-
作者：Mohammadi, Samira; Cremaschi, Selen
作者单位：Auburn University System; Auburn University
摘要：High-fidelity simulations are computationally expensive to evaluate for optimization and sensitivity analysis applications. One popular method to avoid this problem is utilizing surrogate models, which approximate the simulations with cheaper-to-evaluate functions. The existing surrogate modeling techniques are designed for deterministic systems, with only a few approaches available for stochastic simulations. This study proposes a new method, called PARIN (PARameter as INput), to efficiently ...
-
作者：Chen, Zilin; Da, Zhi; Huang, Dashan; Wang, Liyao
作者单位：Southwestern University of Finance & Economics - China; 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...
-
作者：Li, Sida; Ye, Mao; Zheng, Miles
作者单位：Brandeis University; Cornell University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：The Regulation National Market System (Reg NMS) links fragmented stock exchanges by routing orders to the National Best Bid and Offer (NBBO). As the NBBO ignores exchange fees, 62% of routings lead to worse net prices. An increase in fee differences increases the market share captured by orders that refuse Reg NMS routings, particularly for stocks whose fees account for a large portion of transaction costs. Heterogeneous opportunity costs rationalize routing choices: non-routable orders entail...
-
作者：Segura, Anatoli; Villacorta, Alonso
作者单位：European Central Bank; Bank of Italy; University of California System; University of California Santa Cruz
摘要：We study optimal government support following a rare disaster that creates heterogeneous firm liquidity needs. Firms' increase in debt reduces their output due to moral hazard. Banks are subject to a minimum capital requirement that limits deposit insurance costs upon bad aggregate shocks. Without government support, firms' moral hazard and banks' funding frictions reinforce each other amplifying output losses. Optimal support is imple-mented with firm-specific transfers combined with the prov...
-
作者：Goodman, Lucas; Mukherjee, Anita; Ramnath, Shanthi
作者单位：United States Department of the Treasury; University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Retirement savings abandonment is a rising concern connected to defined contribution systems and default enrollment. We use tax data on Individual Retirement Accounts (IRAs) to establish that for a recent cohort, 0.4% of retirement-age individuals abandoned an ag-gregate of $66 million, proxied by a failure to claim over ten years after a legal requirement to do so. Analysis of state unclaimed property databases suggests that workplace defined contribution plans are abandoned at a higher rate ...
-
作者：Gerardi, Kristopher; Willen, Paul S.; Zhang, David Hao
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Federal Reserve System - USA; Federal Reserve Bank - Boston; Rice University; National Bureau of Economic Research
摘要：Black and Hispanic homeowners pay significantly higher mortgage interest rates than white and Asian homeowners. We show that the main reason is that white and Asian bor-rowers are much more likely to exploit periods of falling interest rates by refinancing their mortgages or moving. Black and Hispanic borrowers face challenges refinancing because, on average, they have lower credit scores, equity and income. But even holding those fac-tors constant, Black and Hispanic borrowers refinance less,...
-
作者：Bai, John (Jianqiu); Mkrtchyan, Anahit
作者单位：Northeastern University; University of Massachusetts System; University of Massachusetts Amherst
摘要：Using rich plant-level data, we analyze the relative performance of firms with inside and outside CEOs. We show that firms with outside CEOs achieve greater productivity improve-ments compared to firms with inside CEOs. Contrary to conventional wisdom, the rela-tion is stronger in well-performing, rather than poorly performing, firms. Although part of the productivity growth differential comes from divesting low-performing, peripheral, low-tech, and unionized plants, most productivity improvem...
-
作者：Bollerslev, Tim; Todorov, Viktor
作者单位：Duke University; Northwestern University
摘要：Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of jump leverage risk premium may ...
-
作者：Dagostino, Ramona; Gao, Janet; Ma, Pengfei
作者单位：University of Rochester; Georgetown University; Singapore Management University
摘要：Does partisanship influence the way investors price financial assets? Using voter registration data of bankers originating large corporate loans, we show that bankers whose party differs from that of the U.S. President charge 7% higher loan spreads than other bankers. This effect holds regardless of borrowers' partisanship, and becomes stronger for politically active bankers and when partisan media exhibit greater disagreement. Bankers do not match disproportionately with co-partisan borrowers...
-
作者：Farboodi, Maryam; Kondor, Peter
作者单位：Massachusetts Institute of Technology (MIT); University of London; London School Economics & Political Science
摘要：Endogenous cycles emerge through the two-way interaction between lending standards and production fundamentals. Lax lending standards in booms lead to low interest rates and high output but the deterioration of future loan quality. Low borrower quality in turn precipitates tight standards: the economy enters a recession with high credit spreads and low output but a gradual improvement in the quality of loans. This eventually triggers a shift back to a boom with lax lending, and the cycle conti...
