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作者：Fishman, Michael J.; Parker, Jonathan A.; Straub, Ludwig
作者单位：Northwestern University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We analyze a dynamic credit market where banks choose lending standards, modeled as costly effort to screen out bad borrowers. Tighter standards worsen the borrower pool, increasing banks' incentives to employ tight standards in the future. This dynamic complementarity in lending standards can amplify and prolong downturns, decreasing lending and increasing credit spreads. Because lending standards have negative externalities, the market can converge to a steady state with inefficiently tight ...
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作者：Lu, Yan; Naik, Narayan Y.; Teo, Melvyn
作者单位：State University System of Florida; University of Central Florida; University of London; London Business School; Singapore Management University
摘要：Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral bias...
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作者：Landier, Augustin; Lovo, Stefano
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：Can a socially responsible fund (SRF) improve social welfare while maximizing assetsunder management? We consider a two-sector model integrating financial intermediation,emissions' negative externalities, and investors' social preferences with regard to valuealignment and impact. In scenarios with a high proportion of value-aligned investors,the SRF invests in clean sectors and compels recipients companies to use low-emissionsuppliers from the polluting sector, which appeals to both investor t...
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作者：[Anonymous]
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作者：Ramirez, Carlos A.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Changes in the propagation of shocks along firm networks are important to understanding aggregate and cross-sectional features of stock returns. When calibrated to match key characteristics of supplier-customer networks in the United States, a model in which firms are interlinked via enduring relationships generates long-run consumption risks, high and volatile risk premiums, and a small and stable risk-free rate. The model also matches cross-sectional patterns of portfolio returns sorted by f...
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作者：Bryzgalova, Svetlana; Lerner, Sven; Lettau, Martin; Pelger, Markus
作者单位：University of London; London Business School; Stanford University; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We document the widespread nature and structure of missing observations of firm fundamentals and show how to systematically handle them. Missing financial data affects more than 70% of firms that represent about half of the total market cap. Firm fundamentals have complex systematic missing patterns, invalidating traditional approaches to imputation. We propose a novel imputation method to obtain a fully observed panel of firm fundamentals that exploits both time-series and cross-sectional dep...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
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作者：Delao, Ricardo; Myers, Sean
作者单位：University of Southern California; University of Pennsylvania
摘要：We present a method for determining whether errors in expectations explain asset pricing puzzles without imposing assumptions about the error mechanism. Using accounting identities and survey forecasts, we find that errors in expected long-term inflation explain price variation, return predictability, and the rejection of the expectations hypothesis for aggregate stock and bond markets. Errors in short-term (long-term) nominal earnings growth expectations explain (do not explain) stock price v...
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作者：Davydiuk, Tetiana; Marchuk, Tatyana; Rosen, Samuel
作者单位：Johns Hopkins University; BI Norwegian Business School; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：Using the exclusion of business development companies (BDCs) from stock indexes, this paper studies the effectiveness of market discipline in the direct lending space. Amid share sell-offs by institutional investors, a drop in BDCs' valuations limits their ability to raise new equity capital. Following this funding shock, BDCs do not adjust their capital structure. At the same time, they are reducing the risk exposure of their portfolios. We document a greater reduction in risk for BDCs subjec...
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作者：Boustanifar, Hamid; Kang, Young Dae
作者单位：Universite Catholique de Lille; EDHEC Business School; Bank of Korea
