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作者：Schmidt, Lawrence D. W.
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Administrative earnings data reveal that households are exposed to large, countercyclical idiosyncratic tail risks in labor earnings. I illustrate how these risks affect asset prices within an asset pricing framework with recursive preferences, heterogeneous agents and incomplete markets. Quantitatively, a model in which agents face a time-varying probability of experiencing a rare, idiosyncratic disaster, with parameters disciplined by data, matches the level and dynamics of the equity premiu...
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作者：Jung, Hyeyoon; Engle, Robert F.; Berner, Richard
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
摘要：We develop a market-based methodology to assess banks' resilience to climate-related risks and study the climate-related risk exposure of large global banks. We introduce a new measure, CRISK, which is the expected capital shortfall of a bank in a climate stress scenario. To estimate CRISK, we construct climate risk factors and dynamically measure banks' stock return sensitivity (that is, climate beta) to the climate risk factor. We validate the climate risk factor empirically and the climate ...
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作者：Schreindorfer, David; Sichert, Tobias
作者单位：Michigan State University; Michigan State University's Broad College of Business; Stockholm School of Economics
摘要：We propose a statistical methodology for jointly estimating the pricing kernel and conditional physical return densities from option prices. Pricing kernel estimates show that negative stock market returns are significantly more painful to investors in low-volatility periods. Density estimates reflect a significantly positive risk-return trade-off, suggest that Martin's (2017) lower bound on the equity premium is violated in high-volatility periods, and provide new evidence on the variance pre...
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作者：Choi, Jaewon; Tian, Xu; Wu, Yufeng; Kargar, Mahyar
作者单位：Seoul National University (SNU); University System of Georgia; University of Georgia; University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Fluctuations in investor demand significantly affect firms' valuation and access to capital. To quantify their real effects, we develop a dynamic investment model, incorporating both the demand and supply sides of capital. Strong investor demand relaxes financial constraints and facilitates equity issuance and investment, while weak demand encourages opportunistic share repurchases, crowding out investment. We estimate the model using indirect inference, matching the endogenous relationship be...
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作者：Sambalaibat, Batchimeg
作者单位：Princeton University
摘要：This paper studies a search-based model of OTC markets in which clients with heterogeneous trading needs direct their trades to one of ex-ante identical dealers. The main insight of the paper is that the way clients sort across dealers shapes dealer-to-dealer trading patterns and, in turn, generates a core-periphery interdealer network structure. Dealers in the model become heterogeneous because they attract different clients in equilibrium. Some dealers attract clients who trade frequently (e...
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作者：Fehder, Daniel C.; Hausman, Naomi; Hochberg, Yael, V
作者单位：University of Southern California; Hebrew University of Jerusalem; Rice University; National Bureau of Economic Research
摘要：Using a regime change in the commercialization of university innovation in 1980 that strongly increased university incentives to patent and license discoveries, we document that an increase in the supply of commercializable innovation attracts venture capital investment to the region. The Bayh-Dole Act shifted ownership of intellectual property stemming from federally-funded research from the federal government to universities, spurring technology transfer into the local area. Because universi...
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作者：Banerjee, Snehal; Breon-Drish, Bradyn; Smith, Kevin
作者单位：University of Michigan System; University of Michigan; University of California System; University of California San Diego; Stanford University
摘要：We study debt and equity valuation when investors have private information and may exhibit differences of opinion. Our model generates several predictions that are consistent with empirical evidence but difficult to reconcile with traditional models. Belief dispersion relates to expected equity and debt returns in opposite directions. Similarly, expected debt (equity) returns typically increase (decrease) with default risk, though these relationships reverse for firms close to bankruptcy. Firm...
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作者：Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
作者单位：Bocconi University; Brown University; Harvard University
摘要：We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any cross-sectional differences in required returns. We obtain three results. First, variation in EBRs accounts for a large chunk of cross-sectional return spreads in value, investment, size, and momentum factors. Second, time varia...
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作者：Boneva, Lena; Kastl, Jakub; Zikes, Filip
作者单位：Swiss National Bank (SNB); Princeton University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We study dealers' bidding behavior in the Bank of England's quantitative easing (QE) reverse auctions. Using a granular dataset on both accepted and rejected offers together with an equilibrium model of bidding behavior, we estimate dealers' valuations of securities offered to the Bank of England. We also recover the rents accruing to dealers from participating in the auctions as opposed to liquidating gilts in the secondary market, thereby possibly causing prices to change. These rents or so-...
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作者：Ma, Wenting; Ouimet, Paige; Simintzi, Elena
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; European Corporate Governance Institute; Center for Economic & Policy Research (CEPR)
摘要：Mergers and acquisitions (M&As) are an important mechanism through which technology is adopted by firms. Firms with greater technological skill acquire less tech-savvy firms and, subsequently, increase technology investment at the target. This has important implications for labor reallocation following M&As. We show that target establishments become less routine intensive post-M&A, especially when a target had greater routine occupational employment, compared to its acquirer, ex-ante. We also ...
