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作者：Agrawal, Ashwini; Hacamo, Isaac; Hu, Zhongchen
作者单位：University of London; London School Economics & Political Science; Indiana University System; Indiana University Bloomington
摘要：Rank-and-file employees are becoming increasingly critical for many firms, yet we know little about how their employment dynamics matter for stock prices. We analyze new data from the individual CV's of public company employees and find that rank-and-file labor flows can be used to predict abnormal stock returns. Accounting data and survey evidence indicate that workers' labor market decisions reflect information about future corporate earnings. Investors, however, do not appear to fully incor...
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作者：Gao, Xiaodan; Whited, Toni M.; Zhang, Na
作者单位：Renmin University of China; University of Michigan System; University of Michigan; Fudan University
摘要：We document a hump-shaped relation between corporate cash and both real and nominal interest rates in both aggregate and firm-level data. We rationalize this result in a model where firms finance investment with cash and risky debt. The risky rate rises endogenously with the risk-free rate, spurring precautionary cash demand. Simultaneously, foregone interest lowers cash demand. The first mechanism dominates at low interest rates, and the second at high interest rates. The model matches severa...
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作者：Lee, Charles M. C.; So, Eric C.; Wang, Charles C. Y.
作者单位：Stanford University; Massachusetts Institute of Technology (MIT); Harvard University
摘要：We introduce a parsimonious framework for choosing among alternative expected-return proxies (ERPs) when estimating treatment effects. By comparing ERPs' measurement error variances in the cross-section and in the time series, we provide new evidence on the relative performance of firm-level ERPs nominated by recent studies. Generally, implied-costs-of-capital metrics perform best in the time series, whereas characteristic-based proxies perform best in the cross-section. Factor-based ERPs, eve...
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作者：Infante, Sebastian; Vardoulakis, Alexandros P.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper models an unexplored source of liquidity risk large broker-dealers face: a withdrawal of collateral providers. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, dealers can source funds for their own activities. Cash borrowers internalize the risk of losing their collateral in case their dealer defaults, prompting them to withdraw it. This incentive creates strategic complementarities among collateral providers, reducing a dealer's liqu...
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作者：Brunnermeier, Markus; Farhi, Emmanuel; Koijen, Ralph S. J.; Krishnamurthy, Arvind; Ludvigson, Sydney C.; Lustig, Hanno; Nagel, Stefan; Piazzesi, Monika
作者单位：Princeton University; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut; National Bureau of Economic Research; Harvard University; University of Chicago; Stanford University; New York University; Stanford University
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作者：Haddad, Valentin; Moreira, Alan; Muir, Tyler
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of Rochester
摘要：We document extreme disruption in debt markets during the COVID-19 crisis: a severe price crash accompanied by significant dislocations at the safer end of the credit spectrum. Investment-grade corporate bonds traded at a discount to credit default swaps; exchange-traded funds traded at a discount to net asset value, more so for safer bonds. The Federal Reserve's announcement of corporate bond purchases caused these dislocations to disappear and prices to recover. These facts inform potential ...
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作者：Goetzmann, William N.; Spaenjers, Christophe; Van Nieuwerburgh, Stijn
作者单位：Yale University; Hautes Etudes Commerciales (HEC) Paris; Columbia University
摘要：Real and private-value assets-defined here as the sum of real estate, infrastructure, collectibles, and noncorporate business equity-compose an investment class worth an estimated 84 trillion in the U.S. alone. Furthermore, private values can affect pricing in many other financial markets, such as that for sustainable investments. This paper introduces the research on real assets and private values that can be found in this special issue. It also reviews recent advances and highlights new rese...
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作者：Andreasen, Martin M.; Engsted, Tom; Moller, Stig, V; Sander, Magnus
作者单位：Aarhus University; CREATES; Danish Finance Institute
摘要：This paper uncovers that expected excess bond returns display a positive correlation with the slope of the yield curve (i.e., yield spread) in expansions but a negative correlation in recessions. We use a macro-finance term structure model with different market prices of risk in expansions and recessions to show that a very accommodating monetary policy in recessions is a key driver of this switch in return predictability.
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作者：Kuong, John Chi-Fong
作者单位：INSEAD Business School
摘要：This paper shows that collateralized short-term debt, although privately optimal for reducing borrowers' risk-taking incentives, can induce fragility (multiple equilibria). Despite sequential-service property being absent in collateralized debt, such as repurchase agreements, a systemic run can arise, featuring large increases in default risks, fire-sale discounts of collateral, cost of credit, and amount of credit rationing. Asset price guarantees, leverage caps, and central clearing promote ...
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作者：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We theoretically investigate the interaction of endogenous risk intolerance and monetary policy following a large recessionary shock. As asset prices dip, risk-tolerant agents' wealth share declines. This decline reduces the market's risk tolerance and triggers a downward loop in asset prices and aggregate demand when the interest rate policy is constrained. In this context, large-scale asset purchases are effective because they transfer unwanted risk to the government's balance sheet. These e...
