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作者：Gete, Pedro; Reher, Michael
作者单位：IE University; Harvard University
摘要：We show that a contraction of mortgage supply after the Great Recession has increased housing rents. Our empirical strategy exploits heterogeneity in MSAs' exposure to regulatory shocks experienced by lenders over the 2010-2014 period. Tighter lending standards have increased demand for rental housing, leading to higher rents, depressed homeownership rates and an increase in rental supply. Absent the credit supply contraction, annual rent growth would have been 2.1 percentage points lower over...
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作者：Gargano, Antonio; Rossi, Alberto G.
作者单位：University of Melbourne; University System of Maryland; University of Maryland College Park
摘要：We employ a novel brokerage account data set to investigate which individual investors are the most attentive, how investors allocate their attention, and the relation between investor attention and performance. Attention is positively related to investment performance, at both the portfolio return level and the individual trades level. We provide evidence that the superior performance of high-attention investors arises because they purchase attentiongrabbing stocks whose positive performance ...
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作者：Kilic, Mete; Wachter, Jessica A.
作者单位：University of Southern California; University of Pennsylvania; National Bureau of Economic Research
摘要：What is the driving force behind the cyclical behavior of unemployment and vacancies? What is the relation between firms' job-creation incentives and stock market valuations? We answer these questions in a model with time-varying risk, modeled as a small and variable probability of an economic disaster. A high probability implies greater risk and lower future growth, lowering the incentives of firms to invest in hiring. During periods of high risk, stock market valuations are low and unemploym...
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作者：Qin, Likuan; Linetsky, Vadim; Nie, Yutian
作者单位：Northwestern University
摘要：This paper examines the assumption of transition independence of the stochastic discount factor (SDF) in the bond market. This assumption underlies the recovery result of Ross 2015. Following the methodology of Alvarez and Jermann 2005 and Hansen and Scheinkman 2009, we estimate the martingale component in the long-term factorization of the SDF using U.S. Treasury data. The empirically estimated martingale component is highly volatile and produces a downward-sloping term structure of bond Shar...
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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：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：Back, Kerry; Crane, Alan D.; Crotty, Kevin
作者单位：Rice University; Rice University
摘要：Mutual funds seek alpha, but coskewness is also an important performance attribute. Coskewness of fund returns is associated with market timing, liquidity management, and derivative use. Measures of active management associated with positive alphas are also associated with undesirable coskewness. When controlling for other characteristics, coskewness is positively associated with activity measures related to market timing and negatively associated with activity measures related to stock pickin...
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作者：Jiang, Hao; Zheng, Lu
作者单位：Michigan State University; University of California System; University of California Irvine
摘要：We propose a new measure, active fundamental performance (AFP), to identify skilled mutual fund managers. AFP evaluates fund investment skills conditioned on the release of firms' fundamental information. For each fund, we examine the covariance between deviations of its portfolio weights from a benchmark portfolio and the underlying stock performance on days when firms publicize fundamental information. Because asset prices on these information days better reflect firm fundamentals, AFPcan mo...
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作者：Payzan-LeNestour, Elise
作者单位：University of New South Wales Sydney
摘要：How do people cope with tail risk? In a lab experiment that removed informational and incentive confounds, subjects overwhelmingly behaved like Bayesian learners. The results of simulations further revealed that if one is to survive under tail risk, one needs to follow the Bayesian approach, as all boundedly rational alternatives fail. These findings support the Bayesian assumption commonly made in prior studies on tail risk and model uncertainty, and they also demonstrate the importance of op...
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作者：Williams, Tomas
作者单位：George Washington University
摘要：This paper uses a natural experiment to show that government access to foreign credit increases private access to credit. I identify a sudden, and unanticipated increase in capital inflows to the sovereign debt market in Colombia, due to a rebalancing in a government bond index by J.P. Morgan. I find that market makers banks in the treasury market reduced their sovereign debt by 7.8 percentage points of assets and increased their credit availability by 4.2 percentage points of assets. Using in...
