Review of Financial Studies

最新文章

• The Distribution of Nonwage Benefits: Maternity Benefits and Gender Diversity AI翻译
  作者：Liu, Tim; Makridis, Christos A.; Ouimet, Paige; Simintzi, Elena
  作者单位：Utah System of Higher Education; University of Utah; Columbia University; University of North Carolina; University of North Carolina Chapel Hill
  摘要：Why do firms offer nonwage compensation instead of the equivalent amount in financial compensation? We argue that firms use nonwage benefits, specifically female-friendly benefits, such as maternity leave, to increase gender diversity by efficiently attracting women. Using Glassdoor data, we show that firms offer higher-quality maternity leave benefits in labor markets in which female talent is relatively scarce. This result also holds more generally when examining all female-friendly nonwage ...
• Comomentum: Inferring Arbitrage Activity from Return Correlations AI翻译
  作者：Lou, Dong; Polk, Christopher
  作者单位：University of London; London School Economics & Political Science
  摘要：We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect on the stock market. We focus on stock price momentum, a classic example of a positive-feedback strategy that our theory predicts can be destabilizing. Our measure, dubbed comomentum, is the high-frequency abnormal return correlation among stocks on which a typical momentum strategy would speculate. When comomentum is low, momentum strategies are stabilizing, reflecting an underreac...
• The Equilibrium Consequences of Indexing AI翻译
  作者：Bond, Philip; Garcia, Diego
  作者单位：University of Washington; University of Washington Seattle; University of Colorado System; University of Colorado Boulder
  摘要：We develop a benchmark model to study the equilibrium consequences of indexing in a standard rational expectations setting. Individuals incur costs to participate in financial markets, and these costs are lower for individuals who restrict themselves to indexing. A decline in indexing costs directly increases the prevalence of indexing, thereby reducing the price efficiency of the index and augmenting relative price efficiency. In equilibrium, these changes in price efficiency in turn further ...
• Asset Pricing with Fading Memory AI翻译
  作者：Nagel, Stefan; Xu, Zhengyang
  作者单位：National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); City University of Hong Kong
  摘要：Building on evidence that lifetime experiences shape individuals' macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay calibrated to microdata, the model generates a high and strongly countercyclical objective equity premium, while the subjective equity premium is virtually constant. Consistent with this theory, experien...
• The Use and Misuse of Patent Data: Issues for Finance and Beyond AI翻译
  作者：Lerner, Josh; Seru, Amit
  作者单位：Harvard University; Stanford University
  摘要：Patents and citations are powerful tools increasingly used in financial economics (and management research more broadly) to understand innovation. Biases may result, however, from the interactions between the truncation of patents and citations and the changing composition of inventors. When aggregated at the firm level, these patent and citation biases can survive popular adjustment methods and are correlated with firm characteristics. These issues can lead to problematic inferences. We provi...
• Can Shorts Predict Returns? A Global Perspective AI翻译
  作者：Boehmer, Ekkehart; Huszar, Zsuzsa R.; Wang, Yanchu; Zhang, Xiaoyan; Zhang, Xinran
  作者单位：Singapore Management University; National University of Singapore; Shanghai University of Finance & Economics; Tsinghua University; Central University of Finance & Economics
  摘要：Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. Our results display significant cross-country and cross-firm differences in the predictive power of alternative short-sale measures. The predictive power of shorts is stronger ...
• Moral Hazard during the Housing Boom: Evidence from Private Mortgage Insurance AI翻译
  作者：Bhutta, Neil; Keys, Benjamin J.
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Pennsylvania; National Bureau of Economic Research
  摘要：We provide novel evidence of misaligned incentives fueling a portion of the 2000s mortgage boom. We document that private mortgage insurance (PMI) companies expanded insurance issuance on high-risk mortgages purchased by Fannie Mae and Freddie Mac at the tail end of the housing boom, without changing pricing and despite knowledge of heightened housing risk. The expansion of PMI facilitated an unprecedented increase in Fannie and Freddie's risky purchases, extending the mortgage boom into 2007 ...
• Insurers as Asset Managers and Systemic Risk AI翻译
  作者：Ellul, Andrew; Jotikasthira, Chotibhak; Kartasheva, Anastasia; Lundblad, Christian T.; Wagner, Wolf
  作者单位：Indiana University System; Indiana University Bloomington; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Southern Methodist University; University of St Gallen; University of North Carolina; University of North Carolina Chapel Hill; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
  摘要：Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annuity (VA) guarantees, though imperfectly, and shifts risks into high-risk and illiquid bonds. We calibrate the model to insurer-level data and identify the VA-induced changes in insurers' risk exposu...
• Countercyclical Labor Income Risk and Portfolio Choices over the Life Cycle AI翻译
  作者：Catherine, Sylvain
  作者单位：University of Pennsylvania
  摘要：I estimate a life cycle model of portfolio choices that incorporates the relationship between market returns and the skewness of idiosyncratic income shocks. The cyclicality of skewness can explain (a) low stock market participation among young households, (b) why the equity share of participants slightly increases until retirement, and (c) why renters invest less in stocks than do homeowners. With a relative risk aversion of 6 and yearly participation cost of $250, the model matches the evolu...
• Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting AI翻译
  作者：Stafford, Erik
  作者单位：Harvard University
  摘要：The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estimated to be. Buyout funds select small firms with distinct value characteristics. Public equities with these characteristics have high risk-adjusted returns relative to common factors. Adding incremental leverage to a publicly traded stock portfolio increases both risks and mean returns in this sample. Direct investments in private equity funds earn lo...