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作者：Vihriala, Erkki
作者单位：Aalto University
摘要：Debt-repayment flexibility should help temporarily liquidity-constrained households but not necessarily households struggling to save. In a natural experiment in which households can apply for free mortgage-repayment flexibility, I find that two-thirds of liquidityconstrained applicants with high-cost debt voluntarily restrict flexibility and forgo, on average, 4,070 EUR of low-cost liquidity. An overconsumption tendency reflecting self-control problems can explain the voluntary liquidity rest...
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作者：van Binsbergen, Jules H.; Boons, Martijn; Opp, Christian C.; Tamoni, Andrea
作者单位：University of Pennsylvania; National Bureau of Economic Research; Tilburg University; Universidade Nova de Lisboa; University of Rochester; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：We classify asset pricing anomalies into those exacerbating mispricing (build-up anoma-lies) and those resolving it (resolution anomalies). We estimate the dynamics of price wedges for well-known anomaly portfolios and map them to firm-level mispricings. We find that several prominent anomalies like momentum and profitability further dislocate prices. Multi-factor models designed to eliminate one-month alphas still produce large price wedges. Our estimates yield a novel decomposition of Tobin'...
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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：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...
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作者：Knesl, Jiri
作者单位：University of Oxford
摘要：I examine the asset pricing implications of technological innovations that allow capital to displace labor: automation. I develop a theory in which firms with displaceable labor are negatively exposed to such technology shocks. In the model, firms optimally adopt tech-nology to gain competitive advantage but in equilibrium competition erodes profits and decreases firm value. Empirically, I find that firms with high share of displaceable labor have negative exposure to technology shocks. A long...
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作者：Yan, Jingda; Yu, Jialin
作者单位：Renmin University of China; Hong Kong University of Science & Technology
摘要：Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous st...
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作者：Hassan, Ramin; Loualiche, Erik; Pecora, Alexandre R.; Ward, Colin
作者单位：Cornerstone Research; University of Minnesota System; University of Minnesota Twin Cities; Virginia Polytechnic Institute & State University
摘要：Exchange rate volatility falls after a trade deal, driven by a decline in the systematic component of risk. The average trade deal increases trade by 50 percent over five years, reducing systematic risk by a third of a standard deviation across countries. We examine this connection in an Armington model where the structure of trade networks determines the risk in exchange rates. We estimate our model to current data and find i) that countries at the periphery of the world trade network benefit...
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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 ...
