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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
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作者：Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C.
作者单位：University of Southern California; Federal Reserve System - USA; Federal Reserve Bank - New York; University of Oxford; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. In addition, our model addresses two challenges to the standard model. Calibrating the agents' preferences to explain the equity premium no longer implies an extreme preference for early resolutions o...
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作者：Farboodi, Maryam; Singal, Dhruv; Veldkamp, Laura; Venkateswaran, Venky
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Columbia University; New York University
摘要：How should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a sufficient statistics approach that uses equilibrium asset return moments to summarize all relevant information about others' characteristics. Our approach values public or private data, data about one or many assets, and data relevant for dividends or sentiment. While different data types, of course, have different valuations, heterogeneous investors ...
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作者：Laibson, David; Lee, Sean Chanwook; Maxted, Peter; Repetto, Andrea; Tobacman, Jeremy
作者单位：Harvard University; Pontificia Universidad Catolica de Chile; University of Delaware
摘要：We estimate beta-delta time preferences and relative risk aversion (RRA) using a lifecycle model including stochastic income, liquid and illiquid assets, credit cards, dependents, Social Security, mortality, and bequests. Preference parameters are identified by cross-tabulating four lifecycle age intervals and four balance sheet moments: the share of households carrying (ie, revolving) credit card debt, average carried credit card debt, average net wealth among households carrying credit card ...
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作者：Perignon, Christophe; Akmansoy, Olivier; Hurlin, Christophe; Dreber, Anna; Holzmeister, Felix; Huber, Juergen; Johannesson, Magnus; Kirchler, Michael; Menkveld, Albert J.; Razen, Michael; Weitzel, Utz
作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS); Universite de Orleans; Stockholm School of Economics; University of Innsbruck; Vrije Universiteit Amsterdam; Tinbergen Institute; Radboud University Nijmegen
摘要：We analyze the computational reproducibility of more than 1,000 empirical answers to 6 research questions in finance provided by 168 research teams. Running the researchers' code on the same raw data regenerates exactly the same results only 52% of the time. Reproducibility is higher for researchers with better coding skills and those exerting more effort. It is lower for more technical research questions, more complex code, and results lying in the tails of the distribution. Researchers exhib...
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作者：Baghai, Ramin P.; Silva, Rui C.; Ye, Luofu
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Universidade Nova de Lisboa; University of London; London Business School
摘要：We study how the human capital embedded in teams is affected by, and reallocated through, corporate bankruptcies. After a bankruptcy, U.S. inventors produce fewer and less impactful patents. Moreover, teams become less stable. Consequently, compared to inventors that rely less on teamwork, the performance of team inventors deteriorates more. These findings point to the loss of team-specific human capital as a cost of resource reallocation through bankruptcy. Acquisitions by industrial firms an...
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作者：Mitra, Indrajit; Xu, Yu
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Delaware
摘要：We present a theory in which the interaction between limited sharing of idiosyncratic labor income risk and labor adjustment costs (that endogenously arise through search frictions) determines interest rate dynamics. In the general equilibrium, the interaction of these two ingredients relates bond risk premiums, cross-sectional skewness of income growth, and labor market tightness. Our model rationalizes an upward-sloping average yield curve and predicts a negative relation between labor marke...
