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作者：Howell, Sabrina T.; Brown, J. David
作者单位：National Bureau of Economic Research; IZA Institute Labor Economics
摘要：This paper examines how employee earnings respond to a one-time cash flow shock in the form of a government R&D grant. In a regression discontinuity design. we find that the grant immediately increases average annual employee-level earnings by 2.9%. This benefit accrues only to incumbent employees and rises with job tenure. The grant also affects firm growth, but the initial wage patterns do not appear to reflect growth or productivity. Instead, the evidence supports implicit equity financing ...
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作者：Mabille, Pierre
作者单位：INSEAD Business School
摘要：This paper documents an unprecedented decrease in young homeownership since the Great Recession driven by regions with high house prices. Using a panel of U.S. metro areas, I calibrate an equilibrium spatial macro-finance model with overlapping generations of mobile households. The dynamics of regional housing markets is explained by an aggregate credit contraction with heterogeneous local impacts rather than by local shocks. Lower millennial income and wealth amplify its effect. The impact of...
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作者：Eisfeldt, Andrea L.; Herskovic, Bernard; Rajan, Sriram; Siriwardane, Emil
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; United States Department of the Treasury; Office of Financial Research; Harvard University
摘要：We study the effect of dealer exit on prices and quantities in a model of an over-the-counter market featuring a core-periphery network with bilateral trading costs. The model is calibrated using regulatory data on the entire U.S. credit default swap (CDS) market between 2010 and 2013. Prices depend crucially on the risk-bearing capacity of core dealers, yet unlike standard models featuring a dealer sector, we allow for heterogeneity in dealer risk-bearing capacity. This heterogeneity is quant...
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作者：Bybee, Leland; Kelly, Bryan; Su, Yinan
作者单位：Yale University; National Bureau of Economic Research; Johns Hopkins University
摘要：We estimate a narrative factor pricing model from news text of The Wall Street Journal. Our empirical method integrates topic modeling (LDA), latent factor analysis (IPCA), and variable selection (group lasso). Narrative factors achieve higher out-of-sample Sharpe ratios and smaller pricing errors than standard characteristic-based factor models and predict future investment opportunities in a manner consistent with the ICAPM. We derive an interpretation of the estimated risk factors from narr...
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作者：Efing, Matthias; Goldbach, Stefan; Nitsch, Volker
作者单位：Hautes Etudes Commerciales (HEC) Paris; Deutsche Bundesbank; Technical University of Darmstadt; Leibniz Association; Ifo Institut
摘要：Using regulatory data, we study German bank lending in countries targeted by financial sanctions. We find that domestic banks in Germany reduce lending in sanctioned countries, whereas their foreign bank affiliates outside Germany increase lending. In some cases, this is because the bank affiliates' host countries have not imposed sanctions themselves. However, even German bank affiliates in host countries that enact sanctions like Germany increase lending if these host countries lack strong i...
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作者：Belo, Frederico; Donangelo, Andres; Lin, Xiaoji; Luo, Ding
作者单位：INSEAD Business School; Centre for Economic Policy Research - UK; University of Minnesota System; University of Minnesota Twin Cities; City University of Hong Kong
摘要：We document that the aggregate hiring rate of publicly traded firms in the U.S. economy negatively predicts stock market returns and long-term cash flows, and positively predicts short-term cash flows. In addition, through a variance decomposition, we show that the time-series variation in the aggregate hiring rate is mainly driven by changes in discount rates and short-term expected cash flows, with no contribution from variation in long-term expected cash flows. We estimate a neoclassical dy...
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作者：Gallagher, Emily A.; Billings, Stephen B.; Ricketts, Lowell R.
作者单位：University of Colorado System; University of Colorado Boulder; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：How does household exposure to a natural disaster affect higher education investments? Using variation in flooding from Hurricane Harvey (2017), we find that college-aged adults from flooded blocks in Houston are 7% less likely than counterparts to have student loans after Harvey, with larger effects in areas with more potential first-generation students. We find a similar relative decline in enrollment at more exposed Texas universities and colleges and a shift toward majors with higher expec...
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作者：Amihud, Yakov; Levi, Shai
作者单位：New York University; Tel Aviv University
摘要：We propose that stock market liquidity affects corporate investment and production. Illiquidity, which raises firms' cost of capital, lowers investment in capital assets, R&D, and inventory. This effect holds after we control for endogeneity using exogenous liquidity events, the 2001 decimalization, and the 1997 Nasdaq reform and after employing instrumental variable estimation. Illiquidity affects investment regardless of firms' financial constraints. Consequently, illiquidity induces firms t...
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作者：Glebkin, Sergei; Yueshen, Bart Zhou; Shen, Ji
作者单位：INSEAD Business School; INSEAD Business School; Peking University
摘要：This paper studies simultaneous multilateral search (SMS) in over-the-counter markets: When searching, a customer simultaneously contacts several dealers and trades with the one offering the best quote. Higher search intensity (how often one can search) improves welfare, but higher search capacity (how many dealers one can contact) might be harmful. When the market is in distress, customers might inefficiently favor bilateral bargaining (BB) over SMS. Such a preference for BB speaks to the slu...
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作者：Jahan-Parvar, Mohammad R.; Zikes, Filip
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We present evidence that several popular low-frequency measures of effective spread suffer from a volatility-induced bias and that volatility is the primary driver of the variation of these liquidity proxies. Using data for U.S. equities and major foreign exchange rates, we show that the bias arises when the effective spread is small relative to volatility. We document that the bias has become more acute over time and show that volatility-biased measures fail to replicate some well-known resul...
