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作者：Bai, Jennie; Bali, Turan G.; Wen, Quan
作者单位：Georgetown University
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作者：Du, Wenxin; Hebert, Benjamin; Li, Wenhao
作者单位：National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Stanford University; National Bureau of Economic Research; University of Southern California
摘要：We document a regime change in the Treasury market post-Global Financial Crisis (GFC): dealers switched from net short to net long Treasury bonds. We construct net-long and net-short curves that account for balance sheet and financing costs, and show that actual yields moved from the net short curve pre-GFC to the net long curve post-GFC. Our theory shows the regime shift caused negative swap spreads and co-movement among swap spreads, dealer positions, and covered-interest-parity violations. ...
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作者：Araujo, Aloisio; Ferreira, Rafael; Lagaras, Spyridon; Moraes, Flavio; Ponticelli, Jacopo; Tsoutsoura, Margarita
作者单位：Getulio Vargas Foundation; Instituto Nacional de Matematica Pura e Aplicada (IMPA); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Universidade Federal do Rio de Janeiro; Northwestern University; National Bureau of Economic Research; Washington University (WUSTL); Centre for Economic Policy Research - UK
摘要：We study the effect of judicial bias favoring firm continuation in bankruptcy on the labor market outcomes of employees by exploiting the random assignment of cases across courts in the State of Sa similar to o Paulo in Brazil. Employees of firms assigned to courts that favor firm continuation are more likely to stay with their employer, but they earn, on average, lower wages three to five years after bankruptcy. We discuss several potential mechanisms that can rationalize this result, and pro...
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作者：Choy, Siu Kai; Lewis, Craig; Tan, Yongxian
作者单位：University of London; King's College London; Vanderbilt University; Curtin University
摘要：The existing literature attributes the recent decay of stock market anomalies to increased arbitrage activities (e.g., Chordia, Subrahmanyam, and Tong, 2014; McLean and Pontiff, 2016; Green, Hand, and Zhang, 2017). In this paper, we present evidence that the appar-ent demise of several prominent classes of stock market anomalies is better explained by changes in underlying fundamentals. The attenuation of anomalies in the Momentum, In-vestment, and Profitability categories are accompanied by a...
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作者：Fedyk, Anastassia; Hodson, James
作者单位：University of California System; University of California Berkeley; Slovenian Academy of Sciences & Arts (SASA); Jozef Stefan Institute
摘要：What drives the puzzle of market reactions to old news? Motivated by theories of cor-relation neglect, we conduct an experiment on finance professionals and show that even sophisticated investors have difficulty identifying old information that recombines content from multiple sources. We evaluate the market implications of this mechanism using a unique dataset of 17 million news articles from the Bloomberg terminal. Recombination of old information prompts larger price moves and subsequent re...
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作者：Herskovic, Bernard; Kind, Thilo; Kung, Howard
作者单位：University of California System; University of California Los Angeles; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Size and value premia comove strongly with one another at low frequencies, but they are both negatively related to long-run movements in the equity premium. We explain these patterns in an investment-based asset pricing model featuring persistent micro and macro uncertainty. Micro uncertainty generates size and value premia waves, while macroeco-nomic uncertainty produces equity premium waves. The negative correlation between mi-cro and macro uncertainty at low frequencies explains why the equ...
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作者：Buffa, Andrea M.; Hodor, Idan
作者单位：University of Colorado System; University of Colorado Boulder; Monash University
摘要：We study the equilibrium implications of a multi-asset economy in which asset managers performance is tied to different benchmarks, reflecting heterogeneity in their investment mandates. Fluctuations in the capital asset managers invest for benchmarking purposes, scaled by the size of the economy, induce price pressure that results in negative spillovers across assets. We characterize a rich structure of asset price comovement within and across benchmarks by analyzing shock elasticities and cr...
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作者：Kaniel, Ron; Lin, Zihan; Pelger, Markus; Van Nieuwerburgh, Stijn
作者单位：University of Rochester; Reichman University; Stanford University; Stanford University; Columbia University
摘要：We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, before and after fees. The outperformance persists for more than three years. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance, while characteristics of the stocks that funds hold are not predictive. Returns of predictive long-short portfolios are higher following a period of high sentiment. Our estimation with ne...
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作者：Chang, Briana; Gomez, Matthieu; Hong, Harrison
作者单位：University of Wisconsin System; University of Wisconsin Madison; Columbia University; Columbia University; National Bureau of Economic Research
摘要：We document that banks that cut lending more during the Great Recession were lending to riskier firms ex-ante. To understand the aggregate implications of this sorting pattern, we build an assignment model in which banks have heterogeneous costs to take on risky loans and firms have different credit risks. In the model, aggregate loan volume depends on the entire distribution of bank holding costs and firm credit risks. We then use our model to recover the change in the distribution of bank ho...
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作者：Andrei, Daniel; Friedman, Henry; Ozel, N. Bugra
作者单位：McGill University; University of Texas System; University of Texas Dallas
摘要：This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms' characteristics. The model shows that heightened economic uncer-tainty amplifies stock price reactions to earnings announcements via increased investor attention, which varies by firm characteristics. Firms with higher systematic risk or more informative announcements attract more attention and exhibit stronger reactions to earn-ings announcements. Moreover, heightened investor attentio...
