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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：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：Glebkin, Sergei; Kuong, John Chi-Fong
作者单位：INSEAD Business School
摘要：We consider a market where large investors do not only trade on information about asset fundamentals. When they trade more aggressively, the price becomes less informative. Other investors who learn from prices, in turn, are less concerned about adverse selection and provide more liquidity, causing large investors to trade even more aggressively. This trading complementarity can engender three unconventional results: i) increased competition among large investors makes all investors worse off,...
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作者：Mohammadi, Samira; Cremaschi, Selen
作者单位：Auburn University System; Auburn University
摘要：High-fidelity simulations are computationally expensive to evaluate for optimization and sensitivity analysis applications. One popular method to avoid this problem is utilizing surrogate models, which approximate the simulations with cheaper-to-evaluate functions. The existing surrogate modeling techniques are designed for deterministic systems, with only a few approaches available for stochastic simulations. This study proposes a new method, called PARIN (PARameter as INput), to efficiently ...
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作者：Li, Sida; Ye, Mao; Zheng, Miles
作者单位：Brandeis University; Cornell University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：The Regulation National Market System (Reg NMS) links fragmented stock exchanges by routing orders to the National Best Bid and Offer (NBBO). As the NBBO ignores exchange fees, 62% of routings lead to worse net prices. An increase in fee differences increases the market share captured by orders that refuse Reg NMS routings, particularly for stocks whose fees account for a large portion of transaction costs. Heterogeneous opportunity costs rationalize routing choices: non-routable orders entail...
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作者：Segura, Anatoli; Villacorta, Alonso
作者单位：European Central Bank; Bank of Italy; University of California System; University of California Santa Cruz
摘要：We study optimal government support following a rare disaster that creates heterogeneous firm liquidity needs. Firms' increase in debt reduces their output due to moral hazard. Banks are subject to a minimum capital requirement that limits deposit insurance costs upon bad aggregate shocks. Without government support, firms' moral hazard and banks' funding frictions reinforce each other amplifying output losses. Optimal support is imple-mented with firm-specific transfers combined with the prov...
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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 ...
