington University (WUSTL); University of Alabama System; University of Alabama Tuscaloosa; Northwestern University; National Bureau of Economic Research; Texas A&M University System; Texas A&M International University
摘要：In 2017, The Big Three institutional investors launched campaigns to increase gender diversity on corporate boards. We estimate that their campaigns led American corporations to add at least 2.5 times as many female directors in 2019 as they had in 2016. Firms increased diversity by identifying candidates beyond managers' existing networks and by placing less emphasis on candidates' executive experience. Firms also promoted more female directors to key board positions, indicating firms' respon...
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作者：Huang, Xing; Ivkovic, Zoran; Jiang, John Xuefeng; Wang, Isabel Yanyan
作者单位：Washington University (WUSTL); Michigan State University; Michigan State University; Michigan State University
摘要：We examine the role of first impressions in angel investor decision-making. Video stills of entrepreneurs pitching on the Shark Tank show and in Startup Battlefield competitions yield six measures of first impressions of entrepreneurs' facial traits and two principal components: one that captures general ability and the other that contrasts charm and managerial ability. We find positive associations between both components and the like-lihood of entrepreneurs receiving an investment offer or w...
