-
作者：Peress, Joel
作者单位：INSEAD Business School
摘要：A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation, and income. The stock market allows investors to share their costly private signals in a cost-effective incentive-compatible way. It contributes to economic growth by raising total factor productivity (TFP). A calibration indicates the effect on TFP to be large but that on income t...
-
作者：De Nicolo, Gianni; Gamba, Andrea; Lucchetta, Marcella
作者单位：International Monetary Fund; Leibniz Association; Ifo Institut; University of Warwick; Universita Ca Foscari Venezia
摘要：This paper studies the quantitative impact of microprudential bank regulations on bank lending and value metrics of efficiency and welfare in a dynamic model of banks that are financed by debt and equity, undertake maturity transformation, are exposed to credit and liquidity risks, and face financing frictions. We show that (1) there exists an inverted U-shaped relationship between bank lending, welfare, and capital requirements, (2) liquidity requirements unambiguously reduce lending, efficie...
-
作者：Stango, Victor; Zinman, Jonathan
作者单位：University of California System; University of California Davis; National Bureau of Economic Research; Dartmouth College
摘要：We explore dynamics of limited attention in the $35 billion market for checking overdrafts, using survey content as shocks to the salience of overdraft fees. Conditional on selection into surveys, individuals who face overdraft-related questions are less likely to incur a fee in the survey month. Taking multiple overdraft surveys builds a stock of attention that reduces overdrafts for up to two years. The effects are significant among consumers with lower education and financial literacy. Indi...
-
作者：Golez, Benjamin
作者单位：University of Notre Dame
摘要：The dividend-price ratio is a noisy proxy for expected returns when expected dividend growth is time-varying. This paper uses a new and forward-looking measure of dividend growth extracted from S&P 500 futures and options to correct the dividend-price ratio for changes in expected dividend growth. Over January 1994 through June 2011, dividend growth implied by derivative markets reliably forecasts future dividend growth, and the corrected dividend-price ratio predicts S&P 500 returns substanti...
-
作者：Da, Zhi; Gurun, Umit G.; Warachka, Mitch
作者单位：University of Notre Dame; University of Texas System; University of Texas Dallas; Claremont Colleges; Claremont McKenna College; Claremont Graduate University
摘要：We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously in small amounts. Intuitively, we hypothesize that a series of frequent gradual changes attracts less attention than infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent return continuation that does not reverse in the long run. Momentum decreases monotonically from 5.94% for stocks with continuous info...
-
作者：Hochberg, Yael V.; Ljungqvist, Alexander; Vissing-Jorgensen, Annette
作者单位：Northwestern University; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR); Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley
摘要：Why don't VCs eliminate excess demand for follow-on funds by raising fees? We propose a model of learning that leads to informational holdup. Current investors learn about skill whereas outside investors observe only returns. This gives current investors holdup power when the VC raises his next fund: Without their backing, no-one will fund him, as outside investors interpret the lack of backing as a sign of low skill. Holdup power diminishes the VC's ability to increase fees in line with perfo...
-
作者：Vives, Xavier
作者单位：University of Navarra; IESE Business School
摘要：Fragility is affected by how the balance sheet composition of financial intermediaries, the precision of information signals, and market stress parameters all influence the extent of strategic complementarity among investors' strategies. A solvency and a liquidity ratio are required to control the likelihood of insolvency and illiquidity. The solvency requirement must be strengthened in the face of increased competition, whereas the liquidity requirement must be strengthened under more conserv...
-
作者：Shen, Ji; Yan, Hongjun; Zhang, Jinfan
作者单位：University of London; London School Economics & Political Science; Yale University
摘要：Collateral frictions have a profound effect on our economic landscape, ranging from the design of financial securities, laws, and institutions, to various rules and regulations. We analyze a model with disagreement, where securities and collateral requirements are endogenous. It shows that the security that isolates the variable with disagreement is optimal in the sense that alternative securities cannot generate any trading. In an economy with N states, investors may introduce more than N sec...
-
作者：Sorensen, Morten; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We investigate whether the performance of private equity (PE) investments is sufficient to compensate investors (LPs) for risk, long-term illiquidity, management, and incentive fees charged by the general partner (GP). We analyze the LPs' portfolio-choice problem and find that management fees, carried interest, and illiquidity are costly, and GPs must generate substantial alpha to compensate LPs for bearing these costs. Debt is cheap and reduces these costs, potentially explaining the high lev...
-
作者：Pasquariello, Paolo
作者单位：University of Michigan System; University of Michigan
摘要：Dislocations occur when financial markets, operating under stressful conditions, experience large, widespread asset mispricings. This study documents systematic dislocations in world capital markets and the importance of their fluctuations for expected asset returns. Our novel, model-free measure of these dislocations is a monthly average of hundreds of individual abnormal absolute violations of three textbook arbitrage parities in stock, foreign exchange, and money markets. We find that inves...
