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作者：Acharya, Viral; Pagano, Marco; Volpin, Paolo
作者单位：New York University; University of Naples Federico II; City St Georges, University of London
摘要：We present a model in which firms compete for scarce managerial talent (alpha) and managers are risk averse. When managers cannot move across firms after being hired, employers learn about their talent, efficiently allocate them to projects, and provide insurance to low-quality managers. When, instead, managers can move across firms, firm-level coinsurance is no longer feasible, but managers may self-insure by switching employer to delay the revelation of their true quality. However, this resu...
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作者：Campbell, Sean D.; Delikouras, Stefanos; Jiang, Danling; Korniotis, George M.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Miami; State University of New York (SUNY) System; Stony Brook University
摘要：We propose a novel human capital model that decomposes aggregate income risk into high-and low-income risk. We find that high-income risk is priced, while low-income risk is insignificant. The high-income factor alone explains 77% of the cross-sectional variation in the twenty-five size and book-to-market portfolios, earns a risk premium of about 7% per year, and its pricing power extends to the full cross-section of individual stocks. It is also related to the value factor, suggesting that th...
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作者：Liu, Xuewen
作者单位：Hong Kong University of Science & Technology
摘要：We model the interplay between trade in the interbank market and creditor runs on financial institutions. We show that the feedback between them can amplify a small shock into interbank market freezing with liquidity evaporating. Credit crunches of the interbank market drive up the interbank rate. For an individual institution, a higher interbank rate - meaning a higher funding cost - results in more severe coordination problems among creditors in debt rollover decisions. Creditors thus behave...
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作者：An, Li
作者单位：Tsinghua University
摘要：This study investigates the asset pricing implications of a newly documented refinement of the disposition effect, characterized by investors being more likely to sell a security when the magnitude of their gains or losses on it increases. I find that stocks with both large unrealized gains and large unrealized losses outperform others in the following month (trading strategy monthly alpha = 0.5-1%, Sharpe ratio = 1.5). This supports the conjecture that these stocks experience higher selling p...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) suggests a shared story for several average-return anomalies. Specifically, positive exposures to RMW and CMA (stock returns that behave like those of profitable firms that invest conservatively) capture the high average returns associated with low market beta, share repurchases, and low stock return volatility. Conversely, negative RMW and CMA slopes (like those o...
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作者：Barberis, Nicholas; Mukherjee, Abhiroop; Wang, Baolian
作者单位：Yale University; Hong Kong University of Science & Technology; Fordham University
摘要：We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. In a simple model of asset prices in which some investors think in this way, a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return, on average. We find empirical support for this prediction in the cross-...
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作者：Crane, Alan D.; Michenaud, Sebastien; Weston, James P.
作者单位：Rice University; DePaul University
摘要：We show that higher institutional ownership causes firms to pay more dividends. Our identification relies on a discontinuity in ownership around Russell index thresholds. Our estimates indicate that a one-percentage-point increase in institutional ownership causes a $7 million (8%) increase in dividends. We also find differences in shareholder proposals and voting patterns that suggest that even nonactivist institutions play an important role in monitoring firm behavior. The effect of institut...
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作者：Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; Venter, Gyuri
作者单位：Bank for International Settlements (BIS); University of London; London School Economics & Political Science; Copenhagen Business School
摘要：We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory in natur...
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作者：Addoum, Jawad M.; Kumar, Alok
作者单位：Cornell University; University of Miami
摘要：This study shows that shifts in political climate influence stock prices. As the party in power changes, there are systematic changes in the industry-level composition of investor portfolios, which weaken arbitrage forces and generate predictable patterns in industry returns. A trading strategy that attempts to exploit demand-based return predictability generates an annualized risk-adjusted performance of 6% during the 1939 to 2011 period. This evidence of predictability spans 17%-27% of the m...
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作者：Scharlemann, Therese C.; Shore, Stephen H.
作者单位：Office of Financial Research; United States Department of the Treasury; University System of Georgia; Georgia State University
摘要：The Home Affordable Modification Program's (HAMP's) Principal Reduction Alternative (PRA) is a government-sponsored program to reduce the principal balances and monthly mortgage payments of troubled borrowers. We examine the effect of principal forgiveness on borrowers' subsequent mortgage default. The program's rules imply a kink in the relationship between principal forgiveness and a borrower's initial equity level. Our identification strategy exploits the quasi-experimental variation in pri...
