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作者：Burnside, A. Craig; Graveline, Jeremy J.
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作者：Das, Sreyoshi; Kuhnen, Camelia M.; Nagel, Stefan
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University of Chicago
摘要：We show that individuals' macroeconomic expectations are influenced by their socioeconomic status (SES). People with higher income or higher education are more optimistic about future macroeconomic developments, including business conditions, the national unemployment rate, and stock market returns. The spread in beliefs between high- and low-SES individuals diminishes significantly during recessions. A comparison with professional forecasters and historical data reveals that the beliefs wedge...
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作者：Etula, Erkko; Rinne, Kalle; Suominen, Matti; Vaittinen, Lauri
作者单位：Aalto University
摘要：We present broad-based evidence that the monthly payment cycle induces systematic patterns in liquid markets around the globe. First, we document temporary increases in the costs of debt and equity capital that coincide with key dates associated with month-end cash needs. Second, we present direct and indirect evidence on the role of institutions in the genesis of these patterns and derive estimates of the associated costs borne by market participants. Third, and finally, we investigate the li...
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作者：Ma, Song
作者单位：Yale University
摘要：This paper investigates why industrial firms conduct Corporate Venture Capital (CVC) investment in entrepreneurial companies. I test alternative views on CVC by exploiting the entry, investment, and termination decisions of CVC divisions. CVC entry concentrates in firms that experience deteriorations of internal innovation. At the investment stage, CVCs select startups with a similar technological focus but that have a non-overlapping knowledge base, and they integrate technologies generated f...
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作者：Agarwal, Sumit; Mikhed, Vyacheslav; Scholnick, Barry
作者单位：National University of Singapore; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Alberta
摘要：We examine whether relative income differences among peers can generate financial distress. Using lottery winnings as plausibly exogenous variations in the relative income of peers, we find that the dollar magnitude of a lottery win of one neighbor increases subsequent borrowing and bankruptcies among other neighbors. We also examine which factors may mitigate lenders' bankruptcy risk in these neighborhoods. We show that bankruptcy filers obtain more secured, but not unsecured, debt, and lende...
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作者：Begin, Jean-Francois; Dorion, Christian; Gauthier, Genevieve
作者单位：Simon Fraser University; Universite de Montreal; HEC Montreal
摘要：The recent literature provides conflicting empirical evidence about the pricing of idiosyncratic risk. This paper sheds new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity premium arises exclusively from jump risk. Third, we document that the commonality in idiosyncratic tail risk is much stronger than that...
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作者：Crouzet, Nicolas; Dew-Becker, Ian; Nathanson, Charles G.
作者单位：Northwestern University; National Bureau of Economic Research
摘要：We study the effects of policies proposed to address short-termism in financial markets. We examine a noisy rational expectations model in which investors' exposures and information about fundamentals endogenously vary across horizons. In this environment, taxing or outlawing short-term investment doesn't negatively affect the information in prices about long-term fundamentals. However, such a policy reduces short- and long-term investors' profits and utility. Changing policies about the relea...
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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：Gryglewicz, Sebastian; Hartman-Glaser, Barney
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of California System; University of California Los Angeles
摘要：We analyze how the costs of smoothly adjusting capital, such as incentive costs, affect investment timing. In our model, the owner of a firm holds a real option to increase a lumpy form of capital and can also smoothly adjust an incremental form of capital. Increasing the cost of incremental capital can delay or accelerate investment in lumpy capital. Incentive costs due to moral hazard are a natural source of costs for the accumulation of incremental capital. When moral hazard is severe, dela...
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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...
