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作者：Azevedo, Alcino; Colak, Gonul; El Kalak, Izidin; Tunaru, Radu
作者单位：Aston University; University of Sussex; Hanken School of Economics; Cardiff University
摘要：For many firms, voluntarily delisting from a stock exchange can be optimal. We model an entrepreneur's incentives to voluntarily delist the firm as a trade-off between consumption of private benefits when listed and expected improvements in the firm's performance after delisting. Our model allows for heterogeneity across firms and countries, and various micro and macro shocks affect the delisting decision. Such a model makes novel predictions regarding the delisting patterns around the world. ...
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作者：He, Wei; Su, Zhiwei; Yu, Jianfeng
作者单位：Southwestern University of Finance & Economics - China; Lingnan University; Tsinghua University; Hong Kong University of Science & Technology
摘要：This paper studies the heterogeneous effects of subjective macroeconomic expectations on the cross-section of equity returns. We argue that an upward revision in expectations of macroeconomic productivity might be accompanied by an excessive increase in investment and external financing, inflated current equity prices, and thus lowered subsequent returns, particularly for financially constrained firms. Thus, following upward revisions in expectations of macroeconomic productivity, subsequent r...
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作者：Kim, You Suk; Lee, Donghoon; Scharlemann, Tess; Vickery, James
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We study how intermediaries - mortgage servicers - shaped the implementation of mortgage forbearance during the COVID-19 pandemic and use servicer-level variation to trace out the causal effects of forbearance on borrowers. Forbearance provision varied widely across servicers. Small servicers, nonbanks, and especially nonbanks with small liquidity buffers, facilitated fewer forbearances and saw a higher incidence of forbearance related complaints. Easier access to forbearance substantially inc...
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作者：Enke, Benjamin; Schwerter, Frederik; Zimmermann, Florian
作者单位：Harvard University; National Bureau of Economic Research; Frankfurt School Finance & Management; University of Cologne; University of Bonn; IZA Institute Labor Economics
摘要：Recent theories and narratives highlight the potential role of associative recall in driving overreaction in expectations and market behavior. Based on a simple model, we test this idea through a series of experiments in which news are communicated with memorable contexts. Because the experimental participants predominantly remember those past news that get cued by new information, their beliefs about fundamentals strongly overreact. In a betting market experiment, associative recall translate...
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作者：Happel, Jonas; Karabulut, Yigitcan; Schaefer, Larissa; Tuzel, Selale
作者单位：Frankfurt School Finance & Management; Centre for Economic Policy Research - UK; University of Southern California
摘要：Do negative housing shocks lead to persistent changes in household attitudes toward housing and homeownership? We use the residential destruction of Germany during World War II (WWII) as a quasi -experiment and exploit the reasonably exogenous region -by -cohort variation in destruction exposure. We find that WWIIexperiencing cohorts from high destruction regions are significantly less likely to be homeowners decades later, controlling for regional differences and household characteristics. Un...
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作者：Chen, Andrew Y.; McCoy, Jack
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Columbia University
摘要：We characterize the structure and origins of missingness for 159 cross-sectional return predictors and study missing value handling for portfolios constructed using machine learning. Simply imputing with cross-sectional means performs well compared to rigorous expectation -maximization methods. This stems from three facts about predictor data: (1) missingness occurs in large blocks organized by time, (2) cross-sectional correlations are small, and (3) missingness tends to occur in blocks organ...
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作者：Boutros, Michael; Clara, Nuno; Gomes, Francisco
作者单位：University of Toronto; Duke University; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：In the U.S., student debt is currently the second largest component of consumer debt. Households are required to repay these loans early in their lifecycle, when marginal utility is particularly high. We study alternative contracts that offer partial or full payment deferral until later in life. We calibrate an economy with the current contracts, and then solve for counterfactual equilibria. The alternative contracts yield large welfare gains, which are robust to assumptions about the behavior...
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作者：Chinco, Alex; Sammon, Marco
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Harvard University
摘要：Each time a stock gets added to or dropped from an index, we ask: How much money would have to be tracking that index to explain the huge spike in rebalancing volume we observe on reconstitution day?While index funds held 16% of the US stock market in 2021, we put the overall passive ownership share at 33.5%. Our headline number is twice as large because it reflects index funds as well as other kinds of passive investors, such as institutional investors with internally managed index portfolios...
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作者：Lee, Charles M. C.; Shi, Terrence Tianshuo; Sun, Stephen Teng; Zhang, Ran
作者单位：University of Washington; University of Washington Seattle; Harvard University; City University of Hong Kong; Renmin University of China
摘要：Economic theory suggests that production complementarity is an important driver of sectoral co -movements and business cycle fluctuations. We operationalize this concept using a measure of production complementarity proximity (COMPL) between any two companies. We show firms from different industries but are closely aligned in COMPL exhibit strong co -movement in their operating, investing, and financing activities, as well as quarterly earnings revisions and monthly returns. We further documen...
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作者：d'Astous, Philippe; Shore, Stephen H.
作者单位：Universite de Montreal; HEC Montreal; University System of Georgia; Georgia State University
摘要：Theory suggests that increasing idiosyncratic, uninsurable labor income risk may cause individuals to reduce the risk in their financial assets. This relationship is confounded empirically by the tendency of risk tolerant people to choose riskier careers and hold riskier portfolios, leading to an upward -biased estimate of the effect of earnings risk on risky assets holdings. We overcome this identification problem by exploiting a discontinuity built into the Danish national university admissi...
