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作者：De Nicolo, Gianni; Gamba, Andrea; Lucchetta, Marcella
作者单位：International Monetary Fund; Leibniz Association; Ifo Institut; University of Warwick; Universita Ca Foscari Venezia
摘要：This paper studies the quantitative impact of microprudential bank regulations on bank lending and value metrics of efficiency and welfare in a dynamic model of banks that are financed by debt and equity, undertake maturity transformation, are exposed to credit and liquidity risks, and face financing frictions. We show that (1) there exists an inverted U-shaped relationship between bank lending, welfare, and capital requirements, (2) liquidity requirements unambiguously reduce lending, efficie...
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作者：Da, Zhi; Gurun, Umit G.; Warachka, Mitch
作者单位：University of Notre Dame; University of Texas System; University of Texas Dallas; Claremont Colleges; Claremont McKenna College; Claremont Graduate University
摘要：We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously in small amounts. Intuitively, we hypothesize that a series of frequent gradual changes attracts less attention than infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent return continuation that does not reverse in the long run. Momentum decreases monotonically from 5.94% for stocks with continuous info...
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作者：Sorensen, Morten; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We investigate whether the performance of private equity (PE) investments is sufficient to compensate investors (LPs) for risk, long-term illiquidity, management, and incentive fees charged by the general partner (GP). We analyze the LPs' portfolio-choice problem and find that management fees, carried interest, and illiquidity are costly, and GPs must generate substantial alpha to compensate LPs for bearing these costs. Debt is cheap and reduces these costs, potentially explaining the high lev...
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作者：Drechsler, Itamar
作者单位：New York University
摘要：I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the manager's outside option value is low, investors' termination policy is strict, or management fees are high, then negative returns induce the manager into derisking. Otherwise, he engages in gambling. Having the option to walk away increases risk taking, ...
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作者：Cole, Shawn; Paulson, Anna; Shastry, Gauri Kartini
作者单位：National Bureau of Economic Research; Harvard University; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Wellesley College
摘要：Household financial decisions are important for household welfare, economic growth, and financial stability. Yet our understanding of the determinants of financial decision making is limited. Exploiting exogenous variation in state compulsory schooling laws in both standard and two-sample instrumental variable strategies, we show that education increases financial market participation, measured by investment income and equities ownership, while dramatically reducing the probability that an ind...
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作者：Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Toronto; Imperial College London
摘要：This paper shows that in misspecified models with risk factors that are uncorrelated with the test asset returns, the conventional inference methods tend to erroneously conclude, with high probability, that these factors are priced. Our proposed model selection procedure, which is robust to identification failure and potential model misspecification, restores the standard inference and proves to be effective in eliminating factors that do not improve the model's pricing ability. Applying our m...
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作者：Dass, Nishant; Massa, Massimo
作者单位：University System of Georgia; Georgia Institute of Technology; INSEAD Business School
摘要：We study how a firm's decision to offer bonds of various maturities affects the portfolio allocations of institutional investors. We argue that because of lower information-collection costs, institutional investors tilt their portfolios towards firms that offer bonds of various maturities. We show that this translates into lower bond yields, both in the primary and in the secondary bond markets.
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作者：Bharath, Sreedhar; Dittmar, Amy; Sivadasan, Jagadeesh
作者单位：Arizona State University; Arizona State University-Tempe; University of Michigan System; University of Michigan
摘要：We examine whether constraints on public firms affect firms' efficiency by testing if going private improves plant-level productivity relative to peer control groups. We find that, despite increases in productivity after going private, there is little evidence of efficiency gains relative to peer groups of plants constructed to control for industry, age, size, past productivity, and the endogeneity of the going-private decision. Going-private firms do extensively restructure their portfolio of...
