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作者：Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
作者单位：Duke University; National Bureau of Economic Research; Duke University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market and negative asset return covariation predict significantly higher future returns, while semibetas attributable to negative market and positive asset return covariation predict significantly lower future returns. The two semibetas associated with positive market return variat...
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作者：He, Zhiguo; Nagel, Stefan; Song, Zhaogang
作者单位：University of Chicago; National Bureau of Economic Research; Johns Hopkins University
摘要：In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints inter...
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作者：Liu, Yang; Shaliastovich, Ivan
作者单位：University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison
摘要：Measures of US government policy approval are strongly related to persistent fluctuations in the dollar value. Contemporaneous correlations between approval ratings and the dollar approach 50% against advanced economy currencies. High approval ratings further forecast a decline in the dollar risk premium several years ahead and are associated with a persistent increase in economic growth and a reduction in economic volatility. We provide an illustrative model to interpret our empirical evidenc...
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作者：Elkamhi, Redouane; Nozawa, Yoshio
作者单位：University of Toronto
摘要：Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document empirical evidence for the fire sale of leveraged loans due to leverage constraints on CLOs. Constrained CLOs are forced to sell loans downgraded to CCC or below, and thus loans widely held by constrained CLOs experience temporary price depreciation. This instability is exacerbated by diversification requirements. As the CLO market grows, each CLO's effort to diversify its portfolio leads to similarity in l...
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作者：Gupta, Arpit; Mittal, Vrinda; Peeters, Jonas; Van Nieuwerburgh, Stijn
作者单位：New York University; Columbia University; University of Pennsylvania
摘要：We show that the COVID-19 pandemic brought house price and rent declines in city cen-ters, and price and rent increases away from the center, thereby flattening the bid-rent curve in most U.S. metropolitan areas. Across MSAs, the flattening of the bid-rent curve is larger when working from home is more prevalent, housing markets are more regu-lated, and supply is less elastic. Housing markets predict an urban revival with urban rent growth exceeding suburban rent growth for the foreseeable fut...
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作者：Whited, Toni M.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
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作者：Syrstad, Olav; Viswanath-Natraj, Ganesh
摘要：Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one ba-sis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to periods of elevated dispersion in funding costs and over quarterends. Central bank swap lines reduce the order flow into USD, subsequently affecting the FX forward rate. In contrast, over quarter-ends a...
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作者：Back, Kerry; Crotty, Kevin; Kazempour, Seyed Mohammad
作者单位：Rice University; Rice University
摘要：Recent work uses option prices to derive lower bounds for the risk premia of the market portfolio and individual stocks. We test the bounds conditionally. We cannot reject that they are valid, but we do reject that they are tight. Using the market bounds as forecasts appears unreasonable in many cases due to their high slackness. Adding past mean slackness is a potential improvement but is hampered by the brevity of the available data series. The correlation of the stock bounds with subsequent...
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作者：Ding, Yi; Xiong, Wei; Zhang, Jinfan
作者单位：The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
摘要：We document issuance overpricing of corporate debt securities in China, which is robust across subsamples with different credit ratings, maturities, and issuers. This phenomenon contrasts with underpricing of equity and debt securities in Western countries and reflects China's distinct institutional environment. The average overpricing dropped from 7.44 basis points to 2.41 basis points after the government prohibited underwriters from using rebates in issuances in October 2017. By analyzing o...
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作者：Barrero, Jose Maria
作者单位：Instituto Tecnologico Autonomo de Mexico
摘要：This paper studies how biases in managerial beliefs affect managerial decisions, firm performance, and the macroeconomy. Using a new survey of US managers I establish three facts. (1) Managers are not overoptimistic: sales growth forecasts on average do not exceed realizations. (2) Managers are overprecise: they underestimate future sales growth volatility. (3) Managers overextrapolate: their forecasts are too optimistic after positive shocks and too pessimistic after negative shocks. To quant...
