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作者：Della Corte, Pasquale; Riddiough, Steven J.; Sarno, Lucio
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); University of Melbourne; City St Georges, University of London
摘要：We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances because their currencies depreciate in bad times. This mechanism is consistent with exchange rate th...
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作者：Dew-Becker, Ian; Giglio, Stefano
作者单位：Northwestern University; University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We quantify investors' preferences over the dynamics of shocks by deriving frequency-specific risk prices that capture the price of risk of consumption fluctuations at each frequency. The frequency-specific risk prices are derived analytically for leading models. The decomposition helps measure the importance of economic fluctuations at different frequencies. We precisely quantify the meaning of long-run in the context of Epstein-Zin preferences - centuries - and measure the exact relevance of...
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作者：Colacito, Riccardo; Ghysels, Eric; Meng, Jinghan; Siwasarit, Wasin
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of Hong Kong; Thammasat University
摘要：We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding that is robust to controlling for a large set of well-established predictive factors. We show that introducing time-varying skewness in the distribution of expected growth prospects in an otherwise standard endowment economy can substantially increase the model-implied equity Sharpe ratios, and produce a large amount ...
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作者：Ljungqvist, Alexander; Qian, Wenlan
作者单位：New York University; National Bureau of Economic Research; National University of Singapore
摘要：We document the existence of a strategy designed to circumvent limits to arbitrage. Faced with short-sale constraints and noise trader risk, small arbitrageurs publicly reveal their information to induce the target's shareholders ( the longs) to sell, thereby accelerating price discovery. Using data for 124 short-sale campaigns in the United States between 2006 and 2011, we show that investors respond strongly to the information, with spikes in SEC filing views, volatility, order imbalances, r...
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作者：Tang, Ke; Zhu, Haoxiang
作者单位：Tsinghua University; Massachusetts Institute of Technology (MIT)
摘要：We propose and test a theory of using commodities as collateral for financing. Under capital control and collateral constraint, investors import commodities and pledge them as collateral to earn higher expected returns. Higher collateral demands increase commodity prices and make the inventory- convenience yield relation less negative. Our model illustrates these equilibrium effects and suggests that the violation of covered interest- rate parity is a proxy for collateral demands. Evidence fro...
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作者：Koch, Andrew; Ruenzi, Stefan; Starks, Laura
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Mannheim; University of Texas System; University of Texas Austin
摘要：We hypothesize that a source of commonality in a stock's liquidity arises from the correlated liquidity demand of the stock's investors. Focusing on correlated trading of mutual funds, we find that stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the channels for these comovements derive from both common ownership across funds and funds' correlated liquidity shocks. We obtai...
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作者：Azar, Jose A.; Kagy, Jean-Francois; Schmalz, Martin C.
作者单位：Charles River Associates; Alphabet Inc.; Google Incorporated; University of Michigan System; University of Michigan
摘要：Firms until recently were effectively constrained to hold liquid assets in non-interest-bearing accounts. As a result, the cost of capital of firms' liquid-assets portfolios exceeded the return, especially when the risk-free interest rate was high. The spread between cost and return is the cost of carry. Changes in the cost of carry explain the dynamics of corporate cash holdings both in the United States and abroad, and the level of cost of carry explains the level of liquid-asset holdings ac...
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作者：Boguth, Oliver; Carlson, Murray; Fisher, Adlai; Simutin, Mikhail
作者单位：Arizona State University; Arizona State University-Tempe; University of British Columbia; University of Toronto
摘要：We characterize linkages between average returns calculated at different horizons. Theoretically, when stocks incorporate information slowly, average short-horizon returns are downward biased. Buy-and-hold strategies can amplify the effect. In contrast, existing theories analyze price noises that are independent of fundamentals, and buy-and-hold portfolio returns are unaffected. We document horizon effects as large as 10% annualized in daily and monthly style portfolios and international indic...
