-
作者：Cieslak, Anna; Vissing-Jorgensen, Annette
作者单位：Duke University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of California System; University of California Berkeley
摘要：Since the mid-1990s, negative stock returns comove with downgrades to the Fed's growth expectations and predict policy accommodations. Textual analysis of FOMC documents reveals that policy makers pay attention to the stock market. The primary mechanism is their concern with the consumption wealth effect, with a secondary role for the market predicting the economy. We find little evidence of the Fed overreacting to the market in an ex post sense (reacting beyond the market's effect on growth e...
-
作者：Acharya, Viral V.; Borchert, Lea; Jager, Maximilian; Steffen, Sascha
作者单位：New York University; University of Mannheim; Frankfurt School Finance & Management
摘要：We analyze government interventions in the eurozone banking sector during the 2008-2009 financial crisis. Using a novel data set, we document that fiscally constrained governments kicked the can down the road by providing banks with guarantees instead of fully-fledged recapitalizations. We econometrically address the endogeneity associated with bailout decisions in identifying their consequences. We find that forbearance prompted undercapitalized banks to shift their assets from loans to risky...
-
作者：Chopra, Yakshup; Subramanian, Krishnamurthy; Tantri, Prasanna L.
作者单位：Washington University (WUSTL); Indian School of Business (ISB)
摘要：We examine the Indian bank asset quality review, which doubled the declared loan delinquency rate. Relative economic stability during the exercise and the absence of a capital backstop together make it unique. We find that the expected reduction in information asymmetry does not automatically lead to the recapitalization of banks by markets. The consequent undercapitalization leads to underinvestment and risk-shifting through zombie lending. The impact flows to the real economy through borrowe...
-
作者：Zevelev, Albert Alex
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Does the ability to pledge an asset as collateral, after purchase, affect its price? This paper identifies the impact of collateral service flows on house prices, exploiting a plausibly exogenous constitutional amendment in Texas that legalized home equity loans in 1998. The law change increased Texas house prices 4%; this is price-based evidence that households are credit-constrained and value home equity loans to facilitate consumption smoothing. Prices rose more in locations with inelastic ...
-
作者：Page, Lionel; Siemroth, Christoph
作者单位：University of Technology Sydney; University of Essex
摘要：We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information-less than 50%-is incorporated into prices. Our estimates therefore su...
-
作者：Liao, Li; Wang, Zhengwei; Xiang, Jia; Yan, Hongjun; Yang, Jun
作者单位：Tsinghua University; DePaul University; Indiana University System; Indiana University Bloomington
摘要：Using data from a major online peer-to-peer lending platform, we document that, due to time pressure, investors appear to focus on interest rates and only partially account for credit ratings in their decisions. The effect is stronger for mobile-based investors than for PC-based ones. Our evidence suggests that this variation is caused by the difference in information content on the interfaces rather than differences in the devices' physical attributes per se. Investors improve their decisions...
-
作者：[Anonymous]
-
作者：Chaieb, Ines; Errunza, Vihang; Langlois, Hugues
作者单位：University of Geneva; Swiss Finance Institute (SFI); McGill University; Hautes Etudes Commerciales (HEC) Paris
摘要：We develop a new global asset pricing model to study how illiquidity interacts with market segmentation and investability constraints in 42 markets. Noninvestable stocks that can only be held by foreign investors earn higher expected returns compared to freely investable stocks due to limited risk sharing and higher illiquidity. In addition to the world market premium, on average, developed and emerging market noninvestables earn an annual unspanned local market risk premium of 1.17% and 9.04%...
-
作者：Glebkin, Sergei; Gondhi, Naveen; Kuong, John Chi-Fong
作者单位：INSEAD Business School
摘要：We analyze a tractable rational expectations equilibrium model with margin constraints. We argue that constraints affect and are affected by informational efficiency, leading to a novel amplification mechanism. A decline in wealth tightens constraints and reduces investors' incentive to acquire information, lowering price informativeness. Lower informativeness, in turn, increases the risk borne by financiers who fund trades, leading them to further tighten constraints faced by investors. This ...
-
作者：Kopanyi-Peuker, Anita; Weber, Matthias
作者单位：CPB Netherlands Bureau for Economic Policy; University of Amsterdam; University of Amsterdam; University of St Gallen
摘要：We study the role of investor experience in the formation of asset price bubbles. We conduct a call market experiment in which participants trade assets with each other and a learning-to-forecast experiment in which participants only forecast future prices (while trade based on these forecasts is computerized). Each experiment comprises three treatments varying the information that participants receive about the fundamental value. Each experimental market is repeated three times. Throughout, w...
