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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...
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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 ...
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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...
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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...
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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, ...
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作者：Eren, Egemen; Malamud, Semyon; Zhou, Haonan
作者单位：Bank for International Settlements (BIS); Swiss Federal Institutes of Technology Domain; Swiss Finance Institute (SFI); Ecole Polytechnique Federale de Lausanne; University of Hong Kong
摘要：Firms often expose themselves to currency risk by borrowing in foreign currencies, even when the local currency actually provides a better hedge in downturns. Motivated by this novel fact, we develop an international corporate finance model in which firms facing adverse selection choose the foreign currency share of their debt. In the unique separating equilibrium, good firms optimally expose themselves to currency risk to signal their type. Crucially, the nature of this equilibrium depends on...
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作者：Clara, Nuno; Cocco, Joao F.; Naaraayanan, S. Lakshmi; Sharma, Varun
作者单位：Duke University; University of London; London Business School; Pennsylvania State System of Higher Education (PASSHE); Indiana University of Pennsylvania; Centre for Economic Policy Research - UK
摘要：Operation of residential buildings is responsible for roughly 22% of global energy consumption and 17% of CO2 emissions. We study the investments triggered by a regulatory intervention requiring rented properties to satisfy minimum energy efficiency standards. The analysis shows significant investments in low capital expenditure retrofits. Using an instrumented difference-in-differences methodology, we show that the investments do not have an economically significant impact on rents, so that l...
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作者：Benmelech, Efraim; Zator, Michal
作者单位：Northwestern University; National Bureau of Economic Research; University of Notre Dame
摘要：Using cross-country and German administrative data on robotization, we show that the impact of robots on firms and labor markets is limited. First, investment in robots is small and highly concentrated in a few industries, representing less than 0.3% of aggregate expenditures on equipment. Second, robotization does not grow as rapidly as Information Technology did in the past, and current growth is driven by gains in developing countries. Third, firms invest in robots when they face difficulti...
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作者：DeAngelo, Harry; Kahle, Kathleen; Skinner, Douglas J.
作者单位：University of Southern California; University of Arizona; University of Chicago
摘要：Jensen's (1986) analysis of the agency costs of free cash flow radically transformed our understanding of corporate payout policy. This paper details the main pre-Jensen advances in the payout literature, explains how his analysis profoundly altered the way financial economists view payout policy, and discusses prominent regularities that provide real-world texture for understanding the importance of his insights about payout policy. These regularities include: (i) the dominance (measured as a...
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作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; New York University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long ...
