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作者：Schmidt, Daniel
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：Stock prices occasionally move in response to unverified rumors. I propose a cheap talk model in which a rumormonger's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions of message-receiving investors. The model's key prediction is that short investment horizons can facilitate credible information sharing between investors, thereby accelerating the information capitalization into market prices. Analyzing a data set of...
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作者：Chaieb, Ines; Errunza, Vihang; Brandon, Rajna Gibson
作者单位：University of Geneva; University of Geneva; McGill University
摘要：We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk...
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作者：Gervais, Simon; Strobl, Gunter
作者单位：Duke University; University of Vienna
摘要：We construct and analyze the equilibrium of a model of delegated portfolio management in which money managers signal their investment skills via fund transparency. To lower the costs of transparency, high-skill managers rely on their performance to separate from low-skill managers over time. In contrast, medium-skill managers rely on transparency to separate, especially when it is difficult for investors to tell them apart through performance alone. Low-skill managers mimic high-skill managers...
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作者：Jayaraman, Sudarshan; Wu, Joanna Shuang
作者单位：University of Rochester
摘要：We explore the use of voluntary disclosure by managers to solicit market feedback. Using managerial capital expenditure forecasts, we find that managers adjust annual capital expenditures upward (downward) in response to positive (negative) stock market reactions to capital expenditure forecasts, but only for those forecast announcements that stimulate rather than discourage informed trading. These capex adjustments motivated by market feedback correlate with higher future performance and are ...
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作者：Mitra, Indrajit; Xu, Yu
作者单位：University of Michigan System; University of Michigan; University of Hong Kong
摘要：We show that time-varying risk premium in financial markets can explain a key, yet puzzling, feature of labor markets: the large differences in unemployment risk across worker age groups over the business cycle. Our search model features a time-varying risk premium and learning about unobserved heterogeneity in worker productivity. Their interaction generates large real effects through firms' labor policies. Our model predicts higher unemployment risk of younger workers relative to prime-age w...
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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：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：Lustig, Hanno; Richmond, Robert J.
作者单位：National Bureau of Economic Research
摘要：We relate the risk characteristics of currencies to measures of physical, cultural, and institutional distance. Currencies of countries which are more distant from other countries are more exposed to systematic currency risk. This is due to a gravity effect in the factor structure of exchange rates: When a currency appreciates against a basket of other currencies, its bilateral exchange rate appreciates more against currencies of distant countries. As a result, currencies of peripheral countri...
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作者：Andrikogiannopoulou, Angie; Papakonstantinou, Filippos
作者单位：University of London; King's College London
摘要：Using trading data from a sports wagering market, we estimate individuals' dynamic risk preferences within a prospect theory paradigm. This market's experimental-like features facilitate preference estimation, and our long panel enables us to study whether preferences vary across individuals and depend on earlier outcomes. Our estimates extend support for experimental findings-mild utility curvature, moderate loss aversion, and probability overweighting of extreme outcomes-to a market setting ...
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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...
