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作者：Elkamhi, Redouane; Jo, Chanik
作者单位：University of Toronto; Chinese University of Hong Kong
摘要：We test the conditional consumption-CAPM using asset holders' consumption and find that the time variation in the prices of asset holders' consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different m...
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作者：Dannhauser, Caitlin D.; Spilker, Harold D.
作者单位：Villanova University; University of Hawaii System; University of Hawaii Manoa
摘要：Modern mutual fund families include more than active mutual funds (AMFs). AMFs in families with greater index mutual fund (IMF) presence generate higher category-adjusted gross returns. Performance is positively related to the levels of passive and active fees, sug-gesting moral hazard. Intrafamily competition from IMFs in the same Morningstar category incentivizes managers to exert effort. Financial resources do not contribute to the perfor-mance effect. Cross-trading with IMFs occurs with so...
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作者：Niepmann, Friederike; Schmidt-Eisenlohr, Tim
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A strong dollar has been associated with lower lending to emerging markets and tighter global financial conditions. This paper documents similar patterns for credit in the U.S. economy: when the U.S. broad dollar index appreciates by 1 percent, U.S. banks' corporate loan originations fall by 4.5 percent, with banks tightening credit standards and lending to safer borrowers. This negative correlation, which we term the U.S. dollar credit channel, is at least in part driven by institutional inve...
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作者：Hassan, Ramin; Loualiche, Erik; Pecora, Alexandre R.; Ward, Colin
作者单位：Cornerstone Research; University of Minnesota System; University of Minnesota Twin Cities; Virginia Polytechnic Institute & State University
摘要：Exchange rate volatility falls after a trade deal, driven by a decline in the systematic component of risk. The average trade deal increases trade by 50 percent over five years, reducing systematic risk by a third of a standard deviation across countries. We examine this connection in an Armington model where the structure of trade networks determines the risk in exchange rates. We estimate our model to current data and find i) that countries at the periphery of the world trade network benefit...
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作者：Huber, Amy Wang
摘要：I model and structurally estimate the equilibrium rates and volume in the Triparty repo market to study imperfect competition in wholesale funding. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders' aversion to portfolio concentration and preference for ...
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作者：Friedrich, Benjamin U.; Zator, Michal
作者单位：Northwestern University; Aarhus University; University of Notre Dame
摘要：We study how firms respond to an unexpected demand shock, exploiting the 2006 boycott of Danish products after publication of Muhammad caricatures. On average, affected firms lose the majority of their exports to Muslim countries and experience a significant decrease in total sales. However, firms with low financial leverage redirect sales to new and existing product-destination markets in non-Muslim countries, which allows them to fully offset their losses. In contrast, high-leverage firms do...
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作者：Manresa, Elena; Penaranda, Francisco; Sentana, Enrique
作者单位：New York University; City University of New York (CUNY) System; Queens College NY (CUNY)
摘要：Empirical asset pricing models with possibly unnecessary risk factors are increasingly com-mon. Unfortunately, they can yield misleading statistical inferences. Unlike previous stud-ies, we estimate the identified set of SDFs and risk prices compatible with a given model's asset pricing restrictions. We also propose tests that detect problematic situations with economically meaningless SDFs unrelated to the test assets. Empirically, we estimate linear subspaces of SDFs compatible with popular ...
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作者：Engle, Robert F.; Campos-Martins, Susana
作者单位：New York University; University of Oxford; Universidade do Minho
摘要：Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such shocks is defined as global COVOL which is an abbreviation for global common volatility, a broad measure of all types of global financial risk. This paper introduces a statistical formulation of such events as common volatility innovations in both a multivariate volatility and an asset pricing context. Simulations verify the statistical pe...
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作者：Bessembinder, Hendrik; Cooper, Michael J.; Zhang, Feng
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah; Southern Methodist University
摘要：The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative long-horizon ab-normal returns. These results reflect positive skewness in the distribution of fund returns that increases with horizon, and highlight the limitations of conditional arithmetic means of short-horizon returns (e.g., alpha) for long-...
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作者：Pagano, Marco; Wagner, Christian; Zechner, Josef
作者单位：University of Naples Federico II; Vienna University of Economics & Business; Vienna University of Economics & Business
摘要：Using the COVID-19 pandemic as a laboratory, we show that asset markets assign a time -varying price to firms' disaster risk exposure. The cross-section of stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social dis-tancing. As predicted by theory, realized and expected return differentials moved in op-posite directions, initially widening and then narrowing. When inferred from market out-comes, firm resilience correlates mainly with expo...
