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作者：Babina, Tania; Jotikasthira, Chotibhak; Lundblad, Christian; Ramadorai, Tarun
作者单位：Columbia University; Southern Methodist University; University of North Carolina; University of North Carolina Chapel Hill; Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：We evaluate the impacts of tax policy on asset returns using the U.S. municipal bond market. In theory, tax-induced ownership segmentation limits risk sharing, creating downward-sloping regions of the aggregate demand curve for the asset. In the data, cross-state variation in tax privilege policies predicts differences in in-state ownership of local municipal bonds; the policies create incentives for concentrated local ownership. High tax privilege states have muni bond yields that are more se...
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作者：Jegadeesh, Narasimhan; Mangipudi, Chandra Sekhar
作者单位：Emory University
摘要：Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Some recent papers have interpreted this evidence to mean that CAPM is the best asset pricing model, but some others have interpreted it as evidence against investor sophistication. We evaluate the merits of these mutually exclusive interpretations. We show that no tenable inference about the validity of any asset pricing model can be drawn from this evidence. Rejectin...
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作者：Hale, Galina; Kapan, Tumer; Minoiu, Camelia
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; International Monetary Fund; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study the transmission of financial shocks across borders through international bank connections. Using data on cross-border interbank loans among 6,000 banks during 1997-2012, we estimate the effect of asset-side exposures to banks in countries experiencing systemic banking crises on profitability, credit, and the performance of borrower firms. Crisis exposures reduce bank returns and tighten credit conditions for borrowers, constraining investment and growth. The effects are larger for fo...
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作者：Chava, Sudheer; Hsu, Alex
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We analyze the impact of unanticipated monetary policy changes on the cross-section of U.S. equity returns. Financially constrained firms earn a significantly lower (higher) return following surprise interest rate increases (decreases) as compared to unconstrained firms. This differential return response between constrained and unconstrained firms appears after a delay of 3 to 4 days. Further, unanticipated Federal funds rate increases are associated with a larger decrease in expected cash flo...
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作者：Schmidt, Daniel
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：Stock prices occasionally move in response to unverified rumors. I propose a cheap talk model in which a rumormonger's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions of message-receiving investors. The model's key prediction is that short investment horizons can facilitate credible information sharing between investors, thereby accelerating the information capitalization into market prices. Analyzing a data set of...
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作者：Haddad, Valentin; Kozak, Serhiy; Santosh, Shrihari
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：The optimal factor timing portfolio is equivalent to the stochastic discount factor. We propose and implement a method to characterize both empirically. Our approach imposes restrictions on the dynamics of expected returns, leading to an economically plausible SDF. Market-neutral equity factors are strongly and robustly predictable. Exploiting this predictability leads to substantial improvement in portfolio performance relative to static factor investing. The variance of the corresponding SDF...
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作者：Parlour, Christine A.; Rajan, Uday
作者单位：University of California System; University of California Berkeley; University of Michigan System; University of Michigan
摘要：We consider the role of credit ratings when contracts between investors and portfolio managers are incomplete. In our model, a credit rating and a price on a risky bond both provide verifiable signals about a non-contractible state. We allow the investor to both impose ex ante restrictions on the manager's action and provide outcome-based compensation. The optimal contract is a prohibitive one when the rating and price indicate a high likelihood of a low state, and relies on wages when the low...
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作者：Song, Changcheng
作者单位：Singapore Management University; Singapore Management University
摘要：I conduct a field experiment to study the relationship between peoples' misunderstanding of compound interest and their pension contributions in rural China. I find that explaining the concept of compound interest to subjects increased pension contributions by roughly 40%. The treatment effect is larger for those who underestimate compound interest than for those who overestimate compound interest. Moreover, financial education enables households to partially correct their misunderstanding of ...
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作者：Gao, Janet; Kleiner, Kristoph; Pacelli, Joseph
作者单位：Indiana University System; Indiana University Bloomington
摘要：We examine whether bankers face disciplining consequences for structuring poorly performing corporate loans. We construct a novel data set containing the employment histories and loan portfolios of a large sample of corporate bankers and find that corporate credit events (i.e., downgrades, defaults, bankruptcies) increase banker turnover. The effect is pronounced when bankers issue loans with loose terms or experience severe losses. Credit events prompt bankers to adopt stricter future risk ma...
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作者：Parsons, Christopher A.; Sabbatucci, Riccardo; Titman, Sheridan
作者单位：University of Washington; University of Washington Seattle; Stockholm School of Economics; University of Texas System; University of Texas Austin
摘要：We document lead-lag effects on returns between coheadquartered firms in different sectors. Geographic lead-lags yield risk-adjusted returns of 5%-6% annually, half that observed for industry lead-lag effects. Whereas industry lead-lag effects are strongest among small, thinly traded stocks with low analyst coverage, geographic lead-lags are unrelated to these proxies for investor scrutiny. We propose an explanation linked to the structure of the investment analyst business, which is organized...
