-
作者：Bryzgalova, Svetlana; Lerner, Sven; Lettau, Martin; Pelger, Markus
作者单位：University of London; London Business School; Stanford University; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We document the widespread nature and structure of missing observations of firm fundamentals and show how to systematically handle them. Missing financial data affects more than 70% of firms that represent about half of the total market cap. Firm fundamentals have complex systematic missing patterns, invalidating traditional approaches to imputation. We propose a novel imputation method to obtain a fully observed panel of firm fundamentals that exploits both time-series and cross-sectional dep...
-
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 ...
-
作者：Cho, Thummim; Kremens, Lukas; Lee, Dongryeol; Polk, Christopher
作者单位：Korea University; University of Washington; University of Washington Seattle; University of London; London School Economics & Political Science
摘要：We propose a loglinear present-value identity in which investment (scale), profitability (yield), and discount rates determine a firm's market-to-book ratio. Our identity reconciles existing influential market-to-book decompositions and facilitates novel insights from three empirical applications: (1) Both investment and profitability are important contributors to the value spread and stock return news variance. (2) Any cross-sectional return predictability has a mirror image in cash-flow fund...
-
作者：Aleti, Saketh; Bollerslev, Tim
作者单位：Duke University
摘要：Utilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced. News related to monetary policy and finance on average accounts for most of the variation in the SDF, followed by news about international affairs and macroeconomic data. We also document nontrivial temporal variation in the relative importance of the news, along with marked differences in the estimated news risk premiums in...
-
作者：Pohl, Walter; Schmedders, Karl; Wilms, Ole
作者单位：Norwegian School of Economics (NHH); International Institute for Management Development (IMD); University of Hamburg; Tilburg University
摘要：Modern asset pricing models combine recursive preferences with complex dynamics for the underlying consumption process. The existence of solutions is for many of these models an unsettled question. This paper introduces a novel technique to prove existence and nonexistence, as well as uniqueness for models with recursive preferences. The approach applies to many models of interest, including those with long-run consumption risks, with stochastic volatility and jumps, with time-varying consumpt...
-
作者：Da, Zhi; Fang, Vivian W.; Lin, Wenwei
作者单位：University of Notre Dame; Indiana University System; Indiana University Bloomington; European Corporate Governance Institute; The Chinese University of Hong Kong, Shenzhen
摘要：Fractional trading (FT)-the ability to trade less than a whole share-removes barriers to high-priced stocks and facilitates entry by capital-constrained retail investors. We observe a surge of tiny trades, measured using off-exchange one-share trades, among high-priced stocks compared to low-priced stocks after FT is introduced to the U.S. equity markets. These tiny trades, when coordinated during attention-grabbing events, are forceful enough to exert large price pressure on high-priced stock...
-
作者：Plosser, Matthew C.; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：Basel I introduced capital requirements for undrawn commitments, but only for revolvers with an original maturity greater than one year. We use this regulatory discontinuity to estimate the impact of capital regulation on the cost and composition of credit. Following Basel I, short-term commitment fees declined relative to long-term commitments and issuance of short-term facilities increased. Our results highlight the sensitivity of credit provision to capital regulation, particularly for bank...
-
作者：Hirshleifer, David; Peng, Lin; Wang, Qiguang
作者单位：University of Southern California; City University of New York (CUNY) System; Baruch College (CUNY); Hong Kong Baptist University
摘要：We study how the social transmission of public news influences investors' beliefs and the securities markets. Using data on social networks, we find that earnings announcements from firms in higher-centrality counties generate a stronger immediate price, volatility, and trading volume reactions. Post-announcement, such firms experience weaker price drift and faster volatility decay but higher and more persistent volume. These findings suggest greater social connectedness facilitates the timely...
-
作者：Li, Zhimin; Shen, Leslie Sheng; Zhang, Calvin
作者单位：Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper studies the real effects of foreign real estate capital inflows. Using transaction-level data, we document (i) a China shock in the U.S. housing market characterized by surging foreign Chinese housing purchases after 2008, and (ii) home bias in these purchases, as they concentrate in neighborhoods historically populated by ethnic Chinese. Exploiting their temporal and spatial variation, we find that these capital inflows raise local employment, with the effect transmitted through a ...
-
作者：Peydro, Jose-Luis; Rodriguez-Tous, Francesc; Tripathy, Jagdish; Uluc, Arzu
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Bank of England
摘要：We analyze the distributional effects of macroprudential policy on mortgage cycles by exploiting the U.K. mortgage register and a 2014 15% limit imposed on lenders' high loan-to-income (LTI) mortgages. Constrained lenders issue fewer and more expensive high-LTI mortgages, with stronger effects on low-income borrowers. Unconstrained lenders strongly substitute high-LTI loans in local areas with higher constrained lender presence, but not high-LTI loans to low-income borrowers-consistent with ad...
