-
作者：Lieberman, Paul; Mihov, Atanas; Naranjo, Andy; Velikov, Mihail
作者单位：University of Kansas; State University System of Florida; University of Florida; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Trade credit is an important source of firm financing, yet its rich informational content pertaining to payment timeliness is under-explored in asset pricing. Using an extensive data set from a leading private information exchange on business payment performance, we study the effects of trade credit payment timeliness on stock returns. We document two distinct channels through which trade credit payment behavior impacts future stock returns - slow diffusion of information and risk stemming fro...
-
作者：Falato, Antonio; Iercosan, Diana; Zikes, Filip
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Banks use trading as a vehicle to take risk. Using high-frequency regulatory data, we estimate the sensitivity of weekly bank trading profits to aggregate equity, fixed-income, credit, currency, and commodity risk factors. Our estimates imply that U.S. banks had large trading exposures to equity market risk before the Volcker Rule, which they curtailed afterwards. Credit and currency risk exposures were smaller. The results hold up in a quasi-natural experiment that exploits the phased-in intr...
-
作者：Aldunate, Felipe; Da, Zhi; Larrain, Borja; Sialm, Clemens
作者单位：Universidad de los Andes - Chile; University of Notre Dame; Pontificia Universidad Catolica de Chile; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Frequent, yet uninformed, market timing recommendations by a financial advisory firm generate significant flows for Chilean pension funds. These flows induce substantial changes in the Chilean foreign exchange rate due to the funds' high allocation to international securities. Local banks provide liquidity to pension funds in the spot market and their hedging transactions propagate the demand fluctuations from the spot to the forward market, resulting in deviations from covered interest rate p...
-
作者：Dempsey, Kyle; Faria-e-Castro, Miguel
作者单位：University System of Ohio; Ohio State University; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：We study the aggregate consequences of dynamic lending relationships in a model of heterogeneous banks facing financial frictions. We estimate the model's loan demand system on administrative loan-level data: the market power implied by the estimated strength and persistence of relationships yields a long run reduction in credit of 5.9%. Relationships amplify the negative real effects of credit supply shocks, but mute those of negative credit demand shocks. In a financial crisis which destroys...
-
作者：Delao, Ricardo; Han, Xiao; Myers, Sean
作者单位：University of Southern California; City St Georges, University of London; University of Pennsylvania
摘要：What explains cross-sectional dispersion in stock valuation ratios? We find that 75% of dispersion in price-earnings ratios is reflected in differences in future returns, while only 25% is reflected in differences in future earnings growth. This holds at both the portfolio-level and the firm-level. We reconcile these conclusions with previous literature which has found a strong relation between prices and future profitability. Our results support models in which the cross-section of price-earn...
-
作者：Benguria, Felipe; Garcia-Marin, Alvaro; Schmidt-Eisenlohr, Tim
作者单位：Universidad de los Andes - Chile; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Exploiting transaction-level international trade data, this paper documents that long-term firm-to-firm relationships facilitate the use of trade credit, with the strength of this effect varying with firm size, firms' payment delays, and multinational affiliate status. Effects also depend on the strength of contract enforcement across countries and the complexity of products traded. Because trade credit can reduce the overall need to borrow from the financial sector, long-term relationships ma...
-
作者：Rodnyansky, Alexander; Timmer, Yannick; Yago, Naoki
作者单位：University of Cambridge; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Reading
摘要：This paper studies the effectiveness and mechanism of foreign exchange interventions (FXIs) for mitigating US monetary policy spillovers. Without interventions, contractionary US monetary policy shocks trigger foreign exchange depreciations, raise risk premiums, and induce portfolio outflows, thereby reducing foreign stock prices. The stock prices of firms with US dollar debt decline significantly more, indicating a strong role for a balance sheet channel. However, intervening against the Fed ...
-
作者：Chen, Hui; Didisheim, Antoine; Scheidegger, Simon
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Lausanne; University of London; London School Economics & Political Science; University of Melbourne
摘要：We introduce deep surrogates - high-precision approximations of structural models based on deep neural networks, which speed up model evaluation and estimation by orders of magnitude and allow for various compute-intensive applications that were previously infeasible. As an application, we build a deep surrogate for a high-dimensional workhorse option pricing model. The surrogate enables us to re-estimate the model at high frequency to construct an option-implied tail risk measure, which is hi...
-
作者：Davis, Carter; Kargar, Mahyar; Li, Jiacui
作者单位：University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Urbana-Champaign; Utah System of Higher Education; University of Utah
摘要：Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower-by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: price pass-through, which captures how price movements forecast returns, and unspanned returns, reflecting a stock's lack of perfect substitutes. In a factor model framework, we show that un...
-
作者：Abuzov, Rustam; Gornall, Will; Strebulaev, Ilya A.
作者单位：University of Virginia; University of British Columbia; Stanford University; National Bureau of Economic Research
摘要：We study how information disclosure concerns shape the choice of limited partners (LPs) by venture capitalists (VCs). Late-2002 court rulings prevented public LPs from providing confidentiality to investment managers. The best-performing VCs, but not other managers, responded by excluding public LPs from their new funds. Lost access reduced public LP returns by $1.6 billion relative to $14 billion of their VC commitments. Legislation reducing disclosure, contracts limiting information access, ...
