-
作者：Abbassi, Puriya; Brauning, Falk
作者单位：Deutsche Bundesbank; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：Using contract-level supervisory data, we show that dollar forward sales by non-U.S. banks that are initiated at the end of a quarter and mature shortly after it concludes trade at higher prices and higher volumes. These effects are driven by banks with large net on-balance-sheet dollar assets that they can hedge around quarter ends by selling dollars forward (increasing off-balance-sheet short positions), which suggests regulatory arbitrage to reduce capital charges for open foreign exchange ...
-
作者：Schlafmann, Kathrin
作者单位：Danish Finance Institute; Copenhagen Business School; Centre for Economic Policy Research - UK
摘要：Using a quantitative theoretical framework this paper analyzes how problems of self-control influence housing and mortgage decisions. The results show that people with stronger problems of self-control are less likely to become homeowners, even though houses serve as commitment for saving. The paper then investigates the welfare effects of regulating mortgage products if people differ in their degree of self-control. Holding house prices fixed, higher down payment requirements and restrictions...
-
作者：Shen, Mo
作者单位：Auburn University System; Auburn University
摘要：This paper studies how the labor market frictions of skilled workers affect corporate valuation. The analysis features immigrant workers' mobility constraints imposed by the U.S. green card application process and exploits exogenous variations caused by imperfections in the current immigration system. The study finds that relaxing mobility constraints negatively influences firm value. This effect is stronger for firms with higher labor adjustment costs. Reductions in investments and increases ...
-
作者：Cao, Charles; Gempesaw, David; Simin, Timothy T.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Ohio; Miami University
摘要：We investigate how information choices affect equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a conditional asset pricing model, long-run patterns in returns and volatilities, other measures of information flow, and the information env...
-
作者：Pearson, Neil D.; Yang, Zhishu; Zhang, Qi
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Tsinghua University; Durham University
摘要：We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to th...
-
作者：Andonov, Aleksandar; Krauss, Roman; Rauh, Joshua
作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; University of Luxembourg; Stanford University; Stanford University; National Bureau of Economic Research
摘要：Institutional investors expect infrastructure to deliver long-term stable returns but gain exposure to infrastructure predominantly through finite-horizon closed private funds. The cash flows delivered by infrastructure funds display similar volatility and cyclicality as other private equity investments, and their performance similarly depends on quick deal exits. Despite weak risk-adjusted performance and failure to match the supposed characteristics of infrastructure assets, closed funds hav...
-
作者：Liu, Yukun; Tsyvinski, Aleh
作者单位：University of Rochester; Yale University
摘要：We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention str...
-
作者：Bellon, Aymeric; Cookson, J. Anthony; Gilje, Erik P.; Heimer, Rawley Z.
作者单位：University of Pennsylvania; University of Colorado System; University of Colorado Boulder; National Bureau of Economic Research; Boston College
摘要：We study the effect of personal wealth on entrepreneurial decisions using data on mineral payments from Texas shale drilling to individuals throughout the United States. Large cash windfalls increase business formation by 0.8 to 2.1 percentage points, but do not affect transitions to self-employment. By contrast, cash windfalls significantly extend self-employment spells, but do not affect the duration of business ownership. Our findings help reconcile contrasting findings in prior work: liqui...
-
作者：Chambers, David; Spaenjers, Christophe; Steiner, Eva
作者单位：University of Cambridge; Centre for Economic Policy Research - UK; Hautes Etudes Commerciales (HEC) Paris; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Real estate-housing in particular-is a less profitable investment in the long run than previously thought. We hand-collect property-level financial data for the institutional real estate portfolios of four large Oxbridge colleges over the period 1901-1983. Gross income yields initially fluctuate around 5%, but then trend downward (upward) for agricultural and residential (commercial) real estate. Long-term real income growth rates are close to zero for all property types. Our findings imply an...
-
作者：Neuberger, Anthony; Payne, Richard
作者单位：City St Georges, University of London
摘要：Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g., daily) returns can be used to construct precise estimates of long-horizon (e.g., annual) moments without making strong assumptions about the data-generating process. Skewness comprises two components: skewness of short-horizon returns and a leverage effect, that is, covariance between variance and lagged returns...
