-
作者：Han, Lu
作者单位：University of Toronto
摘要：Standard theory predicts a positive relationship between risk and return, yet recent data show that housing returns vary positively with risk in some markets but negatively in others. This paper rationalizes these cross-market differences in the risk-return relationship for housing, and in so doing, explains the puzzling negative relationship. The paper shows that when the current house provides a hedge against the risk associated with the future housing consumption, households are willing to ...
-
作者：Ai, Hengjie; Croce, Mariano Massimiliano; Li, Kai
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Chapel Hill; Duke University
摘要：We model investment options as intangible capital in a production economy in which younger vintages of assets in place have lower exposure to aggregate productivity risk. In equilibrium, physical capital requires a substantially higher expected return than intangible capital. Quantitatively, our model rationalizes a significant share of the observed difference in the average return of book-to-market-sorted portfolios (value premium). Our economy also produces (1) a high premium of the aggregat...
-
作者：Boehmer, Ekkehart; Wu, Juan (Julie)
作者单位：Universite Catholique de Lille; EDHEC Business School; University System of Georgia; University of Georgia
摘要：We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of public information into prices. Third, greater shorting flow reduces post-earnings-announcement drift for negative earnings surprises. Fourth, short sellers change their trading around extreme retur...
-
作者：Cohen, Lauren; Diether, Karl; Malloy, Christopher
作者单位：Harvard University; National Bureau of Economic Research; Dartmouth College
摘要：We demonstrate that a firm's ability to innovate is predictable, persistent, and relatively simple to compute, and yet the stock market appears to ignore the implications of past successes when valuing future innovation. We show that two firms that invest the same in R&D can have quite divergent, but predictably divergent, future paths based on their past track records. A long-short portfolio strategy that takes advantage of the information in past track records earns abnormal returns of rough...
-
作者：Chabakauri, Georgy
作者单位：University of London; London School Economics & Political Science
摘要：We study dynamic equilibrium in a Lucas economy with two stocks, two heterogeneous constant relative risk aversion investors, and portfolio constraints. We focus on margin and leverage constraints, which restrict access to credit. We find a positive relationship between the amount of leverage in the economy and magnitudes of stock return correlations and volatilities. Tighter constraints generate rich patterns in correlations and volatilities, make them less countercyclical, increase risk prem...
-
作者：Phillips, Gordon M.; Zhdanov, Alexei
作者单位：University of Southern California; National Bureau of Economic Research; University of Lausanne
摘要：We provide a model and empirical tests showing how an active acquisition market affects firm incentives to innovate and conduct R&D. Our model shows that small firms optimally may decide to innovate more when they can sell out to larger firms. Large firms may find it disadvantageous to engage in an R&D race with small firms, as they can obtain access to innovation through acquisition. Our model and evidence also show that the R&D responsiveness of firms increases with demand, competition, and ...
-
作者：Cornaggia, Jess; Cornaggia, Kimberly J.
作者单位：Georgetown University; American University
摘要：We compare the stability and timeliness of credit ratings produced by a traditional issuer-paid rating agency (Moody's Investors Service) and a subscriber-paid rater (Rapid Ratings). Moody's ratings exhibit less volatility but are slower to identify default risk. We control for Moody's aversion to ratings volatility and still find its ratings lag Rapid Ratings'. More importantly, accuracy ratios indicate that Rapid Ratings provides a better ordinal ranking of credit risk. We quantify the loss ...
-
作者：Fischer, Marcel; Stamos, Michael Z.
作者单位：Copenhagen Business School
摘要：In recent decades U.S. households have experienced residential house prices moving persistently, that is, returns being positively serially correlated. We set up a realistically calibrated life cycle model with slow-moving time variation in expected housing returns, showing that not only age, labor income, and pre-existing housing wealth but also the state of the housing market significantly affect household decisions. Consistently with the data, the model predicts that in good states of housi...
-
作者：Christoffersen, Peter; Heston, Steven; Jacobs, Kris
作者单位：University of Toronto; Copenhagen Business School; University System of Maryland; University of Maryland College Park; University of Houston System; University of Houston; Tilburg University
摘要：We develop a GARCH option model with a new pricing kernel allowing for a variance premium. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it U shaped. We present new semiparametric evidence to confirm this U-shaped relationship between the risk-neutral and physical probability densities. The new pricing kernel substantially improves our ability to reconcile the time-series proper...
-
作者：Marquez, Robert; Yavuz, M. Deniz
作者单位：University of California System; University of California Davis; Purdue University System; Purdue University
摘要：We analyze optimal financial contracts when the specificity of investments is endogenous. Specialization decreases the liquidation value of assets, but improves the asset's long-term productivity. While the former is known to make financing more difficult, we show that the latter can ease financing constraints and increase financing capacity by improving an entrepreneur's incentive to repay. The overall impact of specialization on the terms of financing depends on which effect is more importan...
