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作者：[Anonymous]
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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：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：Gulen, Huseyin; Ion, Mihai; Jens, Candace E.; Rossi, Stefano
作者单位：Purdue University System; Purdue University; University of Arizona; Syracuse University; Bocconi University
摘要：We provide a systematic empirical assessment of the Minsky hypothesis that business fluctuations stem from irrational swings in expectations. Using predictable firm-level forecast errors, we build an aggregate index of irrational expectations and use it to provide three sets of results. First, we show that our index predicts aggregate credit cycles. Next, we show that these predictable credit cycles drive cycles in firm-level debt issuance and investment and similar cycles between financially ...
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作者：Bisetti, Emilio; Li, Kai; Yu, Jun
作者单位：Hong Kong University of Science & Technology; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; University of Melbourne
摘要：We study the quantitative impact of lender control rights on corporate investment, asset prices, and the aggregate economy. We build a general equilibrium model in which the breaching of a loan covenant (technical default) entails a switch in investment control rights from borrowers to lenders. Lenders optimally choose low-risk projects, thus mitigating borrowers' risk-taking incentives and lowering the cost of equity. This mechanism generates strong macroeconomic effects and mitigates the fin...
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作者：Gilbukh, Sonia; Goldsmith-Pinkham, Paul
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Yale University; National Bureau of Economic Research
摘要：The real estate market is highly intermediated, with 90% of buyers and sellers hiring an agent. However, low barriers to entry and fixed commission rates result in large market share for inexperienced intermediaries. Using micro-level data on 8.5 million listings and a novel research design, we show that house listings by inexperienced agents have a lower probability of selling, and this effect is strongest during the housing bust. We estimate that 3.7% more listings would have been sold in a ...
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作者：Duarte, Victor; Duarte, Diogo; Silva, Dejanir H.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; State University System of Florida; Florida International University; Purdue University System; Purdue University
摘要：We develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito's lemma allows for the computation of exact expectations, resulting in a negligible computational cost that is independent of the number of state variables. We illustrate the applicability of our method to problems in asset pricing, corporate finance, and ...
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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 ...
