-
作者：Kopanyi-Peuker, Anita; Weber, Matthias
作者单位：CPB Netherlands Bureau for Economic Policy; University of Amsterdam; University of Amsterdam; University of St Gallen
摘要：We study the role of investor experience in the formation of asset price bubbles. We conduct a call market experiment in which participants trade assets with each other and a learning-to-forecast experiment in which participants only forecast future prices (while trade based on these forecasts is computerized). Each experiment comprises three treatments varying the information that participants receive about the fundamental value. Each experimental market is repeated three times. Throughout, w...
-
作者：Gete, Pedro; Reher, Michael
作者单位：IE University; University of California System; University of California San Diego
摘要：We show how securitization affects the size of the nonbank lending sector through a novel price-based channel. We identify the channel using a regulatory spillover shock to the cross-section of mortgage-backed security prices: the U.S. liquidity coverage ratio. The shock increases secondary market prices for FHA-insured loans by granting them favorable regulatory status once securitized. Higher prices lower nonbanks' funding costs, prompting them to loosen lending standards and originate more ...
-
作者：Amihud, Yakov; Noh, Joonki
作者单位：New York University; University System of Ohio; Case Western Reserve University
摘要：Lou and Shu decompose Amihud's illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this component affects stock returns significantly, both in the cross-section and in time-series. We show that the ILLIQ premium is significantly positive after controlling for mispricing, sentiment, and seaso...
-
作者：Huang, Rongbing; Ritter, Jay R.
作者单位：University System of Georgia; Kennesaw State University; State University System of Florida; University of Florida
摘要：Given their actual revenue and spending, most net equity issuers and an overwhelming majority of net debt issuers would face immediate cash depletion without external financing. Debt issuers tend to have short-lived cash needs, while equity issuers often have persistent cash needs. On average, debt issuers immediately spend almost all of the proceeds, while equity issuers retain much of the proceeds in cash. Anticipated near-future cash needs and fixed costs of financing help explain the fract...
-
作者：Wittry, Michael D.
作者单位：University System of Ohio; Ohio State University
摘要：I study the empirical importance of debt overhang using a unique data set on resource extraction firms that provides ex ante measures of investment opportunities and important variation in terms of a firm's obligations. In particular, unsecured reclamation liabilities create overhang that is costly to resolve and induces firms to forgo and postpone positive NPV investments. Traditional debt, in contrast, imposes few overhang-related investment distortions. These results show that (a) the overh...
-
作者：Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：This paper examines the spillover effects of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Affine term structure model estimates show that U.S. monetary policy shocks, identified with high-frequency Treasury futures data, represent revisions to expected short-term yields and term premia, especially during the UMP period. The policy shocks exhibit sizable effects on U.S. holdings of emerging market assets. These effects disproportionately manifest ...
-
作者：Carletti, Elena; Colla, Paolo; Gulati, Mitu; Ongena, Steven
作者单位：Bocconi University; Duke University; Swiss Finance Institute (SFI); University of Zurich; KU Leuven
摘要：We analyze the price effect of the introduction of collective action clauses (CACs) in newly issued sovereign bonds of eurozone countries as of January 1, 2013. By allowing a majority of creditors to modify payment obligations, such clauses reduce the likelihood of holdouts, while facilitating strategic default by the sovereign. We find that CAC bonds trade in the secondary market at lower yields than otherwise similar no-CAC bonds. The yield differential widens in countries with worse ratings...
-
作者：Hong, Harrison; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We introduce aggregate transmission shocks to an epidemic model and link firm valuations to infections via an asset pricing framework with vaccines. Infections lower earnings growth but firms can mitigate damages. We estimate a large reproduction number R-0 and transmission volatility for COVID-19. Using these estimates, we quantify the bias of deterministic approximations based on R-0. Our model generates predictions consistent with the data: unexpected infection resurgence, nonmonotonic miti...
-
作者：Dell'Ariccia, Giovanni; Kadyrzhanova, Dalida; Minoiu, Camelia; Ratnovski, Lev
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve System Board of Governors; European Central Bank
摘要：We study the composition of bank loan portfolios during the transition of the real sector to a knowledge economy where firms increasingly use intangible capital. Exploiting heterogeneity in bank exposure to the compositional shift from tangible to intangible capital, we show that exposed banks curtail commercial lending and reallocate lending to other assets, such as mortgages. We estimate that the substantial growth in intangible capital since the mid-1980s explains around 30% of the secular ...
-
作者：Gopalan, Radhakrishnan; Hamilton, Barton H.; Kalda, Ankit; Sovich, David
作者单位：Washington University (WUSTL); Indiana University System; Indiana University Bloomington; University of Kentucky
摘要：Using detailed data for U.S. homeowners, we document a negative, nonlinear relation between the loan-to-value ratio (LTV) of homeowners' primary residence and their labor income. Consistent with high LTV individuals experiencing constrained mobility, we find stronger effects among subprime, liquidity- constrained individuals and those living in regions with limited alternative local employment opportunities and strict noncompete law enforcement. Though high LTV individuals are less likely to m...
