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作者：Allen, Franklin; Gu, Xian; Li, C. Wei; Qian, Jun Q. J.; Qian, Yiming
作者单位：Imperial College London; Durham University; University of Iowa; Fudan University; University of Connecticut
摘要：Implicit guarantees provided by financial intermediaries are a key component of China's shadow banking sector. We show theoretically that project screening by intermediaries, accompanied by their implicit guarantees to investors, can be the second-best arrange-ment and mitigate capital misallocation that favors state-owned enterprises (SOEs). Using a dataset of trusts' investment products, we find, consistent with our model, that ex ante expected yields reflect borrower risks and implicit guar...
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作者：Kempf, Elisabeth; Luo, Mancy; Schaefer, Larissa; Tsoutsoura, Margarita
作者单位：Harvard University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Frankfurt School Finance & Management; Washington University (WUSTL); Centre for Economic Policy Research - UK; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Does investors' political ideology shape international capital allocation? We provide evi-dence from two settings-syndicated corporate loans and equity mutual funds-to show ideological alignment with foreign governments affects the cross-border capital allocation by U.S. institutional investors. Ideological alignment on both economic and social issues plays a role. Our empirical strategy ensures direct economic effects of foreign elections or government ties between countries are not driving t...
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作者：Bonfim, Diana; Custodio, Claudia; Raposo, Clara
作者单位：Universidade Catolica Portuguesa; Banco de Portugal; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK; University of London; London Business School; Imperial College London; Banco de Portugal; Universidade de Lisboa
摘要：We use variation in the access to a government credit certification program to estimate the financial and real effects of supporting small firms. This program was first implemented during the global financial crisis, but has remained active ever since, allowing us to ana-lyze its effects both during recessions and recoveries. Eligible firms have access to govern-ment loan guarantees and a credit quality certification. We estimate real effects using a multidimensional regression discontinuity d...
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作者：Sias, Richard; Starks, Laura T.; Turtle, H. J.
作者单位：University of Arizona; University of Texas System; University of Texas Austin; Colorado State University System; Colorado State University Fort Collins
摘要：We hypothesize that the well-documented negativity bias, the psychological tendency to asymmetrically emphasize negative over positive aspects, can help explain several financial market phenomena: why most individuals hold strongly bearish views of both short- and long-term equity return distributions, why individuals exhibit heterogeneous beliefs, and the stock market participation puzzle. Using variation in the perceived risk of mortality from the swine flu pandemic as our primary proxy for ...
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作者：Andrade, Sandro C.; Ekponon, Adelphe; Jeanneret, Alexandre
作者单位：University of Miami; University of Liverpool; University of Ottawa; University of New South Wales Sydney
摘要：We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to higher-frequency macroeconomic shocks. Our model predicts that the first source, labeled long-run macro risk, is the primary driver of the level and the cross-sectional variation in sovereign bond premia. We find s...
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作者：De Miguel, Victor; Gil-Bazo, Javier; Nogales, Francisco J.; Santos, Andre A. P.
作者单位：University of London; London Business School; Pompeu Fabra University; Barcelona School of Economics; Universidad Carlos III de Madrid; CUNEF Universidad
摘要：Machine-learning methods exploit fund characteristics to select tradable long-only portfolios of mutual funds that earn significant out-of-sample annual alphas of 2.4% net of all costs. The methods unveil interactions in the relation between fund characteristics and future performance. For instance, past performance is a particularly strong predictor of future performance for more active funds. Machine learning identifies managers whose skill is not sufficiently offset by diseconomies of scale...
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作者：Glebkin, Sergei; Kuong, John Chi-Fong
作者单位：INSEAD Business School
摘要：We consider a market where large investors do not only trade on information about asset fundamentals. When they trade more aggressively, the price becomes less informative. Other investors who learn from prices, in turn, are less concerned about adverse selection and provide more liquidity, causing large investors to trade even more aggressively. This trading complementarity can engender three unconventional results: i) increased competition among large investors makes all investors worse off,...
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作者：Jiang, Zhengyang; Richmond, Robert J.
作者单位：Northwestern University; National Bureau of Economic Research; New York University
摘要：We show that exchange rate correlations tend to be explained by the global trade net-work while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade net-work with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the driv...
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作者：Tran, Anh; Wang, Pingle
作者单位：University of Connecticut; University of Texas System; University of Texas Dallas
摘要：This paper examines investors' retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a return-chasing strategy. In contrast, the remaining 17% of wealthy investors with relatively higher financial literacy follow CAPM alpha. This difference between the two investor groups explains why fund flows respond to returns at the plan level but to CAPM alpha at the aggregated fund level. Return-...
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作者：Guiso, Luigi; Zaccaria, Luana
摘要：We obtain a model-driven measure of gender norms on intra-household financial decision making by leveraging dramatic variation across Italian cohorts and regions in the gender of the household head. We use these estimates to identify the effects of gender parity on household financial decisions. More egalitarian norms increase household participation in financial markets, equity holdings, asset diversification, and returns on investments. This evidence suggests that gender roles can have large...
