-
作者：Aldunate, Felipe; Da, Zhi; Larrain, Borja; Sialm, Clemens
作者单位：Universidad de los Andes - Chile; University of Notre Dame; Pontificia Universidad Catolica de Chile; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Frequent, yet uninformed, market timing recommendations by a financial advisory firm generate significant flows for Chilean pension funds. These flows induce substantial changes in the Chilean foreign exchange rate due to the funds' high allocation to international securities. Local banks provide liquidity to pension funds in the spot market and their hedging transactions propagate the demand fluctuations from the spot to the forward market, resulting in deviations from covered interest rate p...
-
作者：Dempsey, Kyle; Faria-e-Castro, Miguel
作者单位：University System of Ohio; Ohio State University; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：We study the aggregate consequences of dynamic lending relationships in a model of heterogeneous banks facing financial frictions. We estimate the model's loan demand system on administrative loan-level data: the market power implied by the estimated strength and persistence of relationships yields a long run reduction in credit of 5.9%. Relationships amplify the negative real effects of credit supply shocks, but mute those of negative credit demand shocks. In a financial crisis which destroys...
-
作者：Delao, Ricardo; Han, Xiao; Myers, Sean
作者单位：University of Southern California; City St Georges, University of London; University of Pennsylvania
摘要：What explains cross-sectional dispersion in stock valuation ratios? We find that 75% of dispersion in price-earnings ratios is reflected in differences in future returns, while only 25% is reflected in differences in future earnings growth. This holds at both the portfolio-level and the firm-level. We reconcile these conclusions with previous literature which has found a strong relation between prices and future profitability. Our results support models in which the cross-section of price-earn...
-
作者：Davis, Carter; Kargar, Mahyar; Li, Jiacui
作者单位：University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Urbana-Champaign; Utah System of Higher Education; University of Utah
摘要：Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower-by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: price pass-through, which captures how price movements forecast returns, and unspanned returns, reflecting a stock's lack of perfect substitutes. In a factor model framework, we show that un...
-
作者：Abuzov, Rustam; Gornall, Will; Strebulaev, Ilya A.
作者单位：University of Virginia; University of British Columbia; Stanford University; National Bureau of Economic Research
摘要：We study how information disclosure concerns shape the choice of limited partners (LPs) by venture capitalists (VCs). Late-2002 court rulings prevented public LPs from providing confidentiality to investment managers. The best-performing VCs, but not other managers, responded by excluding public LPs from their new funds. Lost access reduced public LP returns by $1.6 billion relative to $14 billion of their VC commitments. Legislation reducing disclosure, contracts limiting information access, ...
-
作者：Benmelech, Efraim; Zator, Michal
作者单位：Northwestern University; National Bureau of Economic Research; University of Notre Dame
摘要：Using cross-country and German administrative data on robotization, we show that the impact of robots on firms and labor markets is limited. First, investment in robots is small and highly concentrated in a few industries, representing less than 0.3% of aggregate expenditures on equipment. Second, robotization does not grow as rapidly as Information Technology did in the past, and current growth is driven by gains in developing countries. Third, firms invest in robots when they face difficulti...
-
作者：DeAngelo, Harry; Kahle, Kathleen; Skinner, Douglas J.
作者单位：University of Southern California; University of Arizona; University of Chicago
摘要：Jensen's (1986) analysis of the agency costs of free cash flow radically transformed our understanding of corporate payout policy. This paper details the main pre-Jensen advances in the payout literature, explains how his analysis profoundly altered the way financial economists view payout policy, and discusses prominent regularities that provide real-world texture for understanding the importance of his insights about payout policy. These regularities include: (i) the dominance (measured as a...
-
作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; New York University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long ...
-
作者：Jacobsen, Stacey; Venkataraman, Kumar
作者单位：Southern Methodist University
摘要：We study block trades in the corporate bond market, where dealers buy or sell blocks from initiating customers and offset their positions with receiving investors. Our findings indicate that while receivers benefit from trading cost savings, they primarily bear adverse selection costs and experience worse outcomes when informed trading is prevalent. Mandatory trade reporting improves receiver outcomes by revealing dealers' private information, but the benefits are reduced when reporting is del...
-
作者：Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; Watugala, Sumudu W.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We exploit the 2020 Treasury market shock to analyze how external and internal constraints impact arbitrageurs. Using regulatory filings, we find that hedge funds reduced arbitrage activities and increased cash holdings, despite stable credit and low contemporaneous redemptions. Creditors' regulatory and liquidity constraints were not propagated to hedge funds through repo-Treasury arbitrageurs' predominant financing source. Fund-creditor borrowing data reveal more regulated dealers provided, ...
