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作者：Adelino, Manuel; Cunha, Igor; Ferreira, Miguel A.
作者单位：Duke University; University of Kentucky; Universidade Nova de Lisboa; European Corporate Governance Institute; Center for Economic & Policy Research (CEPR)
摘要：We show that municipalities' financial constraints can have a significant impact on local employment and growth. We identify these effects by exploiting exogenous upgrades in U.S. municipal bond ratings caused by Moody's recalibration of its ratings scale in 2010. We find that local governments increase expenditures because their debt capacity expands following a rating upgrade. These expenditures have an estimated local income multiplier of 1.9 and a cost per job of $20,000 per year. Our find...
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作者：Fang, Lily H.; Lerner, Josh; Wu, Chaopeng
作者单位：INSEAD Business School; Harvard University; National Bureau of Economic Research; Xiamen University
摘要：Using a difference-in-differences approach, we study how intellectual property right (IPR) protection affects innovation in China in the years around the privatizations of state-owned enterprises (SOEs). Innovation increases after SOE privatizations, and this increase is larger in cities with strong IPR protection. Our results support theoretical arguments that IPR protection strengthens firms' incentives to innovate and that private sector firms are more sensitive to IPR protection than SOEs.
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作者：Hong, Harrison; Sraer, David; Yu, Jialin
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Berkeley; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology
摘要：The liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand larger risk premiums to hold long-term bonds. By using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since the prices of long-term bonds move more with inflation than short-term ones, investors also disagree and speculate more about long-maturity payoffs with greater uncertainty. Shorting frictions, measured by ...
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作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin; City St Georges, University of London
摘要：We assess the properties of currency value strategies based on real exchange rates. We find that real exchange rates have predictive power for the cross-section of currency excess returns. However, adjusting real exchange rates for key country-specific fundamentals (productivity, the quality of export goods, net foreign assets, and output gaps) better isolates information related to the currency risk premium. In turn, the resultant measure of currency value displays considerably stronger predi...
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作者：Begley, Taylor A.; Purnanandam, Amiyatosh
作者单位：Washington University (WUSTL); Washington University (WUSTL); University of Michigan System; University of Michigan
摘要：We study the key drivers of security design in the residential mortgage-backed security (RMBS) market during the run-up to the subprime mortgage crisis. We show that deals with a higher level of equity tranche have a significantly lower delinquency rate conditional on observable loan characteristics. The effect is concentrated within pools with a higher likelihood of asymmetric information between deal sponsors and potential buyers of the securities. Further, securities sold from high-equity-t...
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作者：Bao, Jack; Hou, Kewei
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University
摘要：We study the effect of a bond's place in its issuer's maturity structure on credit risk. Using a structural model as motivation, we argue that bonds due relatively late in their issuers' maturity structure have greater credit risk than do bonds due relatively early. Empirically, we find robust evidence that these later bonds have larger yield spreads and greater comovement with equity and that the magnitude of the effects is consistent with model predictions for investment-grade bonds. Our res...
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作者：Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando
作者单位：University of London; University College London; European University Institute; Universita Ca Foscari Venezia; Bocconi University; Bocconi University
摘要：We investigate the socially optimal design of financial networks, that allows to tackle the trade-off between risk sharing and contagion. We identify conditions on the shock distribution under which full integration or maximal segmentation is optimal. We also show that, under different conditions, the optimal network displays different levels of strength of linkages to other firms or intermediate degrees of segmentation. In the latter case, the individual and social incentives to establish lin...
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作者：Barillas, Francisco; Shanken, Jay
作者单位：Emory University; National Bureau of Economic Research
摘要：A common approach to comparing asset pricing models involves a competition in pricing test-asset returns. In contrast, we show that for models with traded factors, when the comparison is framed appropriately in terms of success in pricing both the test-asset and factor returns, the extent to which each model is able to price the factors in the other model is what matters for model comparison. Test assets are irrelevant based on several prominent criteria. For models with nontraded factors, tes...
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作者：Harford, Jarrad; Wang, Cong; Zhang, Kuo
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作者：Collin-Dufresne, Pierre; Johannes, Michael; Lochstoer, Lars A.
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Columbia University; University of California System; University of California Los Angeles
摘要：Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenous aggregate dynamics. The departure from rational expectations is statistically modest, but generates high average risk premiums varying at generational frequencies, a positive relation between past returns and agents' future return forecasts...
