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作者：Martin, Ian W. R.; Nagel, Stefan
作者单位：University of London; London School Economics & Political Science; University of Chicago
摘要：Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our equilibrium model, N assets have cash flows that are linear in J characteristics, with unknown coefficients. Risk-neutral Bayesian investors learn these coefficients and determine market prices. If J and N are comparable in size, returns are cross-sectionally predictable ex...
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作者：Diamond, Douglas W.; Hu, Yunzhi; Rajan, Raghuram G.
作者单位：University of Chicago; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We develop a theory of how corporate lending and financial intermediation change based on the fundamentals of the firm and its environment. We focus on the interaction be-tween the prospective net worth or liquidity of an industry and the firm's internal gover-nance or pledgeability. Variations in prospective liquidity can induce changes in the nature, covenants, and quantity of loans that are made, the identity of the lender, and the extent to which the lender is leveraged. We offer predictio...
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作者：Dahlquist, Magnus; Penasse, Julien
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Luxembourg
摘要：We use a present-value model of the real exchange rate to impose structure on the cur-rency risk premium. We allow the currency risk premium to depend on both the inter-est rate differential and a latent component: the missing risk premium. Consistent with the data, our present-value model implies that the real exchange rate should predict cur-rency returns. We find that the missing risk premium, not the interest rate differential, explains most of the variation in the real exchange rate. More...
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作者：Biswas, Sonny; Koufopoulos, Kostas
作者单位：University of Bristol; University of York - UK
摘要：We study bank regulation under optimal contracting, absent exogenous distortions. In equilibrium, banks offer a senior claim (deposits) to external investors and retain equity; the return on equity is higher than the return on deposits due to a scarcity of skilled bankers. Inefficient equilibria emerge under asymmetric information. Optimally designed regulation restores efficiency. Our main result is that disclosure requirements by themselves can be endogenously costly because they may push th...
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作者：Bottero, Margherita; Minoiu, Camelia; Peydro, Jose-Luis; Polo, Andrea; Presbitero, Andrea F.; Sette, Enrico
作者单位：European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve System Board of Governors; Imperial College London; Centre for Economic Policy Research - UK; Luiss Guido Carli University; International Monetary Fund; Centre for Economic Policy Research - UK
摘要：We show that negative interest rate policy (NIRP) has expansionary effects on credit supply through a portfolio rebalancing channel. By shifting down and flattening the yield curve, NIRP differs from rate cuts just above the zero-lower-bound and has effects similar to QE. For identification, we exploit ECB's NIRP and the Italian credit register and, for external validity, European and U.S. datasets. NIRP affects more banks with higher ex-ante liquid assets, including net interbank positions. M...
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作者：Jeon, Yoontae; McCurdy, Thomas H.; Zhao, Xiaofei
作者单位：Toronto Metropolitan University; University of Toronto; Georgetown University
摘要：Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of ...
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作者：Busaba, Walid Y.; Restrepo, Felipe
作者单位：Western University (University of Western Ontario)
摘要：We investigate the effect of the 7% solution-the fact that underwriters in the U.S. charge a 7% spread to most IPOs between $20 million and $100 million in size-on the ensuing pricing of the offerings. Our identification exploits the variation in spreads that is due to distinct kinks in the relation between spread and offer size at these two thresholds. We find the spread positively influences underpricing but also the offer-price adjustment from the filing range's midpoint. Our evidence indic...
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作者：Hu, Zhongchen
作者单位：The Chinese University of Hong Kong, Shenzhen
摘要：Flooding is the most costly natural disaster faced by US households, yet policymakers are puzzled by the low take-up rates for flood insurance. Leveraging novel transaction-level data, this paper studies the influence of social interactions on households' insurance de-cisions. I show that households increase flood insurance purchases by 1-5 percent when their geographically distant friends are exposed to flooding events or to campaigns for flood insurance. These exogenous shocks to far-away fr...
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作者：Zhang, Anthony Lee
作者单位：University of Chicago
摘要：This paper studies manipulation in derivative contract markets. When traders hedge factor risk using derivative contracts, traders can manipulate settlement prices by trading the underlying spot goods. In equilibrium, manipulation can make all agents worse off. The model illustrates how contract market manipulation can be defined in a manner distinct from other forms of strategic trading behavior, and how the structure of contract and spot markets affect the size of manipulation-induced market...
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作者：Aggarwal, Dhruv; Eldar, Ofer; Hochberg, Yael, V; Litov, Lubomir P.
作者单位：Yale University; Duke University; Rice University; National Bureau of Economic Research; University of Oklahoma System; University of Oklahoma - Norman
摘要：We create a novel dataset to examine the recent rise in dual-class IPOs. We document that dual-class firms have different types of controlling shareholders and wedges between voting and economic rights, and that the increasing popularity of dual-class structures is driven by founder-controlled firms. We find that founders' wedge is greater when founders have stronger bargaining power. The increase in founder control over time is due to greater availability of private capital and technological ...
