Review of Financial Studies

最新文章

• Exploring Return Dynamics via Corridor Implied Volatility AI翻译
  作者：Andersen, Torben G.; Bondarenko, Oleg; Gonzalez-Perez, Maria T.
  作者单位：Northwestern University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; CUNEF Universidad
  摘要：Some fundamental questions regarding equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel Corridor Volatility index which may serve as an observable proxy for short-term volatility. Exploiting this index, we find that equity-index volatility jumps are common, symmetrically distributed, and cojump with the underlying returns. Moreover, the return-volatility asymmetry is more pronounced than...
• Can High Costs Justify Weak Demand for the Home Equity Conversion Mortgage? AI翻译
  作者：Davidoff, Thomas
  作者单位：University of British Columbia
  摘要：Home Equity Conversion Mortgages (HECMs) implicitly bundle nondefaultable credit lines with put options that let borrowers, or their heirs, sell mortgaged homes for the credit line limit when borrowers move or die. The put option's value, net of closing costs, bounds HECM's value to borrowers below. Older homeowners' weak demand is commonly attributed to HECM's high costs, and the government prices insurance intending to avoid subsidy. However, simulations indicate put value has often exceeded...
• Human Capital as an Asset Class Implications from a General Equilibrium Model AI翻译
  作者：Palacios, Miguel
  作者单位：Vanderbilt University
  摘要：This paper derives the value and risk of aggregate human capital in a stochastic equilibrium model with Duffie-Epstein preferences. Athree-factor asset-pricing model is derived, where the factors are the market, the capital share, and investment in human capital. When the model is calibrated to match the historical ratio of wages to consumption in the United States, the weight of human capital in aggregate wealth is estimated to be about 93%, well above most previous estimates, and human capit...
• Are Mutual Funds Active Voters? AI翻译
  作者：Iliev, Peter; Lowry, Michelle
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Drexel University
  摘要：Mutual funds vary greatly in their reliance on proxy advisory recommendations. Over 25% of funds rely almost entirely on Institutional Shareholder Services (ISS) recommendations, while other funds place little weight on them. Funds with higher benefits and lower costs of researching the items up for vote are less likely to rely on ISS. These actively voting funds are less likely to vote in a one-size-fits-all manner, and they earn higher alphas, consistent with benefits from this allocation of...
• Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax AI翻译
  作者：Dai, Min; Liu, Hong; Yang, Chen; Zhong, Yifei
  作者单位：National University of Singapore; National University of Singapore; Washington University (WUSTL); University of Oxford
  摘要：We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the benefit of tax deductibility of capital losses increases with the short-term tax rates, effective tax r...
• House Prices, Home Equity Borrowing, and Entrepreneurship AI翻译
  作者：Corradin, Stefano; Popov, Alexander
  作者单位：European Central Bank
  摘要：This paper shows that housing wealth helps alleviate credit constraints for potential entrepreneurs by enabling home owners to extract equity from their property and invest it in their business. Using a large U.S. individual-level survey dataset for the 1996-2006 period, we find that a 10% increase in home equity raises the share of individuals who transition into self-employment each year from 1% to 1.07%. Our results persist when we use proxies for aggregate housing demand shocks and for the...
• Securitization and the Fixed-Rate Mortgage AI翻译
  作者：Fuster, Andreas; Vickery, James
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
  摘要：Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitize, exploiting plausibly exogenous variation in access to liquid securitization markets generated by a regulatory cutoff and time variation in private securitization activity. We interpret our findings as evidence that lenders are reluctant to...
• The Implicit Costs of Trade Credit Borrowing by Large Firms AI翻译
  作者：Murfin, Justin; Njoroge, Ken
  作者单位：Yale University; University of Oregon
  摘要：We examine a novel, but economically important, characterization of trade credit relationships in which large investment-grade buyers borrow from their smaller suppliers. Using a matched sample of large retail buyers and their much smaller suppliers, we find that slower payment terms by large retailers are associated with lower investment at the supplier level. The effects are sharpest during periods of tight bank credit and for firms which we might otherwise characterize as financially constr...
• Testing for Information Asymmetries in Real Estate Markets AI翻译
  作者：Kurlat, Pablo; Stroebel, Johannes
  作者单位：Stanford University; National Bureau of Economic Research; National Bureau of Economic Research
  摘要：In housing markets, neighborhood characteristics are a key source of information heterogeneity: sellers are usually better informed about neighborhood values than buyers are, but some sellers and buyers are better informed than their peers are. Consistent with predictions from a new framework for analyzing such markets with heterogeneous assets and differentially informed agents, we find that changes in the composition of sellers toward more informed sellers and sellers with a larger supply el...
• The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Management? AI翻译
  作者：Massa, Massimo; Zhang, Bohui; Zhang, Hong
  作者单位：INSEAD Business School; University of New South Wales Sydney; Tsinghua University
  摘要：We hypothesize that short selling has a disciplining role vis-a-vis firm managers that forces them to reduce earnings management. Using firm-level short-selling data for thirty-three countries collected over a sample period from 2002 to 2009, we document a significantly negative relationship between the threat of short selling and earnings management. Tests based on instrumental variable and exogenous regulatory experiments offer evidence of a causal link between short selling and earnings man...