Review of Financial Studies

最新文章

• Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty AI翻译
  作者：Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C.
  作者单位：University of Southern California; Federal Reserve System - USA; Federal Reserve Bank - New York; University of Oxford; Centre for Economic Policy Research - UK; University of London; London Business School
  摘要：Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. In addition, our model addresses two challenges to the standard model. Calibrating the agents' preferences to explain the equity premium no longer implies an extreme preference for early resolutions o...
• Valuing Financial Data AI翻译
  作者：Farboodi, Maryam; Singal, Dhruv; Veldkamp, Laura; Venkateswaran, Venky
  作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Columbia University; New York University
  摘要：How should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a sufficient statistics approach that uses equilibrium asset return moments to summarize all relevant information about others' characteristics. Our approach values public or private data, data about one or many assets, and data relevant for dividends or sentiment. While different data types, of course, have different valuations, heterogeneous investors ...
• Estimating Discount Functions with Consumption Choices over the Lifecycle AI翻译
  作者：Laibson, David; Lee, Sean Chanwook; Maxted, Peter; Repetto, Andrea; Tobacman, Jeremy
  作者单位：Harvard University; Pontificia Universidad Catolica de Chile; University of Delaware
  摘要：We estimate beta-delta time preferences and relative risk aversion (RRA) using a lifecycle model including stochastic income, liquid and illiquid assets, credit cards, dependents, Social Security, mortality, and bequests. Preference parameters are identified by cross-tabulating four lifecycle age intervals and four balance sheet moments: the share of households carrying (ie, revolving) credit card debt, average carried credit card debt, average net wealth among households carrying credit card ...
• Computational Reproducibility in Finance: Evidence from 1,000 Tests AI翻译
  作者：Perignon, Christophe; Akmansoy, Olivier; Hurlin, Christophe; Dreber, Anna; Holzmeister, Felix; Huber, Juergen; Johannesson, Magnus; Kirchler, Michael; Menkveld, Albert J.; Razen, Michael; Weitzel, Utz
  作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS); Universite de Orleans; Stockholm School of Economics; University of Innsbruck; Vrije Universiteit Amsterdam; Tinbergen Institute; Radboud University Nijmegen
  摘要：We analyze the computational reproducibility of more than 1,000 empirical answers to 6 research questions in finance provided by 168 research teams. Running the researchers' code on the same raw data regenerates exactly the same results only 52% of the time. Reproducibility is higher for researchers with better coding skills and those exerting more effort. It is lower for more technical research questions, more complex code, and results lying in the tails of the distribution. Researchers exhib...
• Teams and Bankruptcy AI翻译
  作者：Baghai, Ramin P.; Silva, Rui C.; Ye, Luofu
  作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Universidade Nova de Lisboa; University of London; London Business School
  摘要：We study how the human capital embedded in teams is affected by, and reallocated through, corporate bankruptcies. After a bankruptcy, U.S. inventors produce fewer and less impactful patents. Moreover, teams become less stable. Consequently, compared to inventors that rely less on teamwork, the performance of team inventors deteriorates more. These findings point to the loss of team-specific human capital as a cost of resource reallocation through bankruptcy. Acquisitions by industrial firms an...
• A Theory of the Term Structure of Interest Rates under Limited Household Risk Sharing AI翻译
  作者：Mitra, Indrajit; Xu, Yu
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Delaware
  摘要：We present a theory in which the interaction between limited sharing of idiosyncratic labor income risk and labor adjustment costs (that endogenously arise through search frictions) determines interest rate dynamics. In the general equilibrium, the interaction of these two ingredients relates bond risk premiums, cross-sectional skewness of income growth, and labor market tightness. Our model rationalizes an upward-sloping average yield curve and predicts a negative relation between labor marke...
• Can Human Capital Explain Income-Based Disparities in Financial Services? AI翻译
  作者：Huang, Ruidi; Linck, James S.; Mayer, Erik J.; Parsons, Christopher A.
  作者单位：Southern Methodist University; University of Wisconsin System; University of Wisconsin Madison; University of Southern California
  摘要：Research shows that access to high-quality financial services varies with local income and wealth. We study how financial firms' internal allocation of human capital contributes to these disparities. Using a near-comprehensive panel of over 350,000 U.S. mortgage loan officers, we document large and persistent differences in productivity and performance. We find that firms' hiring and promotion practices allocate workers with less experience or poor track records to branches serving low-income ...
• Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort AI翻译
  作者：Jasova, Martina; Laeven, Luc; Mendicino, Caterina; Peydro, Jose-Luis; Supera, Dominik
  作者单位：Columbia University; Tilburg University; European Central Bank; European Central Bank; Imperial College London; ICREA; Pompeu Fabra University
  摘要：We show that lender of last resort (LOLR) policy exacerbates bank interconnectedness. Using novel micro-level data, we analyze LOLR's haircut gaps: the differences between the private market and central bank haircuts. LOLR policy incentivizes banks to increase pledging and holdings of higher haircut-gap bonds, especially those issued by domestic and systemically important banks. Effects only apply to banks, not to nonbanks without LOLR access. LOLR funding revives bank bond issuance associated...
• Stress Testing and Bank Lending AI翻译
  作者：Shapiro, Joel; Zeng, Jing
  作者单位：University of Oxford; University of Bonn
  摘要：Stress tests convey information about the strictness of future tests, creating incentives for banks to alter their future lending behavior. Regulators recognize and use this influence: they may conduct softer stress tests to encourage lending or tougher stress tests to reduce risk-taking. This information management can lead to inefficiencies when (a) the test loses credibility or (b) the test becomes self-fulfilling. In addition, banks may distort their lending behavior in anticipation of the...
• Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets AI翻译
  作者：Akinci, Ozge; Queralto, Albert
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic financial accelerator, leading to large cross-border spillovers of U.S....