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作者：Jiang, Zhengyang; Richmond, Robert J.
作者单位：Northwestern University; National Bureau of Economic Research; New York University
摘要：We show that exchange rate correlations tend to be explained by the global trade net-work while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade net-work with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the driv...
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作者：Tran, Anh; Wang, Pingle
作者单位：University of Connecticut; University of Texas System; University of Texas Dallas
摘要：This paper examines investors' retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a return-chasing strategy. In contrast, the remaining 17% of wealthy investors with relatively higher financial literacy follow CAPM alpha. This difference between the two investor groups explains why fund flows respond to returns at the plan level but to CAPM alpha at the aggregated fund level. Return-...
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作者：Chen, Zilin; Da, Zhi; Huang, Dashan; Wang, Liyao
作者单位：Southwestern University of Finance & Economics - China; Southwestern University of Finance & Economics - China; University of Notre Dame; Singapore Management University; Hong Kong Baptist University
摘要：We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president's handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR b...
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作者：Goodman, Lucas; Mukherjee, Anita; Ramnath, Shanthi
作者单位：United States Department of the Treasury; University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Retirement savings abandonment is a rising concern connected to defined contribution systems and default enrollment. We use tax data on Individual Retirement Accounts (IRAs) to establish that for a recent cohort, 0.4% of retirement-age individuals abandoned an ag-gregate of $66 million, proxied by a failure to claim over ten years after a legal requirement to do so. Analysis of state unclaimed property databases suggests that workplace defined contribution plans are abandoned at a higher rate ...
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作者：Bai, John (Jianqiu); Mkrtchyan, Anahit
作者单位：Northeastern University; University of Massachusetts System; University of Massachusetts Amherst
摘要：Using rich plant-level data, we analyze the relative performance of firms with inside and outside CEOs. We show that firms with outside CEOs achieve greater productivity improve-ments compared to firms with inside CEOs. Contrary to conventional wisdom, the rela-tion is stronger in well-performing, rather than poorly performing, firms. Although part of the productivity growth differential comes from divesting low-performing, peripheral, low-tech, and unionized plants, most productivity improvem...
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作者：Farboodi, Maryam; Kondor, Peter
作者单位：Massachusetts Institute of Technology (MIT); University of London; London School Economics & Political Science
摘要：Endogenous cycles emerge through the two-way interaction between lending standards and production fundamentals. Lax lending standards in booms lead to low interest rates and high output but the deterioration of future loan quality. Low borrower quality in turn precipitates tight standards: the economy enters a recession with high credit spreads and low output but a gradual improvement in the quality of loans. This eventually triggers a shift back to a boom with lax lending, and the cycle conti...
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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 ...
