-
作者：Huang, Shiyang; Jiang, Wenxi; Liu, Xiaoxi; Liu, Xin
作者单位：University of Hong Kong; Chinese University of Hong Kong; Bank for International Settlements (BIS); University of Macau
摘要：Mutual funds investing in illiquid corporate bonds actively manage Treasury positions to buffer redemption shocks. This liquidity management practice can transmit non-fundamental fund flow shocks onto Treasuries, generating excess return volatility. Consistent with this hypothesis, we find that Treasury excess return volatility is positively associated with bond fund ownership, and this pattern is more pronounced among funds conducting intensive liquidity management. Causal evidence is provide...
-
作者：Jung, Hyeyoon
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：I show that shocks to financial intermediaries supplying hedging instruments to corporations have real effects. I exploit a quasi-natural experiment in South Korea in 2010, where regulations required banks to hold enough capital for taking foreign exchange derivatives (FXD) positions. Using variation in exposure to this regulation across banks, I find that the regulation caused a reduction in FXD supply, leading to a significant decline in exports for firms contracting derivatives with more ex...
-
作者：Fishman, Michael J.; Parker, Jonathan A.; Straub, Ludwig
-
作者：Dahlquist, Magnus; Ibert, Markus
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; Copenhagen Business School; Danish Finance Institute
摘要：Collecting large asset managers' capital market assumptions, we revisit the relationships between subjective equity premium expectations, equity valuations, and financial portfolios. In contrast to the well-documented extrapolative expectations of retail investors, asset managers' equity premium expectations are countercyclical: they are high (low) when valuations are low (high). We find that asset managers' portfolios reflect their heterogeneous expectations: allocation funds of asset manager...
-
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 ...
-
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...
-
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...
-
作者：[Anonymous]
-
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...
-
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...
