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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Since October 2008, fixed rates for interest rate swaps with a 30-year maturity have been mostly below Treasury rates with the same maturity. Under standard assumptions, this implies the existence of arbitrage opportunities. This paper presents a model for pricing interest rate swaps, where frictions for holding bonds limit arbitrage. I analytically show that negative swap spreads should not be surprising. In the calibrated model, swap spreads can reasonably match empirical counterparts withou...
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作者：Schreindorfer, David
作者单位：Arizona State University; Arizona State University-Tempe
摘要：I document that dividend growth and returns on the aggregate U.S. stock market are more correlated with consumption growth in bad economic times. In a consumption-based asset pricing model with a generalized disappointment-averse investor and small, IID consumption shocks, this feature results in a realistic equity premium despite low risk aversion. The model is consistent with the main facts about stock market risk premiums inferred from equity index options, remains tightly parameterized, an...
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作者：Toda, Alexis Akira; Walsh, Kieran James
作者单位：University of California System; University of California San Diego; University of California System; University of California Santa Barbara
摘要：We show that in a general equilibrium model with heterogeneity in risk aversion or belief, shifting wealth from an agent who holds comparatively fewer stocks to one who holds more reduces the equity premium. From an empirical view, the rich hold more stocks, so inequality should predict excess stock market returns. Consistent with our theory, we find that when the U.S. top (e.g., 1%) income share rises, subsequent 1-year excess market returns significantly decline. This negative relation is ro...
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作者：Duval, Romain; Hong, Gee Hee; Timmer, Yannick
作者单位：International Monetary Fund
摘要：We study the role of financial frictions for productivity. Using a rich cross-country firm-level data, we exploit variation in preexisting exposure to the 2008 global financial crisis to study the post-crisis productivity slowdown. Firms with weaker precrisis balance sheets experienced a highly persistent decline in post-crisis total factor productivity growth relative to their less vulnerable counterparts, accounting for about one-third of the within-firm productivity slowdown. This decline w...
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作者：Kara, Gazi I.; Ozsoy, S. Mehmet
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Ozyegin University
摘要：We examine the optimal design of and interaction between capital and liquidity regulations. Banks, not internalizing fire sale externalities, overinvest in risky assets and underinvest in liquid assets in the competitive equilibrium. Capital requirements can alleviate the inefficiency, but banks respond by decreasing their liquidity ratios. When capital requirements are the only available tool, the regulator tightens them to offset banks' lower liquidity ratios, leading to fewer risky assets a...
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作者：Daniel, Kent; Mota, Lira; Rottke, Simon; Santos, Tano
作者单位：Columbia University; National Bureau of Economic Research; University of Amsterdam
摘要：A common practice in the finance literature is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resultant portfolios are likely to capture not only the priced risk associated with the characteristic but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance information estimated from past returns. We apply our methodology to the five Fama-French characteristic portfolios. The squared Sharpe rat...
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作者：Heath, Davidson; Mace, Christopher
作者单位：Utah System of Higher Education; University of Utah
摘要：We study the effects of trademark protection on firms' profits and strategy using the 1996 Federal Trademark Dilution Act, which granted additional legal protection to selected trademarks. We find that the FTDA raised treated firms' operating profits and was followed by a spike in trademark lawsuits and lower entry and exit in affected product markets. Treated firms reduced R&D spending, produced fewer patents and new products, and recalled a higher number of unsafe products. Our results sugge...
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作者：Yang, Liyan; Zhu, Haoxiang
作者单位：University of Toronto; Peking University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We model the strategic interaction between fundamental investors and back-runners, whose only information is about the past order flow of fundamental investors. Back-runners partly infer fundamental investors' information from their order flow and exploit it in subsequent trading. Fundamental investors counteract back-runners by randomizing their orders, unless back-runners' signals are too imprecise. Surprisingly, a higher accuracy of back-runners' order flow information can harm back-runners...
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作者：Shive, Sophie A.; Forster, Margaret M.
作者单位：University of Notre Dame
摘要：The number of U.S. publicly traded firms has halved in 20 years. How will this shift in ownership structure affect the economy's externalities? Using comprehensive data on greenhouse gas emissions from 2007 to 2016, we find that independent private firms are less likely to pollute and incur EPA penalties than are public firms, and we find no differences between private sponsor-backed firms and public firms, controlling for industry, time, location, and a host of firm characteristics. Within pu...
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作者：Ellul, Andrew; Pagano, Marco; Scognamiglio, Annalisa
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of Naples Federico II; University of Naples Federico II
摘要：We establish that the labor market helps discipline asset managers via the impact of fund liquidations on their careers. Using hand-collected data on 1,948 professionals, we find that top managers working for funds liquidated after persistently poor relative performance suffer demotion coupled with a significant loss in imputed compensation. Scarring effects are absent when liquidations are preceded by normal relative performance or involve mid-level employees. Seen through the lens of a model...
