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作者：Delao, Ricardo; Myers, Sean
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作者：Schmidt-Engelbertz, Paul; Vasudevan, Kaushik
作者单位：Yale University; Purdue University System; Purdue University
摘要：Higher-order beliefs-beliefs about others' beliefs-may be important for trading behavior and asset prices but have received little systematic empirical examination. Examining more than 20 years of evidence from the Robert Shiller Investor Confidence surveys, we find that investors' higher-order beliefs provide substantial motivations for nonfundamental speculation-taking a stock market position that conflicts with one's valuation of the market. To explore the equilibrium implications, we const...
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作者：Infante, Sebastian; Saravay, Zack
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We theoretically and empirically show how the reuse of Treasury securities as collateral alleviates safe asset scarcity. Our model characterizes how reuse allows intermediaries to efficiently reallocate the safety benefits of long-term Treasury securities to a broader investor base. By reusing Treasury securities, intermediaries can access more collateral to create safe assets without interest rate risk. When the demand for safe assets is high, intermediaries increase reuse, distributing safe ...
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作者：Ait-Sahalia, Yacine; Jacod, Jean; Xiu, Dacheng
作者单位：Princeton University; National Bureau of Economic Research; Sorbonne Universite; University of Chicago
摘要：We develop an asymptotic framework for conducting inference on continuous-time asset pricing models using high-frequency returns over an increasing time horizon. Our study focuses on the identification and estimation of risk premiums associated with the continuous component and jumps of various size brackets. We extend the classical Fama-MacBeth regression from the discrete-time setting to a continuous-time factor model, incorporating general dynamics for factors, idiosyncratic components, and...
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作者：Rehbein, Oliver; Rother, Simon
作者单位：Vienna University of Economics & Business; University of Mannheim
摘要：We present evidence that loan allocations and loan terms are closely linked to the strength of social connections between bank and borrower regions. Lending increases with social connectedness, particularly in the presence of strong screening incentives. If connectedness is high, banks discriminate between borrowers more, the terms of originated loans are more borrower friendly, and loan performance is better. Furthermore, social connectedness is associated with higher bank profitability and w...
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作者：Goedker, Katrin; Jiao, Peiran; Smeets, Paul
作者单位：Bocconi University; Leibniz Association; Ifo Institut; Maastricht University; University of Amsterdam
摘要：We provide experimental evidence of a positive memory bias that affects individuals' beliefs, decisions to reinvest, and overconfidence in the stock market. Individuals overremember positive investment outcomes of chosen assets and underremember negative ones. Based on their memories, subjects form overly optimistic beliefs about their investment, reinvest too much, and become overconfident about their investment ability relative to others. We further provide evidence on motivation driving the...
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作者：Acharya, Viral V.; Parlatore, Cecilia; Sundaresan, Suresh
作者单位：New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Columbia University
摘要：We examine the optimal financing of infrastructure when governments can expropriate rents from private sector firms that manage infrastructure. While private firms need incentives to implement projects well, governments need incentives to limit expropriation. This double moral hazard limits the willingness of outside investors to fund infrastructure projects. Optimal financing contracts involve government guarantees to investors against project failure to incentivize the government to agree no...
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作者：Beaumont, Paul; Hebert, Camille; Lyonnet, Victor
作者单位：McGill University; University of Toronto
摘要：Firms enter new sectors by either building on their resources or buying existing companies. Using French administrative data, we propose a measure of human capital distance between a firm and a sector of entry. Using a shift-share instrument, we show that firms build in close sectors and buy in distant sectors in terms of human capital distance. Firms build by hiring new workers, which becomes increasingly costly in distant sectors as it requires not only hiring more workers but also having mo...
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作者：Kogan, Leonid; Mitra, Indrajit
作者单位：Massachusetts Institute of Technology (MIT); Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：We propose a general simulation-based procedure for estimating the quality of approximate policies in heterogeneous-agent equilibrium models, which allows us to verify that such approximate solutions describe a near-rational equilibrium. Our procedure endows agents with superior knowledge of the future path of the economy, while imposing a suitable penalty for such foresight. The relaxed problem is more tractable than the original, and results in an upper bound on agents' welfare. Our method a...
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作者：Fang, Xiang; Hardy, Bryan; Lewis, Karen K.
作者单位：University of Hong Kong; Bank for International Settlements (BIS); University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：This paper studies whether investor composition affects the sovereign debt market. We construct a data set of sovereign debt holdings by foreign and domestic bank, nonbank private and official investors for 101 countries across three decades. Compared with other investors, private nonbank investors absorb a disproportionate share of the debt supply, and their demand for emerging market debt is most price responsive. A counterfactual analysis of emerging market sovereigns shows a 10% increase i...
