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作者：Goyal, Amit; Welch, Ivo; Zafirov, Athanasse
作者单位：Swiss Finance Institute (SFI)
摘要：Our paper reexamines whether 29 variables from 26 papers published after , as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample as of the end of 2021. Our samples include the original periods in which these variables were identified, but end later. More than one-third of these new variables no longer have empirical significance even in-sample. Of those that do, half have poor out-of-sample performance. A small number of variables still ...
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作者：Doshi, Hitesh; Kumar, Praveen
作者单位：University of Houston System; University of Houston
摘要：We analyze effects of tacit collusion in a dynamic general equilibrium model of oligopolistic sectors with capital investment and real frictions. Through their effects on equilibrium- and off-equilibrium stock prices, fundamental shocks affect incentives for defection from tacit collusion, amplifying the interaction between the real economy and financial markets as well as firms' risk exposure. The model implies ambiguous relationship between industry concentration and equity returns depending...
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作者：Dooley, John M.; Gallagher, Emily A.
作者单位：Washington University (WUSTL); University of Colorado System; University of Colorado Boulder
摘要：Little is known about the motivations and outcomes of sellers in remunerated markets for human materials. We exploit dramatic growth in the U.S. blood plasma industry to shed light on the sellers of plasma. Sellers tend to be young and liquidity-constrained with low incomes and limited access to traditional credit. Plasma centers absorb demand for nontraditional credit. After a plasma center opens nearby, demand for payday loans falls by over 13% among young borrowers. Meanwhile, foot traffic ...
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作者：Freyberger, Joachim; Hoeppner, Bjoern; Neuhierl, Andreas; Weber, Michael
作者单位：University of Bonn; Washington University (WUSTL); University of Chicago
摘要：We propose a simple and computationally attractive method to deal with missing data in in cross-sectional asset pricing using conditional mean imputations and weighted least squares, cast in a generalized method of moments (GMM) framework. This method allows us to use all observations with observed returns; it results in valid inference; and it can be applied in nonlinear and high-dimensional settings. In simulations, we find it performs almost as well as the efficient but computationally cost...
