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作者：Bianchi, Daniele; Buchner, Matthias; Tamoni, Andrea
作者单位：University of London; Queen Mary University London; University of Warwick; Rutgers University System; Rutgers University New Brunswick
摘要：We show that machine learning methods, in particular, extreme trees and neural networks (NNs), provide strong statistical evidence in favor of bond return predictability. NN forecasts based on macroeconomic and yield information translate into economic gains that are larger than those obtained using yields alone. Interestingly, the nature of unspanned factors changes along the yield curve: stock- and labor-market-related variables are more relevant for shortterm maturities, whereas output and ...
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作者：Goldman, Eitan; Wang, Wenyu
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Do informed shareholders who can influence corporate decisions improve governance? We demonstrate this may not be generally true in a model of takeovers. The model suggests that a shareholder's ability to collect information and trade ex post may cause him, ex ante, to support pursuing value-destroying takeovers or oppose value-enhancing takeovers. Surprisingly, we find conditions under which giving the active shareholder greater influence weakens governance and reduces firm value, even if suc...
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作者：Gomez-Cram, Roberto; Yaron, Amir
作者单位：University of London; London Business School; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel
摘要：Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stochastic volatility of inflation and consumption govern bond risk premiums movements, whereas preference shocks generate fluctuations in real rates. The model accounts for key bond market features without resorting to an overly dominating expected i...
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作者：McCartney, W. Ben
作者单位：Purdue University System; Purdue University
摘要：I examine the effect of house price declines on voter participation using a novel person-level panel data set. Contrary to what the angry voter hypothesis predicts, I find that a 10% decline in local house prices decreases the participation rate of the average mortgaged homeowner by 1.6 percentage points. Consistent with a financial distress channel, house price declines have no effects on renters and particularly severe effects on highly leveraged households. My findings are consistent with t...
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作者：Hacamo, Isaac
作者单位：Indiana University System; Indiana University Bloomington
摘要：This paper documents that mortgage market deregulation helps mitigate the risk of population aging by affecting a foundational family-level decision: the choice to have children. Using a U.S. federal regulator ruling, I show that young households fully exposed to mortgage market deregulation increase their probability of purchasing a home and having a child by 6 percentage points. Supplemental tests reject alternative hypotheses based on income or housing wealth growth and, instead, suggest th...
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作者：Duchin, Ran; Simutin, Mikhail; Sosyura, Denis
作者单位：Boston College; University of Toronto; Arizona State University; Arizona State University-Downtown Phoenix
摘要：Using individual census records, we provide novel evidence on CEOs' socioeconomic backgrounds and study their role in investment decisions. Male CEOs allocate more investment capital to male than female division managers. This gender gap is driven by CEOs who grew up in male-dominated families where the father was the only income earner and had more education than the mother. The gender gap also increases for CEOs who attended all-male high schools and grew up in neighborhoods with greater gen...
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作者：Miller, Sarah; Soo, Cindy K.
作者单位：University of Michigan System; University of Michigan
摘要：This paper isolates the causal impact of neighborhood environment on the credit outcomes of low-income borrowers by analyzing the participants of the Moving to Opportunity (MTO) experiment. MTO was a unique, large-scale experiment that offered families vouchers to move to better neighborhoods via randomized lottery. We find higher credit scores and use among those required to move to the lowest poverty areas as young children. For those who moved as adults, we find that better neighborhoods le...
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作者：Ambrose, Brent W.; Conklin, James N.; Lopez, Luis A.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Georgia; University of Georgia; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We test for pricing disparities in mortgage contracts using a novel data set that allows us to observe the race and ethnicity of both parties to the loan. We find that minorities pay between 3% and 5% more in fees than similarly qualified whites when obtaining a loan through the same white broker. Critically, we find that the premium paid by minorities depends on the race of the broker. We also examine recent policy changes around broker compensation rules that may not only reduce these price ...
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作者：Bhutta, Neil; Hizmo, Aurel
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We test for racial discrimination in the prices charged by mortgage lenders. We construct a unique data set from which we observe the three dimensions of a mortgage's price: the interest rate, discount points, and fees. Although we find statistically significant gaps by race and ethnicity in interest rates, these gaps are offset by differences in discount points. We trace out point-rate schedules and show that minorities and whites face identical schedules, but sort to different locations on t...
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作者：Jenter, Dirk; Lewellen, Katharina
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); Dartmouth College
摘要：This paper revisits the relationship between firm performance and CEO turnover. Instead of classifying turnovers into forced and voluntary, we introduce performance-induced turnover, defined as turnover that would not have occurred had performance been good. We document a close turnover-performance link and estimate that 38%-55% of turnovers are performance induced. This is significantly more than the number of forced turnovers, though the two types of turnovers are highly correlated. Compared...
