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作者：Gandhi, Priyank; Lustig, Hanno; Plazzi, Alberto
作者单位：Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research
摘要：Across a wide panel of countries, the top-10% of financial stocks on average account for over 20% of a country's market capitalization but earn on average significantly lower returns than do nonfinancial firms of the same size and risk exposures. In a bailout-augmented, rare disasters asset pricing model, the spread in risk-adjusted returns between large and small institutions depends on country characteristics that determine the likelihood of bailouts. Consistent with this model, we find larg...
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作者：Garleanu, Nicolae; Panageas, Stavros; Yu, Jianfeng
作者单位：National Bureau of Economic Research; University of California System; University of California Los Angeles; Tsinghua University
摘要：We propose a tractable model of an informationally inefficient market featuring nonrevealing prices, general preferences and payoff distributions, but not noise traders. We show the equivalence between our model and a substantially simpler one in which investors face distortionary investment taxes depending on both their identity and the asset class. This equivalence allows us to account for such phenomena as underdiversification. We further employ the model to assess approaches to performance...
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作者：Hernando-Veciana, Angel; Troge, Michael
作者单位：Durham University; heSam Universite; ESCP Business School
摘要：Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We interpret this as a cheap-talk game that allowed banks to communicate nonverifiable information about their opportunity cost to potential counterparties. Under normal market conditions there is a welfare maximizing equilibrium where banks truthfully disclose their borrowing cost, but, in times of financial stress, only coarse equilibria survive. We take this prediction to the data and show that banks ...
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作者：Augustin, Patrick; Izhakian, Yehuda
作者单位：McGill University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is ...
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作者：Corhay, Alexandre; Kung, Howard; Schmid, Lukas
作者单位：University of Toronto; University of London; London Business School; Center for Economic & Policy Research (CEPR); University of Southern California; Duke University
摘要：This paper jointly examines the link between competition and expected returns in the time series and in the cross-section. To this end, we build a general equilibrium model where markups vary because of firm entry with oligopolistic competition. When concentration is high, markups are more sensitive to entry risk. We find that higher markups are associated with higher expected returns over time and across industries, in line with the data. The model can also quantitatively account for the pers...
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作者：Gissler, Stefan; Ramcharan, Rodney; Yu, Edison
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Southern California; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper finds that banks and nonbanks respond differently to increased competition in consumer credit markets. Increased competition and a greater threat of failure induces banks to specialize in relationship business lending, and surviving banks are more profitable. However, nonbanks change their credit policy when faced with more competition and expand credit to riskier borrowers at the extensive margin, resulting in higher default rates. These results showhowthe effects of competition de...
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作者：Baron, Matthew
作者单位：Cornell University
摘要：Over the period 1980-2012, large U.S. commercial banks raise and retain less equity during credit expansions, which amplifies their leverage. The decrease in equity issuance is large relative to subsequent banking losses. I consider a variety of explanations for why banks resist raising equity and find evidence consistent with the diminishment of creditor market discipline due to government guarantees. I test this explanation by analyzing the removal of government guarantees to German Landesba...
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作者：Gao, Meng; Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Modern information technologies have fundamentally changed how information is disseminated in financial markets. Using the staggered implementation of the EDGAR system from 1993 to 1996 as a shock to information dissemination technologies, we find evidence that internet dissemination of corporate disclosures increases information production by corporate outsiders. Trades by individual investors, especially those with access to the internet, become more informative about future stock returns fo...
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作者：Choi, Darwin; Gao, Zhenyu; Jiang, Wenxi
作者单位：Chinese University of Hong Kong
摘要：We find that people revise their beliefs about climate change upward when experiencing warmer than usual temperatures in their area. Using international data, we show that attention to climate change, as proxied by Google search volume, increases when the local temperature is abnormally high. In financial markets, stocks of carbon-intensive firms underperform firms with low carbon emissions in abnormally warm weather. Retail investors (not institutional investors) sell carbon-intensive firms i...
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作者：Burnside, A. Craig; Graveline, Jeremy J.
