-
作者：Bao, Jack; Hou, Kewei; Zhang, Shaojun
作者单位：University of Delaware; University System of Ohio; Ohio State University
摘要：We construct a measure of systematic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systematic default spikes during recessions, is correlated with macroeconomic indicators, and predicts future realized defaults. More importantly, it predicts future equity and corporate bond index returns both in-and out-of-sample. Finally, we find that the cross-section of average stock retu...
-
作者：Yannelis, Constantine; Zhang, Anthony Lee
作者单位：University of Chicago
摘要：Screening in consumer credit markets is often associated with large fixed costs. We present both theory and evidence that, when lenders use fixed-cost technologies to screen borrowers, increased competition may increase rather than decrease interest rates in subprime consumer credit markets. In more competitive markets, lenders have lower market shares, and thus lower incentives to invest in screening. Thus, when markets are competitive, all lenders face a riskier pool of borrowers, which can ...
-
作者：Garcia, Diego; Hu, Xiaowen; Rohrer, Maximilian
作者单位：University of Colorado System; University of Colorado Boulder; Southern Methodist University; Norwegian School of Economics (NHH)
摘要：Our paper relies on stock price reactions to colour words, in order to provide new dic-tionaries of positive and negative words in a finance context. We extend the machine learning algorithm of Taddy (2013), adding a cross-validation layer to avoid over-fitting. In head-to-head comparisons, our dictionaries outperform the standard bag-of-words ap-proach (Loughran and McDonald, 2011) when predicting stock price movements out-of -sample. By comparing their composition, word-by-word, our method r...
-
作者：Bandi, Federico M.; Bretscher, Lorenzo; Tamoni, Andrea
作者单位：Johns Hopkins University; University of Lausanne; Swiss Finance Institute (SFI); Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：The component of the volatility of total factor productivity (TFP) that is orthogonal to the dividend price ratio is shown to have long-run predictive ability for excess market returns. This finding implies that TFP volatility should also predict real cash flows and/or real interest rates: it is found to mainly predict real cash flows through inflation. A model with endogenous growth, Epstein-Zin preferences and price rigidities reconciles both TFP volatility-driven long-run predictability and...
-
作者：Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, Michele G.
作者单位：Auburn University System; Auburn University; Duke University; National Bureau of Economic Research
摘要：We use slow and fast time-series momentum to characterize four stock market cycles- Bull, Correction, Bear, and Rebound. The steep market declines of Bears concentrate in high-risk states, yet predict negative expected returns, which is difficult to rationalize by most models of time-varying risk premia. Using a model to analyze slow and fast momentum strategies, we estimate both relatively high mean persistence and realization noise in U.S. stock market returns. Intermediate-speed momentum po...
-
作者：Carletti, Elena; Leonello, Agnese; Marquez, Robert
作者单位：Bocconi University; European Central Bank; University of California System; University of California Davis
摘要：Loan guarantees represent a form of government intervention to support bank lending. However, their use raises concerns as to their effect on bank risk-taking incentives. In a model of financial fragility that incorporates bank capital and a bank incentive problem, we show that loan guarantees reduce depositor runs and improve bank underwriting standards, except for the most poorly capitalized banks. We highlight a novel feedback effect between banks' underwriting choices and depositors' run d...
-
作者：Lu, Zhongjin; Malliaris, Steven; Qin, Zhongling
摘要：We present and test a model to understand the puzzling fact that characteristics-sorted stock portfolios tend to earn opposite-signed overnight and intraday expected returns. Het-erogeneous arbitrageurs - fast arbitrageurs with informational advantages and slow ar-bitrageurs with low inventory costs - compete to determine the price of liquidity. High in-formation asymmetry around market open allows fast arbitrageurs to demand large price deviations for absorbing order imbalances, as cream-skim...
-
作者：Dickerson, Alexander; Mueller, Philippe; Robotti, Cesare
作者单位：University of Warwick
摘要：Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing in corporate bonds is exceedingly difficult to establish. Based on portfolio- and bond-level analyses, we demonstrate that previously proposed bond risk factors, with traded liquidity as the only marginal exception, do not have any incremental explanatory pow...
-
作者：Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea
作者单位：University of Geneva; University of Geneva; Boston University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Boston University
摘要：We propose a model-free methodology to estimate international stochastic discount fac-tors (SDFs) that jointly price cross-sections of international stocks, bonds, and currencies in markets with frictions. We theoretically establish a SDF decomposition into one global factor and a currency basket. We show that our global factor prices a large cross-section of international asset returns, not just in-but also out-of-sample, across different currency denominations. Moreover, the pricing ability ...
-
作者：Davila, Eduardo; Parlatore, Cecilia
作者单位：Yale University; New York University
摘要：This paper studies the relation between volatility and informativeness in financial markets. We identify two channels (noise-reduction and equilibrium-learning) that determine the volatility-informativeness relation. When informativeness is sufficiently high (low), volatil-ity and informativeness positively (negatively) comove in equilibrium. We identify condi-tions on primitives that guarantee that volatility and informativeness comove positively or negatively. We introduce the comovement sco...
