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作者：Malamud, Semyon; Schrimpf, Andreas; Zhang, Yuan
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Bank for International Settlements (BIS); Shanghai University of Finance & Economics
摘要：We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, intermediaries' market power breaks monetary neutrality and makes international risk-sharing inefficient. Despite having zero net positions, markups charged by intermediaries significantly distort international asset prices, affecting exchange ...
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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：Feldhutter, Peter; Pedersen, Lasse Heje
作者单位：Copenhagen Business School; Copenhagen Business School
摘要：This paper examines whether capital structure is irrelevant for enterprise value and investment when investors care about environmental, social, and governance issues, which we refer to as ESG-Modigliani-Miller (ESG-MM). Theoretically, we show that ESG-MM holds with linear pricing and additive ESG. ESG-MM means that issuing low-yielding green bonds does not lower the overall cost of capital because it makes the issuer's other securities browner. Hence, a firm's incentive to make a green invest...
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作者：Coppola, Antonio
作者单位：Stanford University
摘要：I show that investor composition affects bond price dynamics and capital allocation during crises. Using large-scale holdings data and within-firm ownership variation across near-identical bonds, I causally identify bond returns' investor composition elasticities. Corporate bonds held predominantly by insurers rather than mutual funds suffer milder losses in downturns: increasing insurer holdings by half a bond's size causes 20% shallower drawdowns. A shift-share instrument isolates variation ...
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作者：Larrain, Borja; Phillips, Gordon M.; Sertsios, Giorgo; Urzua I, Francisco
作者单位：Pontificia Universidad Catolica de Chile; Dartmouth College; National Bureau of Economic Research; University of Wisconsin System; University of Wisconsin Milwaukee; City St Georges, University of London
摘要：We study the effects of going public using a unique panel of firms in 16 European countries for which we observe financial data before and after initial public offering (IPO) attempts. We compare completed and withdrawn IPO attempts. We instrument the decision to complete the IPO using prior market returns. After instrumenting, we isolate a positive causal effect of going public on profitability. We also find a post-IPO expansion in sales per employee, subsidiaries, and countries in which firm...
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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...
