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作者：Baele, Lieven; Driessen, Joost; Ebert, Sebastian; Londono, Juan M.; Spalt, Oliver G.
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作者：Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Manchester
摘要：We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning, and time-varying vo...
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作者：Baele, Lieven; Driessen, Joost; Ebert, Sebastian; Londono, Juan M.; Spalt, Oliver G.
作者单位：Tilburg University; Frankfurt School Finance & Management; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We develop a tractable equilibrium asset pricing model with cumulative prospect theory (CPT) preferences. Using GMM on a sample of U.S. equity index option returns, we show that by introducing a single common probability weighting parameter for both tails of the return distribution, the CPT model can simultaneously generate the otherwise puzzlingly low returns on both out-of-the-money put and out-of-the-money call options as well as the high observed variance premium. In a dynamic setting, pro...
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作者：Bharath, Sreedhar T.; Hertzel, Michael
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper examines how external governance pressure affects the type of debt that firms issue. Consistent with a governance mechanism substitution effect, we find that an exogenous increase (decrease) in governance pressure from the product (takeover) market has a significant negative (positive) impact on the use of bank (public debt) financing over public debt (bank loan) issuance. Tests using changes in the strictness of loan covenants provide corroborative evidence. These findings are cons...
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作者：Weller, Brian M.
作者单位：Duke University
摘要：I exploit information in the cross-section of bid-ask spreads to develop a new measure of extreme event risk. Spreads embed tail risk information because liquidity providers require compensation for the possibility of sharp changes in asset values. I show that simple regressions relating spreads and trading volume to factor betas recover this information and deliver high-frequency tail risk estimates for common factors in stock returns. My methodology disentangles financial and aggregate marke...
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作者：Cong, Lin William; Gao, Haoyu; Ponticelli, Jacopo; Yang, Xiaoguang
作者单位：University of Chicago; Renmin University of China; Northwestern University; Center for Economic & Policy Research (CEPR); Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS
摘要：We study credit allocation across firms and its real effects during China's economic stimulus plan of 2009-2010. We match confidential loan-level data from the nineteen largest Chinese banks with firm-level data on manufacturing firms. We document that the stimulus-driven credit expansion disproportionately favored state-owned firms and firms with a lower average product of capital, reversing the process of capital reallocation toward private firms that characterized China's high growth before...
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作者：Cortes, Gustavo S.; Weidenmier, Marc D.
作者单位：State University System of Florida; University of Florida; Chapman University System; Chapman University; National Bureau of Economic Research
摘要：Stock return volatility during the Great Depression has been labeled a volatility puzzle because the standard deviation of stock returns was 2 to 3 times higher than any other period in American history. We investigate this puzzle using a new series of building permits and leverage. Our results suggest that volatility in building permit growth and financial leverage largely explain the high level of stock volatility during the Great Depression. Markets factored in the possibility of a forthcom...
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作者：Brogaard, Jonathan; Ringgenberg, Matthew C.; Sovich, David
作者单位：Utah System of Higher Education; University of Utah; Washington University (WUSTL)
摘要：We study the impact of index investing on firm performance by examining the link between commodity indices and firms that use index commodities. Around 2004, commodity index investing dramatically increased. This event is referred to as the financialization of commodity markets. Following financialization, firms that use index commodities make worse production decisions, earn 40% lower profits, and have 6% higher costs. Consistent with a feedback channel in which market participants learn from...
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作者：Cortes, Gustavo S.; Weidenmier, Marc D.
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作者：Belo, Frederico; Lin, Xiaoji; Yang, Fan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Connecticut
摘要：We develop a dynamic model with time variation in external equity financing costs and show that variation in these costs is important for the model to quantitatively capture the joint dynamics of firms' asset prices, real quantities, and financial flows in the U.S. economy. Growth firms and high investment firms are less risky in equilibrium, because they can substitute more easily debt financing for equity financing when it becomes more costly to raise external equity, which are high marginal...
