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作者：Piccolo, Alessio; Shapiro, Joel
作者单位：Indiana University System; Indiana University Bloomington; University of Oxford
摘要：Accurate credit ratings are important for both investors and regulators. We demonstrate that the market for credit risk provides an important source of discipline for credit rating agencies (CRAs). We examine a model in which a CRA's rating is followed by a market for credit risk that provides a public signal - the price. More informative trading increases the CRA's incentives to be accurate by making rating errors more transparent. We show that this source of discipline is (a) robust to moral...
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作者：(Eunice) Zhan, Xintong; Han, Bing; Cao, Jie; Tong, Qing
作者单位：Fudan University; University of Toronto; Chinese University of Hong Kong
摘要：We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin, and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issuance, total external financing, distress risk, and dispersion of analysts' forecasts. Our option portfolio strategies have annual Sharpe ratio above two and remain profitable after transaction costs...
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作者：Hegde, Deepak; Ljungqvist, Alexander; Raj, Manav
作者单位：New York University; Stockholm School of Economics; Research Institute of Industrial Economics (IFN); Swedish House of Finance; Centre for Economic Policy Research - UK
摘要：We study the effects of patent scope and review times on startups and externalities on their rivals. We leverage the quasi-random assignment of U.S. patent applications to examiners and find that grant delays reduce a startup's employment and sales growth, chances of survival, access to external capital, and future innovation. Delays also harm the growth, access to external capital, and follow-on innovation of the patentee's rivals, suggesting that quick patents enhance both inventor rewards a...
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作者：Chernov, Mikhail; Lochstoer, Lars A.; Lundeby, Stig R. H.
作者单位：National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Norwegian School of Economics (NHH)
摘要：We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and show that these models typically do a poor job of pricing longer-horizon returns, with pricing errors that are similar in magnitude to the risk premiums they were designed to explain. We trace the err...
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作者：Huh, Yesol; Kim, You Suk
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：By allowing different agency mortgage-backed securities (MBS) to be traded based on limited characteristics, the to-be-announced (TBA) market generates liquidity and benefits the MBS market broadly. We quantify effects of the TBA structure on mortgage borrowers. Exploiting discontinuities in TBA eligibility, we estimate that TBA eligibility reduces mortgage rates by 7 to 28 basis points. The TBA eligibility benefit is larger for mortgages with higher expected prepayments. We also find that TBA...
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作者：Benmelech, Efraim; Guren, Adam; Melzer, Brian T.
作者单位：Northwestern University; National Bureau of Economic Research; Boston University; Dartmouth College
摘要：We introduce and quantify a new channel through which the housing market affects household spending: the home purchase channel. Households spend on average $8,000 more on home-related durables and home improvements in the 2 years following a home purchase. Expenditures on nondurables and durables unrelated to the home remain unchanged or decrease modestly. The home purchase channel played a substantial role in the Great Recession, accounting for one-third of the decline in spending on home-rel...
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作者：Jorda, Oscar; Kornejew, Martin; Schularick, Moritz; Taylor, Alan M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California Davis; Centre for Economic Policy Research - UK; University of Bonn; Institut d'Etudes Politiques Paris (Sciences Po); National Bureau of Economic Research
摘要：Debt overhang is associated with higher financial fragility and slower recovery from recession. However, while household credit booms have been extensively documented to have this property, we find that corporate debt does not fit the same pattern. Newly collected data on nonfinancial business liabilities for 18 advanced economies over the past 150 years shows that, in the aggregate, greater frictions in corporate debt resolution make for slower recoveries, with weak investment and more persis...
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作者：Cespa, Giovanni; Vives, Xavier
作者单位：University of Navarra; IESE Business School
摘要：We assess the consequences for market quality and welfare of different entry regimes and exchange pricing policies. To do so, we integrate a microstructure model with a free-entry, exchange competition model where exchanges have market power in technological services. Free-entry delivers superior liquidity and welfare outcomes vis-a-vis an unregulated monopoly, but entry can be excessive or insufficient. Depending on the extent of the monopolist's technological services undersupply compared to...
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作者：Garlappi, Lorenzo; Giammarino, Ron; Lazrak, Ali
作者单位：University of British Columbia
摘要：We study a standard real-option problem in which sequential decisions are made through voting by a group of members with heterogeneous beliefs. We show that, when facing both investment and abandonment timing decisions, the group behavior cannot be replicated by that of a representative median member. As a result, members' disagreement generates inertia-the group delays investment relative to a single-agent case-and underinvestment-the group rejects projects that are supported by a majority of...
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作者：Liu, Ernest; Roth, Benjamin N.
作者单位：Princeton University; Harvard University
摘要：Microcredit and other forms of small-scale finance have failed to catalyze entrepreneurship in developing countries. In these credit markets, borrowers and lenders often bargain over not only the interest rate but also implicit restrictions on types of investment. We build a dynamic model of informal lending and show this may lead to endogenous debt traps. Lenders constrain business growth for poor borrowers, yet richer borrowers may grow their businesses faster than they could have without cr...
