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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：Edmans, Alex; Gosling, Tom; Jenter, Dirk
作者单位：University of London; London Business School; University of London; London School Economics & Political Science
摘要：We survey directors and investors on the objectives, constraints, and determinants of CEO pay. We find that directors face constraints beyond participation and incentives, and that pay matters not to finance consumption but to address CEOs' fairness concerns. 67% of directors would sacrifice shareholder value to avoid controversy, leading to lower levels and one-size-fits-all structures. Shareholders are the main source of constraints, suggesting directors and investors disagree on how to maxi...
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作者：Grothe, Magdalena; Pancost, N. Aaron; Tompaidis, Stathis
作者单位：European Central Bank; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：We analyze competition and risk management at central counterparties (CCPs) using a granular transaction-level dataset, and find that CCPs decrease collateral in response to lower collateral at their competitors, an effect that becomes stronger as the correlation between positions increases. To interpret our findings, we derive a model in which collateral is driven by risk and CCP competition. Our results are consistent with the model and suggest that a single monopolistic CCP would require mo...
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作者：Elkamhi, Redouane; Jo, Chanik
作者单位：University of Toronto; Chinese University of Hong Kong
摘要：We test the conditional consumption-CAPM using asset holders' consumption and find that the time variation in the prices of asset holders' consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different m...
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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 ...
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作者：De Miguel, Victor; Gil-Bazo, Javier; Nogales, Francisco J.; Santos, Andre A. P.
作者单位：University of London; London Business School; Pompeu Fabra University; Barcelona School of Economics; Universidad Carlos III de Madrid; CUNEF Universidad
摘要：Machine-learning methods exploit fund characteristics to select tradable long-only portfolios of mutual funds that earn significant out-of-sample annual alphas of 2.4% net of all costs. The methods unveil interactions in the relation between fund characteristics and future performance. For instance, past performance is a particularly strong predictor of future performance for more active funds. Machine learning identifies managers whose skill is not sufficiently offset by diseconomies of scale...
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作者：Guiso, Luigi; Zaccaria, Luana
摘要：We obtain a model-driven measure of gender norms on intra-household financial decision making by leveraging dramatic variation across Italian cohorts and regions in the gender of the household head. We use these estimates to identify the effects of gender parity on household financial decisions. More egalitarian norms increase household participation in financial markets, equity holdings, asset diversification, and returns on investments. This evidence suggests that gender roles can have large...
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作者：Gerardi, Kristopher; Willen, Paul S.; Zhang, David Hao
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Federal Reserve System - USA; Federal Reserve Bank - Boston; Rice University; National Bureau of Economic Research
摘要：Black and Hispanic homeowners pay significantly higher mortgage interest rates than white and Asian homeowners. We show that the main reason is that white and Asian bor-rowers are much more likely to exploit periods of falling interest rates by refinancing their mortgages or moving. Black and Hispanic borrowers face challenges refinancing because, on average, they have lower credit scores, equity and income. But even holding those fac-tors constant, Black and Hispanic borrowers refinance less,...
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作者：Bollerslev, Tim; Todorov, Viktor
作者单位：Duke University; Northwestern University
摘要：Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of jump leverage risk premium may ...
