-
作者：Cho, Thummim; Kremens, Lukas; Lee, Dongryeol; Polk, Christopher
作者单位：Korea University; University of Washington; University of Washington Seattle; University of London; London School Economics & Political Science
摘要：We propose a loglinear present-value identity in which investment (scale), profitability (yield), and discount rates determine a firm's market-to-book ratio. Our identity reconciles existing influential market-to-book decompositions and facilitates novel insights from three empirical applications: (1) Both investment and profitability are important contributors to the value spread and stock return news variance. (2) Any cross-sectional return predictability has a mirror image in cash-flow fund...
-
作者：Liao, Gordon Y.; Zhang, Tony
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We propose the currency hedging channel that connects countries' external imbalances to their exchange rate behavior. We present a model in which investors increase their currency hedging during periods of financial distress in proportion to their net foreign asset exposure. This behavior coupled with constrained financial intermediation explains observed relationships between gradually adjusting external imbalances and volatile spot and forward exchange rates. We find empirical support for th...
-
作者：van Binsbergen, Jules H.; Nozawa, Yoshio; Schwert, Michael
作者单位：University of Pennsylvania; University of Toronto
摘要：We decompose corporate bond and equity index returns into duration-matched government bond returns and the excess returns over this duration-matched counterfactual, which we term duration-adjusted returns. Compared with previously used excess return definitions (ie, returns in excess of Treasury bills), our decomposition leads to markedly different return patterns and asset pricing implications. In particular, we find that investment-grade bonds earn a small credit risk premium, comparable in ...
-
作者：Garrett, Daniel G.
作者单位：University of Pennsylvania
摘要：When can financial advisor conflicts of interest generate worse outcomes for clients? A regulation following from Dodd-Frank prohibits municipal advisors from simultaneously acting as bond underwriters. Using a difference-in-differences approach and 20,051 bond auctions, I test whether limited advisor privileges affect financial advice and borrower outcomes. Financing costs of bonds with potential dual advisor-underwriters fall by 11.4 basis points after the advisor is no longer allowed to und...
-
作者：Aleti, Saketh; Bollerslev, Tim
作者单位：Duke University
摘要：Utilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced. News related to monetary policy and finance on average accounts for most of the variation in the SDF, followed by news about international affairs and macroeconomic data. We also document nontrivial temporal variation in the relative importance of the news, along with marked differences in the estimated news risk premiums in...
-
作者：Ivanov, Ivan T.; Kruttli, Mathias S.; Watugala, Sumudu W.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We estimate the effect of carbon pricing policy on bank credit to greenhouse-gas-emitting firms. Our analyses exploit the geographic restrictions inherent in California's cap-and-trade bill and a discontinuity in the embedded free permit threshold of the federal Waxman-Markey cap-and-trade bill. Affected high emission firms face shorter loan maturities, lower access to permanent forms of bank financing, higher interest rates, and higher participation of shadow banks in their lending syndicates...
-
作者：Mustre-del-Rio, Jose; Sanchez, Juan M.; Mather, Ryan; Athreya, Kartik
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：When a macroeconomic shock arrives, variation in household balance sheet health (captured by the presence of financial distress, or FD) leads to differential access to credit and hence a distribution in consumption responses. As we document, though, over the past two recessions, households in prior FD also experienced macroeconomic shocks more intensely than others, leading to a distribution of shock severity. Quantifying the importance of each dimension of heterogeneity (FD or shock severity)...
-
作者：Mezza, Alvaro; Ringo, Daniel; Sommer, Kamila
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper provides novel evidence that increased student loan debts, caused by rising tuitions, increase borrowers' demand for additional consumer debt, while simultaneously restricting their ability to access it. The net effect of student loan debt on consumer borrowing varies by market, depending on whether the supply or demand channel dominates. In loosely underwritten credit markets, increased student loan debt causes borrowing to increase, while in tightly underwritten markets, increased...
-
作者：Atanassov, Julian; Julio, Brandon; Leng, Tiecheng
作者单位：University of Nebraska System; University of Nebraska Lincoln; University of Oregon; Harbin Institute of Technology
摘要：We use close gubernatorial elections as a quasi-natural experiment to document a positive effect of political uncertainty on firm-level R&D. This finding is in contrast to the existing literature documenting a negative impact of political uncertainty on capital investment. We examine potential mechanisms and find that our results are consistent with the growth option view of R&D investment. The effect is stronger for politically sensitive and high-tech industries.The results are robust to diff...
-
作者：Barrot, Jean-Noel; Martin, Thorsten; Sauvagnat, Julien; Vallee, Boris
作者单位：Hautes Etudes Commerciales (HEC) Paris; Bocconi University; Frankfurt School Finance & Management; Harvard University
摘要：We investigate the labor market effects of a loan guarantee program targeting French SMEs during the financial crisis. Exploiting differences in regional treatment intensity in a border discontinuity design, we uncover a central trade-off for such interventions. While the program has a positive impact on workers' employment and earnings trajectories that translates into positive aggregate employment effects, it dampens the worker reallocation toward more productive firms that happens following...
