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作者：Hong, Harrison; Karolyi, G. Andrew; Scheinkman, Jose A.
作者单位：Columbia University; Cornell University; Princeton University
摘要：Climate finance is the study of local and global financing of public and private investment that seeks to support mitigation of and adaptation to climate change. In 2017, the Review of Financial Studies launched a competition among scholars to develop research proposals on the topic with the goal of publishing this special volume. We describe the competition, how the nine projects featured in this volume came to be published, and frame their findings within what we view as a broader climate fi...
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作者：Xu, Ke-Li
作者单位：Indiana University System; Indiana University Bloomington
摘要：Research in finance and macroeconomics has routinely employed multiple horizons to test asset return predictability. In a simple predictive regression model, we find the popular scaled test can have zero power when the predictor is not sufficiently persistent. A new test based on implication of the short-run model is suggested and is shown to be uniformly more powerful than the scaled test. The newtest can accommodate multiple predictors. Compared with various other widely used tests, simulati...
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作者：Bouvard, Matthieu; Lee, Samuel
作者单位：McGill University; Santa Clara University; Swedish House of Finance
摘要：We model risk management as information acquisition that delays trading decisions. In markets with preemptive competition, this can lead to a race to the bottom, where prioritizing trade execution over risk management is optimal for each firm, but collectively inefficient. As time competition intensifies, mean trading profit supplants risk concerns as the main driver of risk management quality, causing risk misallocation to rise with trading speed and volume. This pathology of risk management ...
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作者：Raponi, Valentina; Robotti, Cesare; Zaffaroni, Paolo
作者单位：Imperial College London; University of Warwick
摘要：We propose a methodology for estimating and testing beta-pricing models when a large number of assets is available for investment but the number of time-series observations is fixed. We first consider the case of correctly specified models with constant risk premia, and then extend our framework to deal with time-varying risk premia, potentially misspecified models, firm characteristics, and unbalanced panels. We show that our large cross-sectional framework poses a serious challenge to common...
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作者：Karolyi, G. Andrew; Van Nieuwerburgh, Stijn
作者单位：Cornell University; Columbia University
摘要：The cross-section and time series of stock returns contains a wealth of information about the stochastic discount factor (SDF), the object that links cash flows to prices. A large empirical literature has uncovered many candidate factors-many more than seem plausible-to summarize the SDF. This special volume of the Review of Financial Studies presents recent advances in extracting information from both the cross-section and the time series, in dealing with issues of replication and false disco...
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作者：Bircan, Cagatay; De Haas, Ralph
作者单位：European Bank of Reconstructon & Development; European Bank of Reconstructon & Development; Centre for Economic Policy Research - UK; Tilburg University
摘要：We exploit historically determined variation in local credit markets to identify the impact of bank lending on innovation across Russian firms. We find that deeper credit markets increase firms' use of bank credit, their adoption of new products and technologies, and their productivity growth. This relationship is more pronounced in industries farther from the technological frontier, more exposed to import competition, and that export more. These impacts are also stronger for firms near histor...
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作者：Augustin, Patrick; Jiao, Feng; Sarkissian, Sergei; Schill, Michael J.
作者单位：McGill University; University of Lethbridge; University of Edinburgh; University of Virginia
摘要：We study how listing in multiple markets affects the dynamics between firms' credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest ...
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作者：Baele, Lieven; Driessen, Joost; Ebert, Sebastian; Londono, Juan M.; Spalt, Oliver G.
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作者：Weagley, Daniel
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：I examine the effect of financial sector stress on risk sharing in a novel setting: the CME's weather derivatives market. The structure of the market allows me to disentangle price movements due to financial sector stress from price movements due to fundamentals. Contracts, which are typically priced near their actuarially fair value, experience significant price declines during periods of financial sector stress. Contracts with greater margin requirements and total risk are the most affected....
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作者：Vallee, Boris; Zeng, Yao
作者单位：Harvard University; University of Washington; University of Washington Seattle
摘要：Marketplace lending relies on screening and information production by investors, a major deviation from the traditional banking paradigm. Theoretically, the participation of sophisticated investors improves screening outcomes and also creates adverse selection among investors. In maximizing loan volume, the platform trades off these two forces. As the platform develops, it optimally increases platform prescreening intensity but decreases information provision to investors. Using novel investor...
