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作者：Daniel, Naveen D.; Li, Yuanzhi; Naveen, Lalitha
作者单位：Drexel University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：In this study, we take a comprehensive look at asymmetry in pay for luck, which is the finding that CEOs are rewarded for good luck, but are not penalized to the same extent for bad luck. Our main takeaway, which is based on over 200 different specifications, is that there is no asymmetry in pay for luck. Our finding is important given that the literature widely accepts the idea of asymmetry in pay for luck and typically points to this as evidence of rent extraction.
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作者：Levi, Yaron; Welch, Ivo
作者单位：University of Southern California; University of California System; University of California Los Angeles
摘要：Our paper explores whether a symmetric plain or an asymmetric down-beta is a better hedging measure (Roy 1952; Markowitz 1959). Unlike Ang, Chen, and Xing (2006) and Lettau, Maggiori, and Weber (2014), we find that the prevailing plain market beta is the better predictor, even for crashes. It also predicts the subsequent down-beta (i.e., beta measured only on days when the stock market had declined) better than down-beta itself. Stocks with higher down-betas ex ante also do not earn higher ave...
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作者：Addoum, Jawad M.; Ng, David T.; Ortiz-Bobea, Ariel
作者单位：Cornell University
摘要：Combining granular daily data on temperatures across the continental United States with detailed establishment data from 1990 to 2015, we study the causal impact of temperature shocks on establishment sales and productivity. Using a large sample yielding precise estimates, we do not find evidence that temperature exposures significantly affect establishment-level sales or productivity, including among industries traditionally classified as heat sensitive. At the firm level, we find that temper...
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作者：Glode, Vincent; Opp, Christian C.
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作者：Armantier, Olivier; Holt, Charles A.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Virginia
摘要：A core responsibility of the Federal Reserve is to ensure financial stability by acting as the lender of last resort through its discount window (DW). Historically, however, the DW has not been effective because its usage is stigmatized. In this paper, we develop a coordination game with adverse selection, and we test in the lab policies that have been proposed to mitigate DW stigma. We find that lowering the DW cost and making DW borrowing difficult to detect are ineffective, but regular rand...
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作者：Flynn, Sean J., Jr.; Ghent, Andra C.; Tchistyi, Alexei
作者单位：Colorado State University System; Colorado State University Fort Collins; University of North Carolina; University of North Carolina Chapel Hill; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We analyze how Dodd-Frank-mandated risk retention affects the information investors extract from issuers' retention choices in the CMBS market. We show that the required retention level is both binding and stringent. Although this implies issuers cannot signal using the level of retention, we provide a model showing that signaling can occur by varying the retention structure. The model is consistent with spreads being empirically lower in deals with a purely first-loss retention structure. A s...
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作者：Kalda, Ankit
作者单位：Indiana University System; Indiana University Bloomington
摘要：Using health shocks to identify financial distress situations, I document that peer distress leads to a decline in individual leverage and debt on average. Individual leverage declines by 5.7% and remains deflated for at least five years following peer distress. This decline occurs as individuals borrow less on the intensive margin, pay higher fractions of their debt and save more while their income remains unchanged. As a result, individuals are less likely to default during the period follow...
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作者：Hou, Kewei; Xue, Chen; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; University System of Ohio; University of Cincinnati; National Bureau of Economic Research
摘要：Most anomalies fail to hold up to currently acceptable standards for empirical finance. With microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 anomalies in our extensive data library, including 96% of the trading frictions category, cannot clear the single test hurdle of the absolute t-value of 1.96. Imposing the higher multiple test hurdle of 2.78 at the 5% significance level raises the failure rate to 82%. Even for replicated anomalies, their economic magnit...
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作者：Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Shanghai Jiao Tong University; Hong Kong University of Science & Technology; Goethe University Frankfurt
摘要：A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. Theory suggests a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints insures against aggregate shocks and commands a lower risk compensation compared with noncollateralizable assets. We show that a long-short portfolio constructed using a novel measure of asset collateralizability generates an...
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作者：Walther, Ansgar; White, Lucy
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); Boston University
摘要：Recent reforms have given regulators broad powers to bail-in bank creditors during financial crises. We analyze efficient bail-ins and their implementation. To preserve liquidity, regulators must avoid signaling negative private information to creditors. Therefore, optimal bail-ins in bad times only depend on public information. As a result, the optimal policy cannot be implemented if regulators have wide discretion, due to an informational time-inconsistency problem. Rules mandating tough bai...
