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作者：Peress, Joel
作者单位：INSEAD Business School
摘要：A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation, and income. The stock market allows investors to share their costly private signals in a cost-effective incentive-compatible way. It contributes to economic growth by raising total factor productivity (TFP). A calibration indicates the effect on TFP to be large but that on income t...
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作者：Shen, Ji; Yan, Hongjun; Zhang, Jinfan
作者单位：University of London; London School Economics & Political Science; Yale University
摘要：Collateral frictions have a profound effect on our economic landscape, ranging from the design of financial securities, laws, and institutions, to various rules and regulations. We analyze a model with disagreement, where securities and collateral requirements are endogenous. It shows that the security that isolates the variable with disagreement is optimal in the sense that alternative securities cannot generate any trading. In an economy with N states, investors may introduce more than N sec...
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作者：Jahan-Parvar, Mohammad R.; Liu, Hening
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Manchester
摘要：We examine a production-based asset-pricing model with an unobservable mean growth rate following a two-state Markov chain and with an ambiguity-averse representative agent. Our model requires a low coefficient of relative risk aversion to produce: (i) a high equity premium and volatile equity returns, (ii) a low and smooth risk-free rate, (iii) smooth consumption growth and volatile investment growth, (iv) countercyclical equity premium and market price of risk, (v) conditional heteroscedasti...
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作者：Kelly, Bryan; Jiang, Hao
作者单位：University of Chicago; National Bureau of Economic Research; Michigan State University
摘要：We propose a new measure of time-varying tail risk that is directly estimable from the cross-section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk among individual stocks. Our tail measure is significantly correlated with tail risk measures extracted from S&P 500 index options and negatively predicts real economic activity. We show that tail risk has strong predictive power for aggregate market returns. Cross-sectionally, stocks with h...
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作者：Subrahmanyam, Marti G.; Tang, Dragon Yongjun; Wang, Sarah Qian
作者单位：New York University; University of Hong Kong; University of Warwick
摘要：We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference firms, reflected in rating downgrades and bankruptcies, increases significantly upon the inception of CDS trading, a finding that is robust after controlling for the endogeneity of CDS trading. Additionally, distressed firms are more likely to file for bankruptcy if they are linked to CDS trading. Furthermore, firms with more no restructuring contracts than other types of CDS contracts (i.e., contra...
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作者：Griffin, John; Lowery, Richard; Saretto, Alessio
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Dallas
摘要：Conventional wisdom suggests that high-reputation banks will generally produce good securities to maintain their long-run reputation. We show with a simple model that, when securities are complex a high-reputation bank may produce assets that underperform during market downturns. We examine this possibility using a unique sample of $10.1 trillion of CLO, MBS, ABS, and CDOs. Contrary to the conventional view, securities issued by more reputable banks did not outperform but, rather, had higher p...
