6期

最新文章

• Equity Return Expectations and Portfolios: Evidence from Large Asset Managers AI翻译
  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...
• Which Subjective Expectations Explain Asset Prices? AI翻译
  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...
• Climate Change and Adaptation in Global Supply-Chain Networks AI翻译
  作者：Pankratz, Nora M. C.; Schiller, Christoph M.
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Arizona State University; Arizona State University-Tempe
  摘要：This paper examines how physical climate exposure affects firm performance and global supply chains. We document that heat at supplier locations reduces the operating income of suppliers and their customers. Further, customers respond to perceived changes in suppliers' exposure: when suppliers' realized exposure exceeds ex ante expectations, customers are 7% more likely to terminate supplier relationships. Consistent with experience-based learning, this effect increases with signal strength an...
• Selective Default Expectations AI翻译
  作者：Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim
  作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); Humboldt University of Berlin; Universite Libre de Bruxelles
  摘要：This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large selective default probability can be priced in bond yield spreads. Selective default risk accounted for one-third of the yield sp...
• The Effect of Carbon Pricing on Firm Emissions: Evidence from the Swedish CO2 Tax AI翻译
  作者：Martinsson, Gustav; Sajtos, Laszlo; Stromberg, Per; Thomann, Christian
  作者单位：Stockholm University; Stockholm School of Economics; Royal Institute of Technology
  摘要：Sweden was one of the first countries to introduce a carbon tax back in 1991. We assemble a unique data set tracking CO2 emissions from Swedish manufacturing firms over 26 years to estimate the impact of carbon pricing on firm-level emission intensities. We estimate an emission-to-pricing elasticity of around two, with substantial heterogeneity across subsectors and firms, where higher abatement costs and tighter financial constraints are associated with lower elasticities. A simple calibratio...
• Corporate Climate Risk: Measurements and Responses AI翻译
  作者：Li, Qing; Shan, Hongyu; Tang, Yuehua; Yao, Vincent
  作者单位：State University System of Florida; University of Florida; China Europe International Business School; Fordham University; University System of Georgia; Georgia State University
  摘要：This paper conducts a textual analysis of earnings call transcripts to quantify climate risk exposure at the firm level. We construct dictionaries that measure physical and transition climate risks separately and identify firms that proactively respond to climate risks. Our validation analysis shows that our measures capture firm-level variations in respective climate risk exposure. Firms facing high transition risk, especially those that do not proactively respond, have been valued at a disco...