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作者：Eaton, Gregory W.; Green, T. Clifton; Roseman, Brian S.; Wu, Yanbin
作者单位：University System of Georgia; University of Georgia; Emory University; Oklahoma State University System; Oklahoma State University - Stillwater; State University System of Florida; University of Florida
摘要：Retail option traders are typically net purchasers of short-dated options, especially out-of-the-money contracts, whereas they frequently sell long-dated options. Using retail brokerage platform outages as shocks to trading, we find that outages are associated with commensurate demand shocks to implied volatility. Outages produce lower implied volatility on average, with stronger reductions for options that tend to be purchased by retail investors. In contrast, implied volatility increases for...
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作者：Janas, Pawel
作者单位：California Institute of Technology; National Bureau of Economic Research
摘要：I examine the effects of public debt on municipal services and real outcomes during financial crises using a unique archival dataset of U.S. cities from 1924 to 1943. Unlike today's countercyclical fiscal policies, the Great Depression provides a rare setting to observe fiscal shocks without substantial intergovernmental or Federal Reserve support. My findings show that financial market frictions-especially the need to refinance debt-led cities to sharply cut expenditures, particularly on capi...
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作者：Kilic, Mete; Tuzel, Selale
作者单位：University of Southern California
摘要：We document that 20% of Compustat firms exhibit above-median investment rates despite having below-median marginal product of capital (MPK), seemingly misallocating resources. These firms are typically younger and more likely to experience substantial upwards jumps in sales and MPK in subsequent years. They contribute significantly to innovation, and their investments predict future aggregate productivity, creating value beyond their current MPK. We propose and estimate a simple endogenous fir...
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作者：Goodman, Aaron; Puri, Indira
作者单位：New York University
摘要：We document a new anomaly that we prove standard preference models are unable to capture, regardless of functional form or parametric specification used. Analyzing trading behavior in the binary option market for retail investors, we find that market participants purchase binary options although strictly dominant bull spreads are available at lower prices: 15% of S&P index, 19% of gold, and 25% of silver trades violate no-dominance conditions consistently across three different asset classes. ...
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作者：Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Michigan State University
摘要：Several influential studies show that transformations of implied volatilities calculated from options prices predict stock returns. This predictability is puzzling because market participants readily observe options prices. We find that this predictability is consistent with implied volatilities reflecting stock borrow fees that are known to predict stock returns. We derive a formula relating the option-implied volatility spread to the borrow fee. Motivated by this relation, we show that the r...
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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...
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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...
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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...
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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...
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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...
