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作者：Ozdagli, Ali K.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：This article rationalizes empirical patterns of market leverage, book leverage, book-to-market ratios, and stock returns across different book-to-market portfolios, using a model of firm financing and investment. The model analytically shows that tax deductibility of interest payments increases. effective investment irreversibility and that investment irreversibility weakens the relation between book-to-market values and returns. This provides a clear and novel mechanism showing how financial ...
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作者：Fontaine, Jean-Sebastien; Garcia, Rene
作者单位：Bank of Canada; Universite Catholique de Lille; EDHEC Business School
摘要：Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the cross-section of Treasury securities. To validate our interpretation, we establish linkages with funding conditions in the repo market, the shadow banking sector, and the overall economy. Looking at asset pricing implications, we find that increases in funding liquidity predict lower risk premia for all Treasury securitie...
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作者：Boutchkova, Maria; Doshi, Hitesh; Durnev, Art; Molchanov, Alexander
作者单位：University of Iowa; University of Leicester; University of Houston System; University of Houston; Massey University
摘要：We examine how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return volatility when local political risks are higher. Political uncertainty in countries of trading partners of trade-dependent industries similarly results in greater volatility. Volatility decomposition resul...
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作者：Zhu, Haoxiang
作者单位：Stanford University
摘要：This article offers a dynamic model of opaque over-the-counter markets. A seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncertain and common to all buyers, a visit by the seller suggests that other buyers could have quoted unatt...
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作者：Feldhuetter, Peter
作者单位：University of London; London Business School
摘要：I propose a new measure that identifies when the market price of an over-the-counter traded asset is below its fundamental value due to selling pressure. The measure is the difference between prices paid by small traders and those paid by large traders. In a model for over-the-counter trading with search frictions and periods with selling pressures, I show that this measure identifies liquidity crises (i.e., high number of forced sellers). Using a structural estimation, the model is able to id...
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作者：Bhattacharya, Utpal; Hackethal, Andreas; Kaesler, Simon; Loos, Benjamin; Meyer, Steffen
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Goethe University Frankfurt
摘要：Working with one of the largest brokerages in Germany, we record what happens when unbiased investment advice is offered to a random set of approximately 8,000 active retail customers out of the brokerage's several hundred thousand retail customers. We find that investors who most need the financial advice are least likely to obtain it. The investors who do obtain the advice (about 5%), however, hardly follow the advice and do not improve their portfolio efficiency by much. Overall, our result...
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作者：Erickson, Timothy; Whited, Toni M.
作者单位：University of Rochester
摘要：We compare the ability of three measurement error remedies to deliver unbiased estimates of coefficients in investment regressions. We examine high-order moment estimators, dynamic panel estimators, and simple instrumental variables estimators that use lagged mismeasured regressors as instruments. We show that recent investigations of this question are largely uninformative. We find that all estimators can pet-form well under correct specification, all can be biased under misspecification, and...
