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作者：Huber, Amy Wang
摘要：I model and structurally estimate the equilibrium rates and volume in the Triparty repo market to study imperfect competition in wholesale funding. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders' aversion to portfolio concentration and preference for ...
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作者：Friedrich, Benjamin U.; Zator, Michal
作者单位：Northwestern University; Aarhus University; University of Notre Dame
摘要：We study how firms respond to an unexpected demand shock, exploiting the 2006 boycott of Danish products after publication of Muhammad caricatures. On average, affected firms lose the majority of their exports to Muslim countries and experience a significant decrease in total sales. However, firms with low financial leverage redirect sales to new and existing product-destination markets in non-Muslim countries, which allows them to fully offset their losses. In contrast, high-leverage firms do...
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作者：Manresa, Elena; Penaranda, Francisco; Sentana, Enrique
作者单位：New York University; City University of New York (CUNY) System; Queens College NY (CUNY)
摘要：Empirical asset pricing models with possibly unnecessary risk factors are increasingly com-mon. Unfortunately, they can yield misleading statistical inferences. Unlike previous stud-ies, we estimate the identified set of SDFs and risk prices compatible with a given model's asset pricing restrictions. We also propose tests that detect problematic situations with economically meaningless SDFs unrelated to the test assets. Empirically, we estimate linear subspaces of SDFs compatible with popular ...
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作者：Engle, Robert F.; Campos-Martins, Susana
作者单位：New York University; University of Oxford; Universidade do Minho
摘要：Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such shocks is defined as global COVOL which is an abbreviation for global common volatility, a broad measure of all types of global financial risk. This paper introduces a statistical formulation of such events as common volatility innovations in both a multivariate volatility and an asset pricing context. Simulations verify the statistical pe...
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作者：Bessembinder, Hendrik; Cooper, Michael J.; Zhang, Feng
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah; Southern Methodist University
摘要：The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative long-horizon ab-normal returns. These results reflect positive skewness in the distribution of fund returns that increases with horizon, and highlight the limitations of conditional arithmetic means of short-horizon returns (e.g., alpha) for long-...
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作者：Pagano, Marco; Wagner, Christian; Zechner, Josef
作者单位：University of Naples Federico II; Vienna University of Economics & Business; Vienna University of Economics & Business
摘要：Using the COVID-19 pandemic as a laboratory, we show that asset markets assign a time -varying price to firms' disaster risk exposure. The cross-section of stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social dis-tancing. As predicted by theory, realized and expected return differentials moved in op-posite directions, initially widening and then narrowing. When inferred from market out-comes, firm resilience correlates mainly with expo...
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作者：Allen, Franklin; Gu, Xian; Li, C. Wei; Qian, Jun Q. J.; Qian, Yiming
作者单位：Imperial College London; Durham University; University of Iowa; Fudan University; University of Connecticut
摘要：Implicit guarantees provided by financial intermediaries are a key component of China's shadow banking sector. We show theoretically that project screening by intermediaries, accompanied by their implicit guarantees to investors, can be the second-best arrange-ment and mitigate capital misallocation that favors state-owned enterprises (SOEs). Using a dataset of trusts' investment products, we find, consistent with our model, that ex ante expected yields reflect borrower risks and implicit guar...
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作者：Kempf, Elisabeth; Luo, Mancy; Schaefer, Larissa; Tsoutsoura, Margarita
作者单位：Harvard University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Frankfurt School Finance & Management; Washington University (WUSTL); Centre for Economic Policy Research - UK; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Does investors' political ideology shape international capital allocation? We provide evi-dence from two settings-syndicated corporate loans and equity mutual funds-to show ideological alignment with foreign governments affects the cross-border capital allocation by U.S. institutional investors. Ideological alignment on both economic and social issues plays a role. Our empirical strategy ensures direct economic effects of foreign elections or government ties between countries are not driving t...
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作者：Bonfim, Diana; Custodio, Claudia; Raposo, Clara
作者单位：Universidade Catolica Portuguesa; Banco de Portugal; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK; University of London; London Business School; Imperial College London; Banco de Portugal; Universidade de Lisboa
摘要：We use variation in the access to a government credit certification program to estimate the financial and real effects of supporting small firms. This program was first implemented during the global financial crisis, but has remained active ever since, allowing us to ana-lyze its effects both during recessions and recoveries. Eligible firms have access to govern-ment loan guarantees and a credit quality certification. We estimate real effects using a multidimensional regression discontinuity d...
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作者：Sias, Richard; Starks, Laura T.; Turtle, H. J.
作者单位：University of Arizona; University of Texas System; University of Texas Austin; Colorado State University System; Colorado State University Fort Collins
摘要：We hypothesize that the well-documented negativity bias, the psychological tendency to asymmetrically emphasize negative over positive aspects, can help explain several financial market phenomena: why most individuals hold strongly bearish views of both short- and long-term equity return distributions, why individuals exhibit heterogeneous beliefs, and the stock market participation puzzle. Using variation in the perceived risk of mortality from the swine flu pandemic as our primary proxy for ...
