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作者：Sialm, Clemens; Sun, Zheng; Zheng, Lu
作者单位：University of Texas System; University of Texas Austin; University of California System; University of California Irvine
摘要：Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefi...
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作者：Addoum, Jawad M.; Murfin, Justin R.
作者单位：Cornell University
摘要：Equity markets fail to account for the value-relevant nonpublic information enjoyed by syndicated loan participants and reflected in publicly posted loan prices. A long-short strategy that buys (sells) the equities of firms with recently appreciated (depreciated) loans earns large risk-adjusted returns, suggesting a surprising and economically important level of segmentation across the same firm's capital structure. The information lag captured by trading strategy returns is not affected by dr...
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作者：Ersahin, Nuri
作者单位：Michigan State University
摘要：I use U.S. Census microdata to analyze the effect of stronger creditor rights on productivity. Following the adoption of antirecharacterization laws that give lenders greater access to the collateral of firms in financial distress, treated plants' total factor productivity increases by 2.6%. This effect is concentrated among plants belonging to financially constrained firms. I explore the underlying mechanism and find that treated plants change the composition of their investments and their wo...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：A long-standing asset pricing puzzle is that the funding rates in derivatives contracts often differ from those in cash markets. We propose that the cost of renting intermediary balance sheet space may help resolve this puzzle. We study a persistent basis in what is arguably the largest derivatives market, namely, the interest rate futures market. This basis is strongly related to exogenous measures of intermediary balance sheet usage and proxies for the balance sheet costs imposed by debt ove...
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作者：Burnside, A. Craig; Graveline, Jeremy J.
作者单位：Duke University; University of Glasgow; National Bureau of Economic Research
摘要：If the asset market is complete, then the difference between foreign and domestic agents' log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange rate. This equation is frequently used to argue that changes in real exchange rates reflect differences between agents' required compensation for exposure to asset return uncertainty. We show that the relative returns on frictionlessly traded assets are only reflected in the common component of agents' IMRS...
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作者：Gao, Zhenyu; Sockin, Michael; Xiong, Wei
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Austin; Princeton University; National Bureau of Economic Research
摘要：By exploiting variation in state capital gains taxation as an instrument, we analyze the economic consequences of housing speculation during the U.S. housing boom in the 2000s. We find that housing speculation, anchored, in part, on extrapolation of past housing price changes, led not only to greater price appreciation, economic expansions, and housing construction during the boom in 2004-2006 but also to more severe economic downturns during the subsequent bust in 2007-2009. Our analysis supp...
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作者：Lehar, Alfred; Song, Victor Y.; Yuan, Lasheng
作者单位：University of Calgary; Simon Fraser University; University of Calgary
摘要：Trade credit can serve as a collusion mechanism for competing supply chains to increase producer surplus in medium concentrated industries. We analyze theoretically how this form of financing influences retailers' behavior in the product market, study incentives to deviate, and show evidence consistent with the model's predictions. Trade credit use is inversely U shaped in industry concentration, and this pattern is more pronounced in industries more prone to collusion and when incentives to d...
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作者：Ajello, Andrea; Benzoni, Luca; Chyruk, Olena
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We propose a no-arbitrage model of the nominal and real term structures that accommodates the different persistence and volatility of distinct inflation components. Core, food, and energy inflation combine into a single total inflation measure that ties nominal and real risk-free bond prices together. The model successfully extracts market participants' expectations of future inflation from nominal yields and inflation data. Estimation uncovers a factor structure common to core inflation and i...
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作者：DeMiguel, Victor; Martin-Utrera, Alberto; Nogales, Francisco J.; Uppal, Raman
作者单位：University of London; London Business School; New Jersey Institute of Technology; Universidad Carlos III de Madrid; Universite Catholique de Lille; EDHEC Business School; Center for Economic & Policy Research (CEPR)
摘要：We investigate how transaction costs change the number of characteristics that are jointly significant for an investor's optimal portfolio and, hence, how they change the dimension of the cross-section of stock returns. We find that transaction costs increase the number of significant characteristics from 6 to 15. The explanation is that, as we show theoretically and empirically, combining characteristics reduces transaction costs because the trades in the underlying stocks required to rebalan...
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作者：Griffith, Todd G.; Van Ness, Robert A.
作者单位：Utah System of Higher Education; Utah State University; University of Mississippi
摘要：We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also fi...
