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作者：Korevaar, Matthijs
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Do investors reach for yield when interest rates are low and does this behavior affect the housing market? Using the unique setting and data of 18th-century Amsterdam, I show that reach-for-yield behavior of wealthy investors resulted in a large boom and bust in house prices and major changes in rental yields. Exploiting changes in the supply of bonds, I show that investors living off capital income shifted their portfolios towards real estate and other higher-yielding assets when bond yields ...
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作者：Derrien, Francois; Fresard, Laurent; Slabik, Victoria; Valta, Philip
作者单位：Hautes Etudes Commerciales (HEC) Paris; Universita della Svizzera Italiana; University of Bern; University of Geneva; Centre for Economic Policy Research - UK
摘要：Revaluations of industry peers around horizontal acquisitions are negative when targets are private, but positive when they are public. We posit this revaluation spread arises because acquiring managers favor private targets when public firms are overvalued. Targets' ownership status thus conveys information about industry assets' misvaluation and triggers predictable revaluations. Supporting this idea, private acquisitions occur when private targets appear cheaper than public firms based on v...
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作者：Chen, Sophia; Lee, Do
作者单位：International Monetary Fund; New York University
摘要：We show that the TFP growth of European micro, small, and medium-sized firms (SMEs) diverged from large firms after the global financial crisis. The average postcrisis TFP growth of medium-sized, small, and micro firms was, respectively, 1.1, 2.9, and 5.4 percentage points lower than that of large firms. This SME productivity gap is larger for firms with more severe credit supply shocks. The gap is partially attributable to a larger postcrisis reduction in intangible capital at SMEs than at la...
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作者：Howard, Greg; Liebersohn, Jack; Ozimek, Adam
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of California System; University of California Irvine
摘要：Remote work has increased the demand for housing and changed the demand for the location of that housing. Because housing supply is heterogeneous across space and more elastic in the long-run, the effects on rents and populations may differ over time. We use the lens of a spatial housing model with heterogeneous housing supply elasticities to identify the housing and location demand changes from 2020-2022, and show that the same shocks will have different effects in the long run. Even though r...
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作者：Aragon, George O.; Kim, Min S.
作者单位：Arizona State University; Arizona State University-Tempe; Boston University
摘要：We measure a stock's exposure to fire sale risk through its ownership links to mutual funds that anticipate significant outflows during periods of systematic outflows from the fund industry. We find that stocks with higher exposure to this risk earn higher average returns: a portfolio that buys (shorts) stocks with the highest (lowest) exposure outperforms by 3-7% annually. Our findings cannot be explained by several known determinants of average returns and support the ex-ante pricing of the ...
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作者：Feldhutter, Peter; Schaefer, Stephen
作者单位：Copenhagen Business School; University of London; London Business School
摘要：We investigate how the dynamics of corporate debt policy affect the pricing of corporate bonds. We find empirically that debt issuance has a significant stochastic component that is imperfectly correlated with shocks to asset value. As a consequence, the volatility of leverage is significantly higher than asset volatility over short horizons. At long horizons, the relation between leverage and asset volatility is reversed due to mean reversion in leverage. We incorporate these stochastic debt ...
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作者：Langlois, Hugues
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We investigate how different components in firm characteristics affect expected returns and comovements in international stock markets. We decompose characteristics into coun-try, industry, and country-and industry-adjusted (i.e., orthogonal) components. Then, we use these components to capture time-series and cross-sectional variations in stock-level alphas and factor exposures. Decomposing characteristics is crucial to explain jointly ex-pected returns and comovements: (i) adjusted (country)...
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作者：Lee, Michael Junho; Neuhann, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Texas System; University of Texas Austin
摘要：What determines the supply of good collateral? We study a dynamic model in which bor-rowers must exert effort to maintain collateral quality and markets become illiquid when average quality is too low. Average quality grows quickly when it is high initially, but dete-riorates or grows slowly otherwise. As such, even long-run market conditions are sensitive to a wide array of fundamental and non-fundamental shocks. Recoveries from illiquidity can occur, but only if funding is inefficiently rati...
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作者：Della Corte, Pasquale; Jeanneret, Alexandre; Patelli, Ella D. S.
作者单位：Imperial College London; Imperial College London; Centre for Economic Policy Research - UK; University of New South Wales Sydney; University of British Columbia
摘要：This paper uncovers a novel component for exchange rate predictability based on the price difference between sovereign credit default swaps denominated in different currencies. This new forecasting variable - the credit-implied risk premium - captures the expected currency depreciation conditional on a severe but rare credit event. Using data for 16 Eu-rozone countries, we find that the credit-implied risk premium positively forecasts the dollar-euro exchange rate return at various horizons. M...
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作者：Catherine, Sylvain; Yannelis, Constantine
作者单位：University of Pennsylvania; University of Chicago; University of Chicago; National Bureau of Economic Research
摘要：We study the distributional consequences of student debt forgiveness in present value terms, accounting for differences in repayment behavior across the earnings distribution. Full or partial forgiveness is regressive because high earners took larger loans, but also because, for low earners, balances greatly overstate the benefits of debt cancellation. Consequently, forgiveness would benefit the top decile as much as the bottom three deciles combined. Enrolling households who would benefit fro...
