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作者：Cieslak, Anna
作者单位：Duke University; Center for Economic & Policy Research (CEPR)
摘要：I document large and persistent errors in investors' expectations about the short-term interest rate over the business cycle. The largest errors arise in economic downturns and during Fed easings when investors overestimate future short rates and, thus, underestimate future bond returns. At a one-year horizon, errors about the path of the real rate (as opposed to inflation) account for 80% of short-rate forecast error variance, with more than half of that number attributed to the Fed easing mo...
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作者：Bollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, Lasse Heje
作者单位：Duke University; National Bureau of Economic Research; Copenhagen Business School; Center for Economic & Policy Research (CEPR)
摘要：Based on high-frequency data for more than fifty commodities, currencies, equity indices, and fixed-income instruments spanning more than two decades, we document strong similarities in realized volatility patterns within and across asset classes. Exploiting these similarities through panel-based estimation of new realized volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and conventional procedures that do not incorporate the simila...
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作者：Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; University of Manchester; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We explore the dynamics of informed trading around corporate announcements of merger bids, dividend initiations, SEOs, and quarterly earnings by calculating daily posterior probabilities of informed buying and selling. We find evidence of informed trading before the announcements and a significant part of the news in announcements is impounded in stock prices before the announcements by pre-event informed trading. We also find evidence of informed trading after the announcements. Most striking...
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作者：Berg, Tobias
作者单位：Frankfurt School Finance & Management
摘要：Using a lender cutoff rule that generates plausibly exogenous variation in credit supply, I investigate a new channel through which funding shocks are transmitted to the real economy. Based on a sample of more than 15,000 loan applications from small-and medium-sized enterprises, I find that precautionary savings motives can aggravate real effects: low-liquidity firms whose loan applications were rejected increase cash holdings and cut noncash assets in excess of the requested loan amount. The...
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作者：Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris
作者单位：University of Toronto; Copenhagen Business School; Universite de Montreal; HEC Montreal; University of Houston System; University of Houston
摘要：Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P 500 index option volatility, skew, and term structure, respectively. We develop an equity option valuation model that captures this factor structure. The model predicts that firms with higher market betas have higher ...
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作者：Chordia, Tarun; Green, T. Clifton; Kottimukkalur, Badrinath
作者单位：Emory University; George Washington University
摘要：Prices of the highly liquid S&P 500 exchange-traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over 100-fold following the news release. However, profits from trading quickly are relatively small, roughly $19,000 ($50,000) per event forSPY(ES). Although the speed of information incorporation has increased in recent years, profits have not. Order flow has become less informative, consistent wi...
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作者：Rodano, Giacomo; Serrano-Velarde, Nicolas; Tarantino, Emanuele
作者单位：European Central Bank; Bank of Italy; Bocconi University; University of Mannheim
摘要：We analyze howfirms' segmentation into credit classes affects the lending standards applied by banks to small and medium enterprises over the cycle. We exploit an institutional feature of the Italian credit market that generates a discontinuity in the allocation of comparable firms into the performing and substandard classes of credit risk. In the boom period, segmentation results in a positive interest rate spread between substandard and performing firms. In the bust period, the increase in b...
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作者：Kelly, Peter
作者单位：University of Notre Dame
摘要：Examining the trades of company insiders, I find that a sale of stock at a loss is a much more negative signal about future returns than is a sale of stock at a gain. I consider a range of explanations for my results and find that the evidence is most consistent with the idea that investors derive direct disutility from selling a stock at a loss. Since selling a stock at a loss is painful, an investor who sells at a loss must have particularly negative information. This result offers a novel m...
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作者：Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School
摘要：No. In the presence of speculative opportunities, investors can learn about both asset fundamentals and the beliefs of other traders. We show that this learning exhibits complementarity: learning more along one dimension increases the value of learning about the other. As a result, regulatory changes may be counterproductive. First, increasing transparency (i.e., making fundamental information cheaper to acquire) can make prices less informative when investors respond by learning relatively mo...
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作者：Plosser, Matthew C.; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：This paper investigates banks' incentive to bias the risk estimates they report to regulators. Within loan syndicates, we find that banks with less capital report lower risk estimates. Consistent with an effort to mitigate capital requirements, the sensitivity to capital is robust to bank fixed effects and greater for large, risky, and opaque credits. Also, low-capital banks' risk estimates have less explanatory power than those of high-capital banks with regard to loan prices, indicating that...
