-
作者：Patton, Andrew J.; Weller, Brian M.
作者单位：Duke University; Amazon.com
摘要：Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create apparently high Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in compensation for risk. We extend k-means clustering to group assets by risk prices and introduce a formal test for whether differences in risk premiums across market segments are too large to occur by ...
-
作者：Bakkensen, Laura A.; Barrage, Lint
作者单位：University of Arizona; University of California System; University of California Santa Barbara; National Bureau of Economic Research
摘要：How do climate risk beliefs affect coastal housing markets? This paper provides theoretical and empirical evidence. First, we build a dynamic housing market model and show that belief heterogeneity can reconcile prior mixed evidence on flood risk capitalization. Second, we implement a door-to-door survey in Rhode Island, finding significant flood risk underestimation and sorting based on risk perceptions and amenity values. Third, we estimate that coastal prices exceed fundamentals by 6%-13% i...
-
作者：Mishra, Prachi; Prabhala, Nagpurnanand; Rajan, Raghuram G.
作者单位：International Monetary Fund; Johns Hopkins University; University of Chicago
摘要：India introduced credit scoring technology in 2007. We study its adoption by the two main types of banks operating there: new private banks (NPBs) and state-owned public sector banks (PSBs). Soon after the technology is introduced, NPBs start checking the credit scores of most borrowers before lending. PSBs do so equally quickly for new borrowers but very slowly for prior clients, although lending without checking scores is reliably associated with more delinquencies. We show that an important...
-
作者：Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Utah System of Higher Education; University of Utah; University of Arizona; University of Washington; University of Washington Seattle
摘要：We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing investors directed capital into winning styles, generating style-level price pressures, which reverted over time. In June 2002, Morningstar reformed its methodology of equalizing ratings across styles. Style-l...
-
作者：Atmaz, Adem
作者单位：Purdue University System; Purdue University
摘要：This paper presents a tractable dynamic equilibrium model of stock return extrapolation in the presence of stochastic volatility. In the model, consistent with survey evidence, investors expect future returns to be higher (lower) but also less (more) volatile following positive (negative) stock returns. The biased volatility expectation introduces a new channel through which past returns and investor sentiment affect derivative prices. In particular, through this novel channel, the model recon...
-
作者：Correa, Ricardo; Paligorova, Teodora; Sapriza, Horacio; Zlate, Andrei
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We analyze the impact of monetary policy on cross-border bank flows for a large sample of countries over two decades. We find evidence in favor of a cross-border risk-taking channel, as the monetary policy stance of source countries is an important determinant of cross-border bank flows. A relatively tighter monetary policy in source countries prompts banks to reallocate their lending toward safer foreign counterparties. The cross-border reallocation of credit is more pronounced for source cou...
-
作者：D'Acunto, Francesco; Rossi, Alberto G.
作者单位：Boston College; Georgetown University
摘要：We document four secular trends about U.S. mortgage origination by traditional and FinTech lenders after the 2008-2009 financial crisis. First, since 2011, the overall number, size, and approval rate of small and medium-sized loans have been decreasing over time, relative to large loans. Second, the largest lenders redistribute their lending the most. Third, this loan-size redistribution of credit increases in the size of the lender. Fourth, the effects are stronger for mortgages further away ...
-
作者：Florackis, Chris; Louca, Christodoulos; Michaely, Roni; Weber, Michael
作者单位：University of Liverpool; Cyprus University of Technology; University of Hong Kong; University of Chicago; National Bureau of Economic Research
摘要：Based on textual analysis and a comparison of cybersecurity risk disclosures of firms that were hacked to others that were not, we propose a novel firm-level measure of cybersecurity risk for all U.S.-listed firms. We then examine whether cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk outperform other firms, on average, by up to 8.3% per year. Yet, high-exposure firms perform poorly in periods of high cybersecuri...
-
作者：Fisher, Adlai; Martineau, Charles; Sheng, Jinfei
作者单位：University of British Columbia; University of Toronto; University of California System; University of California Irvine
摘要：We construct macroeconomic attention indexes (MAI), which are new measures of attention to different macroeconomic risks, including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premiums and implied volatility changes with large economic magnitudes. Our findings support theories of...
-
作者：Bansal, Ravi; (Andrew) Wu, Di; Yaron, Amir
作者单位：Duke University; National Bureau of Economic Research; University of Michigan System; University of Michigan; University of Pennsylvania
摘要：We investigate the time variability of abnormal returns from socially responsible investing (SRI). Using portfolio regressions and event studies on multiple data sources, including analyst ratings, firm announcements, and realized incidents, we find that highly rated SRI stocks outperform lowly rated SRI stocks during good economic times, for example, periods with high market valuations or aggregate consumption, but underperform during bad times, such as recessions. This variation in abnormal ...
