-
作者：Rapach, David E.; Strauss, Jack K.; Zhou, Guofu
作者单位：Washington University (WUSTL); Saint Louis University
摘要：Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing that model uncertainty and instability seriously impair the forecasting ability of individual predictive regression models, we recommend combining individual forecasts. Combining delivers statistically and economically significant out-of-sample gains relative to the historical...
-
作者：Butler, Alexander W.; Wan, Hong
作者单位：Rice University; State University of New York (SUNY) System; State University of New York (SUNY) - Oswego
摘要：Previous studies document that the stock returns of bond-issuing firms significantly underperform matched peers over the three to five years following issuance. We revisit this phenomenon and show that the underperformance is the result of an omitted return factor (a bad model problem). Debt issuers have significantly higher stock market liquidity than size and book-to-market matched counterparts, and differences in liquidity are largest for the worst-performing groups of issuers. When we addi...
-
作者：Hoberg, Gerard; Phillips, Gordon
作者单位：University System of Maryland; University of Maryland College Park
摘要：We use text-based analysis of 10-K product descriptions to examine whether firms exploit product market synergies through asset complementarities in mergers and acquisitions. Transactions are more likely between firms that use similar product market language. Transaction stock returns, ex post cash flows, and growth in product descriptions all increase for transactions with similar product market language, especially in competitive product markets. These gains are larger when targets are less ...
-
作者：Ross, David Gaddis
作者单位：Columbia University
摘要：Three large banks control over half of the U.S. commercial loan market by volume through the syndication process. Using attributes of a borrower's location to instrument for lender borrower matching, I show that the borrower stock price response to a loan announcement is more favorable if one of these dominant banks is the lender, especially if the borrower is opaque. I then show that these banks charge lower interest rates and are more likely to lend without the protection of a borrowing base...
-
作者：Branch, William A.; Evans, George W.
作者单位：University of California System; University of California Irvine; University of Oregon; University of St Andrews
摘要：This article advocates a theory of expectation formation that incorporates many of the central motivations of behavioral finance theory while retaining much of the discipline of the rational expectations approach. We provide a framework in which agents, in an asset pricing model, underparameterize their forecasting model in a spirit similar to Hong, Stein, and Yu (2007) and Barberis, Shleifer, and Vishny (1998), except that the parameters of the forecasting model and the choice of predictor ar...
-
作者：Haselmann, Rainer; Pistor, Katharina; Vig, Vikrant
作者单位：University of London; London Business School; Columbia University; Johannes Gutenberg University of Mainz
摘要：The paper investigates the effect of legal change on the lending behavior of banks in twelve transition economies. First, we find that banks increase the supply of credit subsequent to legal change. Second, changes in collateral law matter more for increases in bank lending than do changes in bankruptcy law. We attribute this finding to the different functions of collateral and bankruptcy law. While the former enhances the likelihood that individual creditors can realize their claims against a...
-
作者：Jegadeesh, Narasimhan; Kim, Woojin
作者单位：Emory University; National Bureau of Economic Research; Korea University
摘要：This article develops and implements a new test to investigate whether sell-side analysts herd around the consensus when they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following recommendation revisions are stronger when the new recommendation is away from the consensus than when it is closer to it, indicating that the market recognizes analysts' tendency to herd. We find that analysts from larger brokerages, analysts following stoc...
-
作者：Love, David A.
作者单位：Williams College
摘要：This paper investigates the impact of demographic shocks on optimal decisions about saving, life insurance, and, most centrally, asset allocation. The analysis indicates that marital-status transitions can have important effects on optimal household decisions, particularly in the cases of widowhood and divorce. Children also play a fundamental role in portfolio choice; in addition to leading to substantially different average allocations, they also have strong interaction effects with changes ...
-
作者：Khwaja, Asim Ijaz; Mian, Atif; Zia, Bilal
作者单位：The World Bank; Harvard University; University of California System; University of California Berkeley
摘要：We exploit an unexpected inflow of liquidity in an emerging market to study how capital is intermediated to firms. We find that backward-looking credit limit constraints imposed by banks make it difficult for firms to borrow, despite readily available bank liquidity, healthy aggregate demand, and a sharply falling cost of capital. The resulting aggregate failure to extend and retain capital in the economy suggests that agency costs that force banks to rely on sticky balance-sheet-based credit ...
-
作者：Garlappi, Lorenzo; Skoulakis, Georgios
作者单位：University of British Columbia; University System of Maryland; University of Maryland College Park
摘要：We develop a new solution method for a broad class of discrete-time dynamic portfolio choice problems. The method efficiently approximates conditional expectations of the value function by using (i) a decomposition of the state variables into a component observable by the investor and a stochastic deviation; and (ii) a Taylor expansion of the value function. We illustrate the accuracy of the method in handling several realistic features of portfolio choice problems such as intermediate consump...
