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作者：Langlois, Hugues
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We investigate how different components in firm characteristics affect expected returns and comovements in international stock markets. We decompose characteristics into coun-try, industry, and country-and industry-adjusted (i.e., orthogonal) components. Then, we use these components to capture time-series and cross-sectional variations in stock-level alphas and factor exposures. Decomposing characteristics is crucial to explain jointly ex-pected returns and comovements: (i) adjusted (country)...
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作者：Lee, Michael Junho; Neuhann, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Texas System; University of Texas Austin
摘要：What determines the supply of good collateral? We study a dynamic model in which bor-rowers must exert effort to maintain collateral quality and markets become illiquid when average quality is too low. Average quality grows quickly when it is high initially, but dete-riorates or grows slowly otherwise. As such, even long-run market conditions are sensitive to a wide array of fundamental and non-fundamental shocks. Recoveries from illiquidity can occur, but only if funding is inefficiently rati...
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作者：Addoum, Jawad M.; Ng, David T.; Ortiz-Bobea, Ariel
作者单位：Cornell University
摘要：Climate scientists project rising average temperatures and increasing frequency of temperature extremes. We study how extreme temperatures affect corporate profitability across different industries and whether sell-side analysts understand these relationships. We combine granular daily data on temperatures across the continental U.S. with locations of public companies' establishments and build a panel of quarterly firm-level temperature exposures. Extreme temperatures significantly impact earn...
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作者：Chod, Jiri; Lyandres, Evgeny
作者单位：Boston College; Tel Aviv University
摘要：This paper models benefits of quoting output price in units of crypto token under duopolistic product market competition with switching costs. Pricing output in tokens pro-vides a firm with a de facto second-mover advantage, raising its equilibrium profit. In ad-dition, the firm can further increase its equilibrium profit by committing via a smart con-tract to the number of tokens sold. By focusing on utility tokens used at the product mar-ket competition stage, the paper highlights potential ...
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作者：Fich, Eliezer M.; Parrino, Robert; Tran, Anh L.
作者单位：Drexel University; University of Texas System; University of Texas Austin; University of London
摘要：SEC Rule10b5-1 plans are intended to limit the ability of insiders to trade opportunistically. We study insider stock sales by CEOs both under and outside of these plans. While both groups exhibit opportunism, this behavior is more limited in plan sales and non-plan sales in well-governed firms. Furthermore, opportunism in plan sales is greater for transactions representing a larger fraction of the CEO's firm-related wealth. CEOs can circumvent the intent of Rule 10b5-1 by exercising their dis...
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作者：Dannhauser, Caitlin D.; Spilker, Harold D.
作者单位：Villanova University; University of Hawaii System; University of Hawaii Manoa
摘要：Modern mutual fund families include more than active mutual funds (AMFs). AMFs in families with greater index mutual fund (IMF) presence generate higher category-adjusted gross returns. Performance is positively related to the levels of passive and active fees, sug-gesting moral hazard. Intrafamily competition from IMFs in the same Morningstar category incentivizes managers to exert effort. Financial resources do not contribute to the perfor-mance effect. Cross-trading with IMFs occurs with so...
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作者：Niepmann, Friederike; Schmidt-Eisenlohr, Tim
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A strong dollar has been associated with lower lending to emerging markets and tighter global financial conditions. This paper documents similar patterns for credit in the U.S. economy: when the U.S. broad dollar index appreciates by 1 percent, U.S. banks' corporate loan originations fall by 4.5 percent, with banks tightening credit standards and lending to safer borrowers. This negative correlation, which we term the U.S. dollar credit channel, is at least in part driven by institutional inve...
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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：Andrade, Sandro C.; Ekponon, Adelphe; Jeanneret, Alexandre
作者单位：University of Miami; University of Liverpool; University of Ottawa; University of New South Wales Sydney
摘要：We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to higher-frequency macroeconomic shocks. Our model predicts that the first source, labeled long-run macro risk, is the primary driver of the level and the cross-sectional variation in sovereign bond premia. We find s...
