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作者：Aragon, George O.; Kim, Min S.
作者单位：Arizona State University; Arizona State University-Tempe; Boston University
摘要：We measure a stock's exposure to fire sale risk through its ownership links to mutual funds that anticipate significant outflows during periods of systematic outflows from the fund industry. We find that stocks with higher exposure to this risk earn higher average returns: a portfolio that buys (shorts) stocks with the highest (lowest) exposure outperforms by 3-7% annually. Our findings cannot be explained by several known determinants of average returns and support the ex-ante pricing of the ...
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作者：Feldhutter, Peter; Schaefer, Stephen
作者单位：Copenhagen Business School; University of London; London Business School
摘要：We investigate how the dynamics of corporate debt policy affect the pricing of corporate bonds. We find empirically that debt issuance has a significant stochastic component that is imperfectly correlated with shocks to asset value. As a consequence, the volatility of leverage is significantly higher than asset volatility over short horizons. At long horizons, the relation between leverage and asset volatility is reversed due to mean reversion in leverage. We incorporate these stochastic debt ...
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作者：Langlois, Hugues
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We investigate how different components in firm characteristics affect expected returns and comovements in international stock markets. We decompose characteristics into coun-try, industry, and country-and industry-adjusted (i.e., orthogonal) components. Then, we use these components to capture time-series and cross-sectional variations in stock-level alphas and factor exposures. Decomposing characteristics is crucial to explain jointly ex-pected returns and comovements: (i) adjusted (country)...
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作者：Lee, Michael Junho; Neuhann, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Texas System; University of Texas Austin
摘要：What determines the supply of good collateral? We study a dynamic model in which bor-rowers must exert effort to maintain collateral quality and markets become illiquid when average quality is too low. Average quality grows quickly when it is high initially, but dete-riorates or grows slowly otherwise. As such, even long-run market conditions are sensitive to a wide array of fundamental and non-fundamental shocks. Recoveries from illiquidity can occur, but only if funding is inefficiently rati...
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作者：Della Corte, Pasquale; Jeanneret, Alexandre; Patelli, Ella D. S.
作者单位：Imperial College London; Imperial College London; Centre for Economic Policy Research - UK; University of New South Wales Sydney; University of British Columbia
摘要：This paper uncovers a novel component for exchange rate predictability based on the price difference between sovereign credit default swaps denominated in different currencies. This new forecasting variable - the credit-implied risk premium - captures the expected currency depreciation conditional on a severe but rare credit event. Using data for 16 Eu-rozone countries, we find that the credit-implied risk premium positively forecasts the dollar-euro exchange rate return at various horizons. M...
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作者：Catherine, Sylvain; Yannelis, Constantine
作者单位：University of Pennsylvania; University of Chicago; University of Chicago; National Bureau of Economic Research
摘要：We study the distributional consequences of student debt forgiveness in present value terms, accounting for differences in repayment behavior across the earnings distribution. Full or partial forgiveness is regressive because high earners took larger loans, but also because, for low earners, balances greatly overstate the benefits of debt cancellation. Consequently, forgiveness would benefit the top decile as much as the bottom three deciles combined. Enrolling households who would benefit fro...
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作者：Bali, Turan G.; Gunaydin, A. Doruk; Jansson, Thomas; Karabulut, Yigitcan
作者单位：Georgetown University; Sabanci University; Sveriges Riksbank; Frankfurt School Finance & Management; Centre for Economic Policy Research - UK
摘要：Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative risk-return relation is only confined to those stocks predominantly held by rich households, whereas the anomaly disappears for stocks held by non-rich households and institutional investors. We find that socia...
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作者：Addoum, Jawad M.; Ng, David T.; Ortiz-Bobea, Ariel
作者单位：Cornell University
摘要：Climate scientists project rising average temperatures and increasing frequency of temperature extremes. We study how extreme temperatures affect corporate profitability across different industries and whether sell-side analysts understand these relationships. We combine granular daily data on temperatures across the continental U.S. with locations of public companies' establishments and build a panel of quarterly firm-level temperature exposures. Extreme temperatures significantly impact earn...
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作者：Antill, Samuel; Grenadier, Steven R.
作者单位：Harvard University; Stanford University
摘要：Using a dynamic real-option model of litigation, we show that the increasingly popular practice of third-party litigation financing has ambiguous implications for total ex-post liti-gant surplus. A defendant and a plaintiff bargain over a settlement payment. The defendant takes costly actions to avoid deadweight losses associated with large transfers to the plain-tiff. Litigation financing bolsters the plaintiff, leading to larger deadweight losses. How-ever, by endogenously deterring the defe...
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作者：Li, Xuelin; Liu, Tong; Taylor, Lucian A.
作者单位：University of South Carolina System; University of South Carolina Columbia; Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：How does common ownership affect innovation? We study this question using project -level data on pharmaceutical startups and their venture capital (VC) investors. We find that common ownership leads VCs to hold back projects, withhold funding, and redirect inno-vation at lagging startups. Effects are stronger where R&D costs are larger, consistent with common owners aiming to cut duplicate costs. Effects are also stronger where techno-logical similarity is greater and preexisting competition i...
