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作者：David, Alexander
作者单位：University of Calgary
摘要：Investment by oil firms positively affects the futures basis and negatively predicts excess returns on crude oil futures. I build an equilibrium model of drilling, exploration, and storage to understand these facts. Firms' capital stock lowers extraction costs as firms drill in increasingly expensive fields. Drilled wells produce the resource at a geometrically declining rate; however, by specifying consumers' habit level equaling production from old wells, the futures basis and risk premium a...
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作者：Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, Avanidhar
作者单位：University of Missouri System; University of Missouri Columbia; California Institute of Technology; University of California System; University of California Los Angeles
摘要：We propose a protocol for identifying genuine risk factors. A genuine risk factor must be related to the covariance matrix of returns, must be priced in the cross-section of returns, and should yield a reward-to-risk ratio that is reasonable enough to be consistent with risk pricing. A market factor, a profitability factor, and traded versions of macroeconomic factors pass our protocol, but many characteristic-based factors do not. Several of the underlying characteristics, however, do command...
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作者：Bernstein, Shai; Lerner, Josh; Mezzanotti, Filippo
作者单位：Stanford University; National Bureau of Economic Research; Harvard University; Northwestern University
摘要：Does private equity (PE) contribute to financial fragility during economic crises? The proliferation of poorly structured transactions during booms may increase the vulnerability of the economy to downturns. During the 2008 crisis, PE-backed companies decreased investments less than did their peers and experienced greater equity and debt inflows, higher asset growth, and increased market share. These effects are especially strong among financially constrained companies and those whose PE inves...
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作者：Iannotta, Giuliano; Pennacchi, George; Santos, Joao A. C.
作者单位：Catholic University of the Sacred Heart; University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：Our model shows that when regulation is based on credit ratings, banks with low charter value maximize shareholder value by minimizing capital and selecting identically rated loans and bonds with the highest systematic risk. This regulatory arbitrage is possible if the credit spreads on same-rated loans and bonds are greater when their systematic risk (debt beta) is higher. We empirically confirm this relationship between credit spreads, ratings, and debt betas. We also show that banks with lo...
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作者：Gomes, Joao F.; Grotteria, Marco; Wachter, Jessica A.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：A growing literature shows that credit indicators forecast aggregate real outcomes. While researchers have proposed various explanations, the economic mechanism behind these results remains an open question. In this paper, we show that a simple, frictionless model explains empirical findings commonly attributed to credit cycles. Our key assumption is that firms have heterogeneous exposures to underlying economy-wide shocks. This leads to endogenous dispersion in credit quality that varies over...
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作者：Vestman, Roine
作者单位：Stockholm University
摘要：The stock market participation rate among homeowners is twice as high as among renters. This paper builds a life-cycle portfolio choice model with endogenous housing tenure choice. A stylized form of preference heterogeneity generates a substantial difference in participation rates. A majority of households have a large savings motive and choose to be homeowners and participate. A minority of households have a small savings motive and find it less worthwhile to participate. Fewer of these hous...
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作者：Sotes-Paladino, Juan; Zapatero, Fernando
作者单位：University of Melbourne; University of Southern California
摘要：We show that benchmark-linked convex incentives can lead risk-averse money managers aware of mispricing to overinvest in overpriced securities. In the model, the managers' risk-seeking behavior varies in response to the interaction of mispricing with convexity and benchmarking concerns. Convexity effects can exacerbate the manager's overinvestment in overvalued nonbenchmark securities. In contrast, they potentially offset the benchmarking effects studied in the literature, leading to underinve...
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作者：Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.; Zhang, Hanjiang
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Cornell University; Washington State University
摘要：Using exogenous wealth shocks stemming from the collapse of the housing market, we show that managers who experience substantial losses in their home values subsequently reduce risk in their delegated funds. The decline in fund risk comes through reductions in idiosyncratic risk and tracking error, suggesting that the behavior is likely driven by career concerns. Our paper provides evidence that idiosyncratic personal preferences affect mutual fund managers' professional decisions and offers a...
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作者：Begenau, Juliane; Salomao, Juliana
作者单位：Stanford University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：Data from U.S. public firms show that in booms large firms finance with debt and payout equity, whereas small firms issue both equity and debt. Therefore, large firms generally substitute between debt and equity financing over the business cycle, whereas small firms adhere to a procyclical financing policy for debt and equity. We explain these cyclical financing patterns quantitatively using a heterogeneous firm model with endogenous firm dynamics. We find that cross-sectional differences in i...
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作者：Chen, Yong; Da, Zhi; Huang, Dayong
作者单位：Texas A&M University System; Texas A&M University College Station; University of Notre Dame; University of North Carolina; University of North Carolina Greensboro
摘要：We examine net arbitrage trading (NAT) measured by the difference between quarterly abnormal hedge fund holdings and abnormal short interest. NAT strongly predicts stock returns in the cross-section. Across ten well-known stock anomalies, abnormal returns are realized only among stocks experiencing large NAT. Exploiting Regulation SHO, which facilitated short selling for a random group of stocks, we present causal evidence that NAT has stronger return predictability among stocks facing greater...
