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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...
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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...
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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：Akinci, Ozge; Queralto, Albert
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic financial accelerator, leading to large cross-border spillovers of U.S....
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作者：Mustre-del-Rio, Jose; Sanchez, Juan M.; Mather, Ryan; Athreya, Kartik
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：When a macroeconomic shock arrives, variation in household balance sheet health (captured by the presence of financial distress, or FD) leads to differential access to credit and hence a distribution in consumption responses. As we document, though, over the past two recessions, households in prior FD also experienced macroeconomic shocks more intensely than others, leading to a distribution of shock severity. Quantifying the importance of each dimension of heterogeneity (FD or shock severity)...
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作者：Jansen, Mark; Phalippou, Ludovic; Noe, Thomas
作者单位：Utah System of Higher Education; University of Utah; University of Oxford
摘要：We propose a security design model in which a potential acquirer approaches a firm with a value-add plan. The target has a single owner, who possesses private information: he alone knows whether his firm is compatible with the plan. The owner agrees that the acquirer will add value but believes that the value-add will not be as much as what the acquirer expects. Although the acquirer can choose any monotone limited liability security to offer along with cash, we show that, under general condit...
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作者：Saunders, Anthony; Spina, Alessandro; Steffen, Sascha; Streitz, Daniel
作者单位：New York University; Copenhagen Business School; University of Technology Sydney; Frankfurt School Finance & Management; Centre for Economic Policy Research - UK; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Friedrich Schiller University of Jena
摘要：We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loan-market prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. We also explore the underlying mechanisms and differentiate between borrower fu...
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作者：Crump, Richard K.; Gospodinov, Nikolay
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：We introduce a novel nonparametric bootstrap for the yield curve that is agnostic to the true factor structure of interest rates. We deconstruct the yield curve into primitive objects, with weak cross-sectional and time-series dependence, that serve as building blocks for resampling the data. We analyze the properties of the bootstrap for mimicking salient features of the data and conducting valid inference. We demonstrate the benefits of our general method by revisiting the predictability of ...
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作者：Brav, Alon; Jiang, Wei; Li, Tao; Pinnington, James
作者单位：Duke University; National Bureau of Economic Research; Emory University; State University System of Florida; University of Florida; Duke University
摘要：We present the first comprehensive study of mutual fund voting in proxy contests. Among contests where voting takes place, passive funds are 10 percentage points less likely than active funds to vote for dissidents. The gap shrinks significantly when accounting for votes withheld from management nominees, settled contests, and votes by non-Big-Three fund families. Passive and active funds are equally informed about firm fundamentals, although passive funds view contest-related SEC filings more...
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作者：Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara
作者单位：University of Southern California; University of Missouri System; University of Missouri Columbia
摘要：Using a semisupervised topic model on 7 million New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock market excess returns to test rational and behavioral hypotheses about market valuation of disaster risk. Media discourse data address the challenge of sample size even when disasters are rare. Our methodology avoids look-ahead bias and addresses semantic shifts. Our discourse topics positively predicts market excess returns, with War having...
