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作者：Goncalves, Andrei S.; Leonard, Gregory
作者单位：University System of Ohio; Ohio State University; University of North Carolina; University of North Carolina Chapel Hill
摘要：Recent evidence indicates the value premium declined over time. We argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, F E, defined as the present value of cash flows under a common discount rate across firms. Specifically, we estimate F E for public US firms over time and find that the premium asso-ciated with the fundamental-to-market ratio, F E /ME , subsumes the BE /ME premium and has been relatively stable while the cross-sectional correl...
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作者：Nagel, Stefan; Xu, Zhengyang
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; City University of Hong Kong
摘要：We examine subjective risk premia implied by return expectations of individual investors and professionals for portfolios of stocks, bonds, currencies, and commodity futures. While in-sample predictive regressions with realized excess returns suggest that objective risk premia vary countercyclically with business-cycle and asset-valuation measures, subjective risk premia extracted from survey data are largely acyclical. Out-of-sample forecasts of ex -cess returns exhibit a similar lack of cycl...
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作者：Chen, Zilin; Da, Zhi; Huang, Dashan; Wang, Liyao
作者单位：Southwestern University of Finance & Economics - China; University of Notre Dame; Singapore Management University; Hong Kong Baptist University
摘要：We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president's handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR b...
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作者：Gokkaya, Sinan; Liu, Xi; Stulz, Rene M.
作者单位：University System of Ohio; Ohio University; University System of Ohio; Ohio State University; University System of Ohio; Miami University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：We open the black box of the M&A decision process by examining whether specialized M&A staff, who perform a wide range of acquisition-related functions, improve acquisi-tion performance. We find that the presence and the quality of specialized M&A staff is one of the most economically important determinants of acquisition performance. We ex-plore mechanisms through which specialized M&A staff improve acquisition performance and investigate why only less than half of US firms employ such staff....
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作者：Crosignani, Matteo; Macchiavelli, Marco; Silva, Andre F.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Massachusetts System; University of Massachusetts Amherst; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper examines the supply chain effects of the most damaging cyberattack in his-tory so far. The attack propagated from the directly hit firms to their customers, causing a four-fold amplification of the initial drop in profits. These losses were larger for affected customers with fewer alternative suppliers. Internal liquidity buffers and increased bor-rowing, mainly through bank credit lines, helped firms navigate the shock. Nonetheless, the cyberattack led to persistent adjustments to ...
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作者：Escobar, Laura; Pedraza, Alvaro
作者单位：Universidad de La Sabana; The World Bank
摘要：We study the influence from social interactions on equity trading. Using unique data on stock transactions, we exploit the quasi-random assignment of students to classrooms in a financial training program to identify how peer experience affects investor behavior. We find that individuals react more to peer gains than to peer losses. Students enrolled in courses where peers have positive outcomes: (i) are more likely to start trading, (ii) purchase similar stocks as their classmates, and (iii) ...
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作者：Gutierrez, Bryan; Ivashina, Victoria; Salomao, Juliana
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Harvard University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Center for Economic & Policy Research (CEPR)
摘要：In emerging markets, a significant share of corporate loans are denominated in dollars. Using novel data that includes loan-level currency and the cost of credit, in addition to several other transaction-level characteristics, we re-examine the reasons behind dollar credit popularity. We find that a dollar-denominated loan has an interest rate that is 2 percentage points lower per year than a loan in local currency. Expectations of exchange rate movements do not explain this difference. We sho...
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作者：Carvalho, Daniel; Gao, Janet; Ma, Pengfei
作者单位：Indiana University System; Indiana University Bloomington; Georgetown University
摘要：We provide evidence that changes in lender optimism can lead to excessive fluctuations in credit spreads across the credit cycle. Using data on the real estate properties of loan officers originating large corporate loans, we find that credit spreads overreact to sophisti-cated lenders' recent local economic experiences, captured by local housing price growth. These effects are only present when borrowers own real estate assets and during times of greater uncertainty about real estate values, ...
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作者：Vihriala, Erkki
作者单位：Aalto University
摘要：Debt-repayment flexibility should help temporarily liquidity-constrained households but not necessarily households struggling to save. In a natural experiment in which households can apply for free mortgage-repayment flexibility, I find that two-thirds of liquidityconstrained applicants with high-cost debt voluntarily restrict flexibility and forgo, on average, 4,070 EUR of low-cost liquidity. An overconsumption tendency reflecting self-control problems can explain the voluntary liquidity rest...
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作者：van Binsbergen, Jules H.; Boons, Martijn; Opp, Christian C.; Tamoni, Andrea
作者单位：University of Pennsylvania; National Bureau of Economic Research; Tilburg University; Universidade Nova de Lisboa; University of Rochester; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：We classify asset pricing anomalies into those exacerbating mispricing (build-up anoma-lies) and those resolving it (resolution anomalies). We estimate the dynamics of price wedges for well-known anomaly portfolios and map them to firm-level mispricings. We find that several prominent anomalies like momentum and profitability further dislocate prices. Multi-factor models designed to eliminate one-month alphas still produce large price wedges. Our estimates yield a novel decomposition of Tobin'...
