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作者：Opie, Wei; Riddiough, Steven J.
作者单位：Deakin University; University of Melbourne
摘要：We develop a novel method to dynamically hedge foreign exchange exposure in international equity and bond portfolios. The method exploits the time-series predictability of currency returns, which we show emerges from exploiting a forecastable component in global factor returns. The hedging strategy outperforms leading alternative approaches to currency hedging across a large set of performance metrics. Moreover, we find that exploiting currency return predictability via an independent currency...
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作者：Ozdagli, Ali; Velikov, Mihail
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that previous studies link to how stocks react to monetary policy. Our index successfully captures stocks' responses to both conventional and unconventional monetary policy. Stocks whose prices react more positively to expansionary monetary policy (high-MPE stocks) earn lower average returns. This result is consistent with the notion that high-MPE stocks provide a hedge against bad economic s...
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作者：Ai, Hengjie; Li, Kai; Yang, Fang
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Louisiana State University System; Louisiana State University
摘要：To understand the link between financial intermediation activities and the real economy, we build a general equilibrium model in which agency frictions in the financial sector affect the efficiency of capital reallocation across firms and generate aggregate economic fluctuations. We develop a recursive policy iteration approach to fully characterize the nonlinear equilibrium dynamics and the off-steady-state crisis behavior. In our model, adverse shocks to agency frictions exacerbate capital m...
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作者：Cederburg, Scott; O'Doherty, Michael S.; Wang, Feifei; (Sterling) Yan, Xuemin
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia; University System of Ohio; Miami University; Lehigh University
摘要：Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir (2017), volatility-managed portfolios tend to exhibit significantly positive alphas in spanning regressions. However, the trading strategies implied by these regressions are not implementable in real time, a...
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作者：Kempf, Elisabeth
作者单位：University of Chicago
摘要：Investment banks frequently hire analysts from rating agencies. While many argue that this revolving door creates captured analysts, it can also create incentives to improve accuracy. To study this issue, I construct an original data set, linking analysts to their career paths and the securitized finance ratings they issue. First, I show that accurate analysts are more frequently hired by underwriting investment banks. Second, I exploit two distinct sources of variation in the likelihood of be...
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作者：Oh, Hyunseung; Yoon, Chamna
作者单位：Vanderbilt University
摘要：A standard real-options model predicts that time-to-build investment could be delayed by uncertainty over future revenue. We quantify the first-order importance of this mechanism in the 2002-2011 housing boom-bust cycle by developing and estimating a model of sequential irreversible investment with stochastic bottlenecks. We find that the main driver of construction delays during the boom is construction bottlenecks. However, further delay in construction during the bust is caused by an increa...
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作者：Hennessy, Christopher A.; Kasahara, Akitada; Strebulaev, Ilya A.
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Osaka; Stanford University; National Bureau of Economic Research
摘要：Absent theoretical guidance, empiricists have been forced to rely upon numerical comparative statics from constant tax rate models in formulating testable implications of tradeoff theory in the context of natural experiments. We fill the theoretical void by solving in closed-form a dynamic tradeoff theoretic model in which corporate taxes follow a Markov process with exogenous rate changes. We simulate ideal difference-in-differences estimations, finding that constant tax rate models offer poo...
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作者：Gompers, Paul A.; Gornall, Will; Kaplan, Steven N.; Strebulaev, Ilya A.
作者单位：Harvard University; National Bureau of Economic Research; University of British Columbia; University of Chicago; Stanford University
摘要：We survey 885 institutional venture capitalists (VCs) at 681 firms to learn how they make decisions. Using the framework in Kaplan and Stromberg (2001), we provide detailed information on VCs' practices in pre-investment screening (sourcing evaluating and selecting investments), in structuring investments, and in post-investment monitoring and advising. In selecting investments, VCs see the management team as somewhat more important than business-related characteristics such as product or tech...
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作者：Brown, Jennifer; Matsa, David A.
作者单位：University of British Columbia; Utah System of Higher Education; University of Utah; Northwestern University; National Bureau of Economic Research
摘要：This paper examines how housing market distress affects job search. Using data from a leading online job search platform during the Great Recession, we find that job seekers in areas with depressed housing markets apply for fewer jobs that require relocation. With their search constrained geographically, job seekers broaden their search for lower-level positions nearby. These effects are stronger for job seekers with recourse mortgages, which we confirm using a spatial regression discontinuity...
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作者：Albuquerque, Rui; Song, Shiyun; Yao, Chen
作者单位：Boston College; European Corporate Governance Institute; Centre for Economic Policy Research - UK; The Vanguard Group, Inc.; Chinese University of Hong Kong
摘要：Do stock prices of publicly listed companies respond to changes in transaction costs? Using the SEC's pilot program that increased the tick size for approximately 1,200 randomly chosen stocks, we find a stock price decrease between 1.75% and 3.2% for small spread stocks affected by the larger tick size relative to a control group. We find that the increase in the present value of transaction costs accounts for a small percentage of the price decrease. We study channels of price variation due t...
