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作者：Mullally, Kevin; Rossi, Andrea
作者单位：State University System of Florida; University of Central Florida; University of Arizona
摘要：We analyze changes to mutual funds' self-declared benchmarks using hand-collected data from funds' prospectuses. Under existing rules, funds can freely change their benchmark indexes and, implicitly, the historical returns to which they compare their past performance. Funds exploit this loophole by adding (dropping) indexes with lower (higher) past returns, thereby materially improving the appearance of their benchmark-adjusted returns. High-fee funds, broker-sold funds, and funds experiencing...
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作者：Plosser, Matthew C.; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：Basel I introduced capital requirements for undrawn commitments, but only for revolvers with an original maturity greater than one year. We use this regulatory discontinuity to estimate the impact of capital regulation on the cost and composition of credit. Following Basel I, short-term commitment fees declined relative to long-term commitments and issuance of short-term facilities increased. Our results highlight the sensitivity of credit provision to capital regulation, particularly for bank...
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作者：Crump, Richard K.; Gospodinov, Nikolay
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：We introduce a novel nonparametric bootstrap for the yield curve that is agnostic to the true factor structure of interest rates. We deconstruct the yield curve into primitive objects, with weak cross-sectional and time-series dependence, that serve as building blocks for resampling the data. We analyze the properties of the bootstrap for mimicking salient features of the data and conducting valid inference. We demonstrate the benefits of our general method by revisiting the predictability of ...
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作者：Flynn, Sean; Ghent, Andra; Tchistyi, Alexei
作者单位：Cornell University; Utah System of Higher Education; University of Utah
摘要：We show that commercial mortgage borrowers behave opportunistically to attempt to obtain principal reductions. We develop a model in which lenders cannot perfectly observe borrowers' use values and renegotiation is costly. We then exploit a tax rule change that reduced the cost of renegotiation. Consistent with the model predictions, borrowers with high private use values of the property are more likely to transfer into special servicing when lenders have a higher capacity to negotiate princip...
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作者：Brav, Alon; Jiang, Wei; Li, Tao; Pinnington, James
作者单位：Duke University; National Bureau of Economic Research; Emory University; State University System of Florida; University of Florida; Duke University
摘要：We present the first comprehensive study of mutual fund voting in proxy contests. Among contests where voting takes place, passive funds are 10 percentage points less likely than active funds to vote for dissidents. The gap shrinks significantly when accounting for votes withheld from management nominees, settled contests, and votes by non-Big-Three fund families. Passive and active funds are equally informed about firm fundamentals, although passive funds view contest-related SEC filings more...
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作者：Golez, Benjamin; Jackwerth, Jens
作者单位：University of Notre Dame; University of Konstanz
摘要：We estimate short-term dividend strip prices from 27 years of S&P 500 index options data (1996-2022). We use option-implied interest rates when estimating strip prices and longer holding period returns to mitigate measurement error. We find that Sharpe ratios for short-term strips are similar to or higher than Sharpe ratios for the market. Short-term strips also have a low market beta and a positive alpha. Over the business cycle, realized term premiums (ie, the difference between market and s...
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作者：Liu, Jessica; Liu, Weiling
作者单位：Northeastern University
摘要：Political frictions significantly affect both pricing and supply in the long-term care insurance (LTCI) market. Comparing the same insurer's requests submitted for the same policy at the same time to different state regulators, we find that they are 13% more likely to be approved and receive 4% more of the requested amount after an election year. Over time, regulatory pushback on premium increase requests leads to persistently lower cash reserves and increases the probability of company dropou...
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作者：Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara
作者单位：University of Southern California; University of Missouri System; University of Missouri Columbia
摘要：Using a semisupervised topic model on 7 million New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock market excess returns to test rational and behavioral hypotheses about market valuation of disaster risk. Media discourse data address the challenge of sample size even when disasters are rare. Our methodology avoids look-ahead bias and addresses semantic shifts. Our discourse topics positively predicts market excess returns, with War having...
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作者：Laudenbach, Christine; Weber, Annika; Weber, Ruediger; Wohlfart, Johannes
作者单位：Goethe University Frankfurt; University of Cologne
摘要：We survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data. Individuals' beliefs exhibit substantial heterogeneity and predict trading responses to market movements. We inform half of our respondents that, historically, the autocorrelation was close to zero, which causes them to update their perceived current autocorrelation and return expectations. The treatment shift...
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作者：Blickle, Kristian; Brunnermeier, Markus; Luck, Stephan
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Princeton University
摘要：We study the run on the German banking system in 1931 to understand whether depositors anticipate which banks will fail in a major financial crisis. We find that deposits decline by around 20% during the run. There is an equal outflow of retail and nonfinancial wholesale deposits from both failing and surviving banks. In contrast, we find that interbank deposits almost exclusively decline for failing banks. Our evidence suggests that banks are better informed about which fellow banks will fail...
