-
作者：Hansen, Peter Reinhard; Tong, Chen
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Xiamen University; Xiamen University
摘要：We introduce a pricing kernel with time-varying volatility risk aversion to explain the observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model in which the variance risk ratio (VRR) emerges as a key variable. We show that the VRR is closely linked to economic fundamentals, as well as sentiment and uncertainty measures. A novel approximation method provides analytical option pricing for...
-
作者：Sanati, Ali; Beyhaghi, Mehdi
作者单位：American University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The impact of tax benefits of debt on firms remains an open question. The 2017 U.S. tax reform limited the tax advantage of debt for all firms except for small businesses with average sales below $25 million. A regression discontinuity design based on the exception threshold shows that, as tax benefits of debt shrink, corporate debt declines significantly, while equity does not increase sufficiently to offset the reduction. Treated firms also decrease their investments due to the higher cost o...
-
作者：Fleckenstein, Quirin; Gopal, Manasa; Gutierrez, German; Hillenbrand, Sebastian
作者单位：Hautes Etudes Commerciales (HEC) Paris; University System of Georgia; Georgia Institute of Technology; University of Washington; University of Washington Seattle; Harvard University
摘要：We study the contribution of banks and nonbanks to cyclical fluctuations in the supply of syndicated loans. We find that a reduction in nonbank lending explains most of the contraction in syndicated credit and the associated employment losses during the Global Financial Crisis, while banks' contribution is small. Looking over multiple cycles, we find nonbanks' credit supply is roughly three times as cyclical as banks', suggesting that nonbanks are the main drivers of syndicated lending cycles....
-
作者：Giambona, Erasmo; Kumar, Anil; Phillips, Gordon M.
作者单位：Syracuse University; Aarhus University; Danish Finance Institute; Dartmouth College; National Bureau of Economic Research
摘要：We study how risk management through hedging affects firms and competition among firms in the life insurance industry, an industry with over 7 trillion in assets and over 1,000 private and public firms. We examine firms after a staggered state-level reform that reduces the costs of hedging by granting derivatives superpriority in case of insolvency. We show that firms that are likely to face costly external finance increase hedging and reduce risk and the probability of receivership. Firms tha...
-
作者：Wu, Liuren; Zhang, Yuzhao
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper proposes a top-down linear option pricing model that unifies the pricing of different option contracts not by assuming common dynamics but by imposing common pricing on each risk source in proportion to decentralized risk estimates. The model generates significantly better pricing performance than existing bottom-up models. Its high-dimensional risk structure effectively explains the options return variation, allowing for the seamless integration of option pricing with risk manageme...
-
作者：Kaniel, Ron; Wang, Pingle
作者单位：University of Rochester; Centre for Economic Policy Research - UK; University of Texas System; University of Texas Dallas
摘要：Using new SEC data, we study fund derivative use and its impact on performance. Despite small portfolio weights, derivatives contribute largely to fund returns. Contrary to prior research, we find most employ derivatives to amplify, not hedge, equity returns. Using machine learning to classify funds' derivative strategies reveals high specializations linked to information-related trading, liquidity management, gaining exposure, or hedging motives. Long index derivative users drive the amplific...
-
作者：Eisenbach, Thomas M.; Phelan, Gregory
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Williams College
摘要：In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can form a symbiotic relationship with offsetting trades during times of stress, strategic interactions among liquidity investors harbor the potential for self-fulfilling fragility. When th...
-
作者：Uhr, Charline
作者单位：Danish Finance Institute; Aarhus University
摘要：Does the performance of advisors' recommendations influence investors' propensity to seek advice again? I investigate a sample of calls between 10,063 German brokerage clients and financial advisors from 2005-2015. If advisors' recommendations in the initial meeting led to positive (vs. negative) performance, investors are 2.1 times more likely to arrange a second meeting. This effect is driven by the performance of the recommendations the investor decided to follow. Investors with positive pe...
-
作者：Dong, Xi; Kang, Namho; Peress, Joel
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Bentley University; INSEAD Business School
摘要：We document that persistent aggregate capital flows to hedge and mutual funds predict monthly factor returns with an out-of-sample R2 reaching 6.6%. Transient flows display no such power despite being more predictable. We show-both empirically and theoretically-that persistent flows' predictive power stems from active fund managers' capital constraints. As a result, managers invest persistent, but not transient, capital flows into factor trading strategies, leading to factor-return predictabil...
-
作者：Engelberg, Joseph; Lu, Runjing; Mullins, William; Townsend, Richard
作者单位：University of California System; University of California San Diego; University of Toronto; National Bureau of Economic Research
摘要：We document political sentiment effects on U.S. inventors. Democratic inventors are more likely to patent (relative to Republicans) after the 2008 election of Obama but less likely after the 2016 election of Trump. These effects are at least twice as strong among politically active Democrats and are present even within firms and within firm$ \times $technology. We also show that partisans tend to cluster in technologies (e.g., Democrats in Biotechnology and Republicans in Weapons), so that sen...
