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作者：Davis, Jesse; Segal, Gill
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：The data-generating process underlying productivity includes both trend and business cycle shocks, generating counterfactuals for prices under full information. In practice, agents' inability to immediately distinguish between the two shocks creates rational confusion: each shock inherits properties of its counterpart. This confusion magnifies the perceived share of permanent shocks and implies that, contrary to canonical frameworks, transitory shocks are the main driver of long-run risk throu...
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作者：Huber, Kilian
作者单位：University of Chicago
摘要：Large-scale shocks directly affect some firms and households and indirectly affect others through general equilibrium spillovers. In this paper, I describe how researchers can directly estimate spillovers using quasi-experimental or experimental variation. I then argue that spillover estimates suffer from distinct sources of mechanical bias that standard empirical tools cannot resolve. These biases are particularly relevant in finance and macroeconomics, where multiple spillover channels and n...
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作者：Krishnamurthy, Arvind; Li, Wenhao
作者单位：Stanford University; National Bureau of Economic Research; University of Southern California
摘要：Bank-created money, shadow-bank money, and Treasury bonds all satisfy investors' demand for liquidity. We measure the quantity of these forms of liquidity and their corresponding liquidity premium in a sample from 1934 to 2016, estimating the substitutability of these assets and the liquidity per unit delivered by each asset. Treasuries and bank transaction deposits are imperfect substitutes, in contrast to perfect substitutes found by Nagel (2016). Bank and nonbank non-transaction deposits ar...
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作者：Goldsmith-Pinkham, Paul; Gustafson, Matthew T.; Lewis, Ryan C.; Schwert, Michael
作者单位：Yale University; National Bureau of Economic Research; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Colorado System; University of Colorado Boulder
摘要：Municipal bond markets began pricing sea-level rise (SLR) exposure risk in 2013, coinciding with upward revisions to worst-case SLR projections and accompanying uncertainty around these projections. The effect is larger for long-maturity bonds and not solely driven by near-term flood risk. We use a structural model of credit risk to quantify the implied economic impact and distinguish between the effects of underlying asset values and of uncertainty. The SLR exposure premium exhibits a trend d...
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作者：Giacoletti, Marco; Parsons, Christopher A.
作者单位：University of Southern California
摘要：Homeowners who originally bought when marketwide price levels were high (low) fetch high (low) sales prices and rents, even decades later. We study the propagation of reference-dependence to neighboring listings. The spillover reference point effect is about one-half as large as the own reference point effect. Neither house quality nor location appears capable of explaining the result. Using a simple model to provide empirical predictions, we find support for a competition-based mechanism. We ...
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作者：Arnott, Robert D.; Kalesnik, Vitali; Linnainmaa, Juhani T.
作者单位：Dartmouth College; National Bureau of Economic Research
摘要：Factors display strong cross-sectional momentum that subsumes momentum in industries and other portfolio characteristics. The profits of all these momentum strategies-based on factors, industries, and other characteristics-significantly correlate with each other and therefore likely emanate from the same source. If factors display momentum, so will any set of portfolios with cross-sectional variation in factor loadings. Consistent with factors being at the root of momentum, we find that moment...
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作者：Chang, Yen-Cheng; Ljungqvist, Alexander; Tseng, Kevin
作者单位：National Taiwan University; Swedish House of Finance; Stockholm School of Economics
摘要：We show that analyst behavior changes in response to a randomly assigned shock that exogenously varies the timeliness and cost of accessing mandatory disclosures in the cross-section of investors: analysts reduce coverage and issue less optimistic, more accurate, less bold, and less informative forecasts. Our evidence indicates that analysts reduce a strategic component of their behavior: the changes are stronger among analysts with more strategic incentives like affiliated or retail-focused a...
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作者：Kuehn, Lars-Alexander; Schreindorfer, David; Schulz, Florian
作者单位：Carnegie Mellon University; Arizona State University; Arizona State University-Tempe; University of Washington; University of Washington Seattle
摘要：This paper shows that standard disaster risk models are inconsistent with movements in stock market volatility and credit spreads during disasters. We resolve this shortcoming by incorporating persistent macroeconomic crises into a structural credit risk model. The model successfully captures the joint dynamics of aggregate consumption, financial leverage, and asset market risks, both unconditionally and during crises. Leverage strongly amplifies fundamental shocks by continuing to rise while ...
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作者：Burkart, Mike; Miglietta, Salvatore; Ostergaard, Charlotte
作者单位：University of London; London School Economics & Political Science; Swedish House of Finance; Centre for Economic Policy Research - UK; European Corporate Governance Institute; BI Norwegian Business School; Copenhagen Business School; Danish Finance Institute
摘要：We study under which circumstances firms choose to install boards and their roles in a historical setting in which neither boards nor their duties are mandated by law. Boards arise in firms with large, heterogeneous shareholder bases. We propose that an important role of boards is to mediate between heterogeneous shareholders with divergent interests. Voting restrictions are common and ensure that boards are representative and not captured by large blockholders. Boards are given significant po...
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作者：Granja, Joao; Moreira, Sara
作者单位：University of Chicago; Northwestern University; Center for Economic & Policy Research (CEPR)
摘要：We provide new evidence that disruptions in firms' access to credit during the Global Financial Crisis significantly affected product innovation in the consumer goods sector. We combine highly granular retail scan data with lending data and find that credit-constrained firms introduced fewer new products, those products were less novel, and new products sold less well. Overall, these findings suggest that disruptions to credit markets impair firms' ability to compete for profits through new pr...
