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作者：Baldauf, Markus; Garlappi, Lorenzo; Yannelis, Constantine
作者单位：University of British Columbia; University of Chicago
摘要：This paper studies whether house prices reflect belief differences about climate change. We show that in an equilibrium model of housing choice in which agents derive utility from ownership in a neighborhood of similar agents, prices exhibit different elasticities to climate risk. We use comprehensive transaction data to relate prices to inundation projections of individual homes and measures of beliefs about climate change. We find that houses projected to be underwater in believer neighborho...
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作者：Agarwal, Sumit; Mikhed, Vyacheslav; Scholnick, Barry
作者单位：National University of Singapore; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Alberta
摘要：We examine whether relative income differences among peers can generate financial distress. Using lottery winnings as plausibly exogenous variations in the relative income of peers, we find that the dollar magnitude of a lottery win of one neighbor increases subsequent borrowing and bankruptcies among other neighbors. We also examine which factors may mitigate lenders' bankruptcy risk in these neighborhoods. We show that bankruptcy filers obtain more secured, but not unsecured, debt, and lende...
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作者：Chen, Xuanjuan; Higgins, Eric; Xia, Han; Zou, Hong
作者单位：Shanghai University of Finance & Economics; Kansas State University; University of Texas System; University of Texas Dallas; University of Hong Kong
摘要：We show that installing stronger risk management into financial institutions-a proposal widely discussed following the 2008 financial crisis-is insufficient to constrain institutions' exposure to investment with lurking risk, such as asset-backed securities (ABS). Regulations affect the functioning of risk management: risk management constrains institutions' exposure to risky ABS when they face mark-to-market reporting combined with capital requirements; however, this role is considerably weak...
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作者：Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min
作者单位：Tilburg University; Columbia University; National Bureau of Economic Research; Ghent University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight to quality in the U.S. corporate bond market. Emergi...
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作者：Begin, Jean-Francois; Dorion, Christian; Gauthier, Genevieve
作者单位：Simon Fraser University; Universite de Montreal; HEC Montreal
摘要：The recent literature provides conflicting empirical evidence about the pricing of idiosyncratic risk. This paper sheds new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity premium arises exclusively from jump risk. Third, we document that the commonality in idiosyncratic tail risk is much stronger than that...
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作者：Muravyev, Dmitriy; Pearson, Neil D.
作者单位：Michigan State University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter sma...
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作者：Donaldson, Jason Roderick; Malenko, Nadya; Piacentino, Giorgia
作者单位：Washington University (WUSTL); Center for Economic & Policy Research (CEPR); Boston College; European Corporate Governance Institute; Columbia University; National Bureau of Economic Research
摘要：We develop a dynamic model of board decision-making akin to dynamic voting models in the political economy literature. We show a board could retain a policy all directors agree is worse than an available alternative. Thus, directors may retain a CEO they agree is bad-deadlocked boards lead to entrenched CEOs. We explore how to compose boards and appoint directors to mitigate deadlock. We find board diversity and long director tenure can exacerbate deadlock. We rationalize why CEOs and incumben...
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作者：Jayaraman, Sudarshan; Wu, Joanna Shuang
作者单位：University of Rochester
摘要：We explore the use of voluntary disclosure by managers to solicit market feedback. Using managerial capital expenditure forecasts, we find that managers adjust annual capital expenditures upward (downward) in response to positive (negative) stock market reactions to capital expenditure forecasts, but only for those forecast announcements that stimulate rather than discourage informed trading. These capex adjustments motivated by market feedback correlate with higher future performance and are ...
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作者：Mitra, Indrajit; Xu, Yu
作者单位：University of Michigan System; University of Michigan; University of Hong Kong
摘要：We show that time-varying risk premium in financial markets can explain a key, yet puzzling, feature of labor markets: the large differences in unemployment risk across worker age groups over the business cycle. Our search model features a time-varying risk premium and learning about unobserved heterogeneity in worker productivity. Their interaction generates large real effects through firms' labor policies. Our model predicts higher unemployment risk of younger workers relative to prime-age w...
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作者：Decaire, Paul H.; Gilje, Erik P.; Taillard, Jerome P.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Babson College
摘要：We study when and why firms exercise real options. Using detailed project-level investment data, we find that the likelihood that a firm exercises a real option is strongly related to peer exercise behavior. Peer exercise decisions are as important in explaining exercise behavior as variables commonly associated with standard real option theories, such as volatility. We identify peer effects using localized exogenous variation in peer project exercise decisions and find evidence consistent wit...
