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作者：van Binsbergen, Jules H.; Han, Xiao; Lopez-Lira, Alejandro
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作者：Fleckenstein, Matthias; Longstaff, Francis A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We study the valuation of state-issued tax-exempt municipal bonds and find that there are significant convenience premia in their prices. These premia parallel those identified in Treasury markets. We find evidence that these premia are tax related. Specifically, the premia are related to measures of tax and fiscal uncertainty, forecast flows into state municipal bond funds, and are directly linked to outmigration from high-tax to low-tax states and to other measures of tax aversion such as IR...
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作者：Monarrez, Tomas E.; Turner, Lesley J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Chicago; National Bureau of Economic Research
摘要：Rising student loan debt and concerns over unaffordable payments provide rationale for income-driven repayment (IDR) plans, which aim to protect borrowers from default and resulting financial consequences by linking payments to income. We estimate the causal effect of IDR payment burdens on loan repayment and attainment for several cohorts of first-time IDR applicants using a regression discontinuity design. Borrowers who are not required to make payments experience short-run reductions in del...
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作者：Metrick, Andrew; Schmelzing, Paul
作者单位：National Bureau of Economic Research; Boston College
摘要：We present a new database of banking-crisis interventions, covering 1,946 interventions in 20 categories across 143 countries. We demonstrate that crisis-intervention patterns are significantly related to income and fiscal variables and to measures of the political system and currency regime. GDP losses following crises are economically significant and are larger for wealthier countries, with some evidence that these losses are mitigated by democratic political systems and liberal currency reg...
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作者：Goyal, Amit; Saretto, Alessio
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：A number of delta-hedged equity option strategies exhibit very large average returns. We show that much of the profitability of these strategies can be explained by an IPCA factor model. The economic magnitude of the return-adjustment produced by IPCA is impressive: even before transaction costs, the average IPCA alpha of 46 long-short trading strategies constructed on previously discovered signals, is close to zero and contrasts with average realized returns of over 80 basis points per month....
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作者：Sandulescu, Mirela; Schneider, Paul
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：We introduce the nonlinear arbitrage correction (NAC), the residual that renders a linear benchmark model arbitrage-free while preserving the law of one price. The price of NAC captures the marginal Sharpe ratio increase consistent with no-arbitrage and upper-bounds the constrained Hansen-Jagannathan distance. Using four decades of international equity, currency, and factor returns, NAC is strongly countercyclical, peaking during crises when linear models turn negative. The implied Sharpe rati...
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作者：Du, Wenxin; Huber, Amy W.
作者单位：Harvard University; National Bureau of Economic Research; University of Pennsylvania
摘要：We collect and analyze detailed filings from global institutional investors to estimate foreign investors' U.S. dollar (USD) security holdings and currency hedging. Over two decades, foreign USD holdings grew sixfold, while hedge ratios rose by 15 percentage points after the 2008-2009 crisis. Currency hedging across mutual funds, pensions, and insurance reached $2 trillion by 2019. Hedging demand varies across investors, currency areas, and banking systems. We show that expected FX returns, be...
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作者：Armantier, Olivier; Holt, Charles
作者单位：Chapman University System; Chapman University; University of Virginia
摘要：A core responsibility of the Federal Reserve is to ensure financial stability by acting as the lender of last resort through its Discount Window (DW). The DW, however, has not been effective because its usage is stigmatized. In this paper, we use theory and experiments to study how such stigma can be cured. We find that behavioral inertia makes it difficult to fix a stigmatized DW, but adding a new backstop facility can help mitigate stigma. These results are consistent with the Federal Reserv...
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作者：Bali, Turan G.; Kelly, Bryan T.; Morke, Mathis; Rahman, Jamil
作者单位：Georgetown University; Yale University; National Bureau of Economic Research; Yale University
摘要：We propose a statistical model of heterogeneous beliefs wherein investors are represented as different machine learning model specifications. Investors form return forecasts from their individual models using common data inputs. We measure disagreement as forecast dispersion across investor-models (MFD). Our measure aligns with analyst forecast disagreement but more powerfully predicts returns. We document a large and robust association between belief disagreement and future returns. A decile ...
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作者：Egan, Mark; MacKay, Alexander; Yang, Hanbin
作者单位：Harvard University; University of Virginia; University of London; London Business School
摘要：We present a portfolio choice demand model that allows for the nonparametric estimation of investors' (subjective) expectations and risk preferences. Using comprehensive 401(k)-plan-level data from 2009 through 2019, we explore heterogeneity in asset allocations using our empirical framework. We recover investors' beliefs about each asset and examine the implications and potential sources of those beliefs. Heterogeneity in expectations across investors accounts for twice as much variation in p...
