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作者：Nagel, Stefan; Xu, Zhengyang
作者单位：National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); City University of Hong Kong
摘要：Building on evidence that lifetime experiences shape individuals' macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay calibrated to microdata, the model generates a high and strongly countercyclical objective equity premium, while the subjective equity premium is virtually constant. Consistent with this theory, experien...
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作者：Boehmer, Ekkehart; Huszar, Zsuzsa R.; Wang, Yanchu; Zhang, Xiaoyan; Zhang, Xinran
作者单位：Singapore Management University; National University of Singapore; Shanghai University of Finance & Economics; Tsinghua University; Central University of Finance & Economics
摘要：Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. Our results display significant cross-country and cross-firm differences in the predictive power of alternative short-sale measures. The predictive power of shorts is stronger ...
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作者：Sambalaibat, Batchimeg
作者单位：Princeton University
摘要：I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that shorting bonds through CDS increases the liquidity and price of bonds. By allowing investors to trade the credit risk of bonds without trading the bonds, CDS introduction expands the set of feasible trades and attracts investors into the credit market. Because search is nondirected within the credit market, new investors also trade bonds and consequently increase their pric...
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作者：Cespa, Giovanni; Vives, Xavier
作者单位：University of Navarra; IESE Business School
摘要：We assess the consequences for market quality and welfare of different entry regimes and exchange pricing policies. To do so, we integrate a microstructure model with a free-entry, exchange competition model where exchanges have market power in technological services. Free-entry delivers superior liquidity and welfare outcomes vis-a-vis an unregulated monopoly, but entry can be excessive or insufficient. Depending on the extent of the monopolist's technological services undersupply compared to...
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作者：Cespa, Giovanni; Gargano, Antonio; Riddiough, Steven J.; Sarno, Lucio
作者单位：City St Georges, University of London; Centre for Economic Policy Research - UK; University of Houston System; University of Houston; University of Toronto; University of Cambridge
摘要：We investigate the information contained in foreign exchange (FX) volume using a novel data set from the over-the-counter market. We find volume helps predict next-day currency returns and is economically valuable for currency investors. Predictability implies a stronger return reversal for currency pairs with abnormally low volume and is driven by the component of volume unrelated to volatility, liquidity, and order flow. We rationalize these findings via a simple model, in which FX volume he...
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作者：Brogaard, Jonathan; Pan, Jing
作者单位：Utah System of Higher Education; University of Utah; Southern Methodist University
摘要：Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure information acquisition using stock price dynamics around earnings announcements. To overcome endogeneity concerns, we exploit a large exogenous decrease to dark pool trading that results from the implementation of the Security and Exchange Commission's (SEC's) Tick Size Pilot Program. The results cannot be explained by l...
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作者：Bartram, Sohnke M.; Conrad, Jennifer; Lee, Jongsub; Subrahmanyam, Marti G.
作者单位：University of Warwick; Centre for Economic Policy Research - UK; University of North Carolina; University of North Carolina Chapel Hill; New York University; New York University; NYU Shanghai
摘要：We analyze the impact of the introduction of credit default swaps (CDSs) on real decision-making within the firm. Our structural model predicts that CDS introduction increases debt capacity more when uncertainty about the credit events that trigger CDS payment is lower. Using a sample of more than 56,000 firms across 51 countries, we find that CDSs increase leverage more in legal and market environments where uncertainty about CDS obligations is reduced and when property rights are weaker. Our...
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作者：Colacito, Riccardo; Croce, Mariano M.; Liu, Yang; Shaliastovich, Ivan
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Bocconi University; Bocconi University; University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison
摘要：We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports. The average consumption pass-through is 50% (a 1% increase in output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The equity ...
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作者：Wachter, Jessica A.; Zhu, Yicheng
作者单位：University of Pennsylvania; National Bureau of Economic Research; Hong Kong University of Science & Technology
摘要：Empirical studies demonstrate striking patterns in stock returns related to scheduled macroeconomic announcements. A large proportion of the total equity premium is realized on days with macroeconomic announcements. The relation between market betas and expected returns is far stronger on announcement days as compared with nonannouncement days. Finally, these results hold for fixed-income investments as well as for stocks. We present a model in which agents learn the probability of an adverse ...
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作者：Baron, Matthew; Muir, Tyler
作者单位：Cornell University; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We study data on commercial banks and securities firms across multiple countries since 1870. Balance sheet expansion of leveraged intermediaries negatively predicts returns of stocks, bonds, currencies, and housing. The predictability is stronger at shorter horizons, is robust to macroeconomic controls, and holds outside distress periods, in contrast to models featuring nonlinearities during distress. Intermediaries in global financial centers predict international equity returns. A new data s...
