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作者：Garleanu, Nicolae; Panageas, Stavros
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We study an economy without bubbles in which expectations about future discount rates can become self-fulfilling because asset valuations redistribute wealth across different investor cohorts. For such redistribution to take place, the wealth of arriving and existing cohorts must react differently to discount rates, and in addition only the existing agents are marginal in financial markets. The self-fulfilling nature of discount rate expectations means that the economy can address several well...
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作者：Kamiya, Shinichi; Kang, Jun-Koo; Kim, Jungmin; Milidonis, Andreas; Stulz, Rene M.
作者单位：Nanyang Technological University; Hong Kong Polytechnic University; University of Cyprus; University System of Ohio; Ohio State University
摘要：We develop a model where a firm has an optimal exposure to cyber risk. With rational, fully informed agents and with no hysteresis, a successful cyberattack should have no impact on a financially unconstrained target's reputation and post-attack policies. In contrast, when a successful attack involves the loss of personal financial information, there is a significant shareholder wealth loss, which is much larger than the attack's out-of-pocket costs. This excess loss is higher when the attack ...
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作者：Liu, Yan
作者单位：Purdue University System; Purdue University
摘要：I develop a new spectrum of moment bounds on the pricing kernel. They stem from the solution of an optimization problem that is complementary to Hansen and Jagannathan (1991) approach. Economically, they measure the discrepancy between what an optimizing agent could achieve if all assets (that are priced by the pricing kernel) were tradable and what she can actually achieve in the real-world market. Through the lens of these bounds, I examine leading macro-finance models using index option ret...
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作者：Brown, Gregory; Harris, Robert; Hu, Wendy; Jenkinson, Tim; Kaplan, Steven N.; Robinson, David T.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Virginia; University of Oxford; University of Chicago; National Bureau of Economic Research; Duke University
摘要：Private equity performance, both for buyouts and venture capital, has been highly cyclical: periods of high fundraising have been followed by periods of low performance. Despite this seemingly predictable variation, we find modest gains, at best, to pursuing realistic, investable strategies that time capital commitments to private equity. This occurs, in part, because investors can only time their commitments to funds; they cannot time when commitments are called or when investments are exited...
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作者：Kuchler, Theresa; Pagel, Michaela
作者单位：New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We use data from an online financial service to show that many consumers fail to stick to their self-set debt paydown plans. This behavior is best explained by present bias. Our empirical approach is informed by a parsimonious model showing that the sensitivity of spending to paycheck receipt reflects a present-biased agents short-run impatience, and that this sensitivity is reduced by available resources only for agents who are aware (sophisticated) of their future impatience. Classifying use...
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作者：Jank, Stephan; Roling, Christoph; Smajlbegovic, Esad
作者单位：Deutsche Bundesbank; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors' general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers av...
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作者：Chava, Sudheer; Ganduri, Rohan; Paradkar, Nikhil; Zhang, Yafei
作者单位：University System of Georgia; Georgia Institute of Technology; Emory University; University System of Georgia; University of Georgia
摘要：Using comprehensive credit bureau data, we document that consumers who borrow from marketplace lending (MPL) platforms have lower credit scores and higher default rates in the long run relative to observably similar applicants for bank loans. The long-run credit scores and default rates of MPL borrowers are especially worse when the MPL platforms provide less information to MPL investors, when MPL borrowers are benchmarked against relationship bank borrowers, and for one-time MPL borrowers as ...
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作者：Liu, Yan; Wu, Jing Cynthia
作者单位：Purdue University System; Purdue University; University of Notre Dame; National Bureau of Economic Research
摘要：The constant maturity zero-coupon yield curve for the US Treasuries is one of the most studied datasets. We construct a new yield curve using a non-parametric kernel-smoothing method with a novel adaptive bandwidth specifically designed to fit the Treasury yields. Our curve is globally smooth while still capturing important local variation. Economically, we show that applying our data leads to different conclusions from using the leading alternative data of Gurkaynak et al. (2007) (GSW) when w...
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作者：Lewis, Kurt F.; Longstaff, Francis A.; Petrasek, Lubomir
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We use a unique sample of corporate bonds guaranteed by the full faith and credit of the US to test recent theories about why asset prices may diverge from fundamental values. A key feature of our study is access to proprietary data on the haircuts, funding costs, and inventory positions of the primary dealers making markets in the individual bonds. The results provide strong support for the cross-sectional implications of the safe-asset, intermediary-constraints, and search-frictions literatu...
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作者：Bischof, Jannis; Laux, Christian; Leuz, Christian
作者单位：University of Mannheim; Vienna University of Economics & Business; European Corporate Governance Institute; University of Chicago
摘要：This paper examines banks' disclosures and loss recognition in the 20 07-20 09 financial crisis and identifies several core issues for the link between accounting and financial stability. We show that, going into the financial crisis, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns about banks' exposures had arisen in markets. The recognition of loan losses also was slow and delayed relative to prevailing market expectat...
