2022

最新文章

• Asset pricing with return extrapolation AI翻译
  作者：Jin, Lawrence J.; Sui, Pengfei
  作者单位：California Institute of Technology; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
  摘要：We present a new model of asset prices in which a representative agent has extrapolative beliefs about stock market returns and Epstein-Zin preferences. The model quantitatively explains facts about asset prices, return expectations, and cash-flow expectations. When the agent's beliefs about stock market returns are calibrated to survey expectations of investors, the model generates excess volatility and predictability of stock market returns, a high equity premium, a low and stable risk-free ...
• Skill versus reliability in venture capital AI翻译
  作者：Khanna, Naveen; Mathews, Richmond D.
  作者单位：Michigan State University; Michigan State University's Broad College of Business; University System of Maryland; University of Maryland College Park
  摘要：We study competition for startups among VCs with heterogeneous skill. VCs with established skill face two impediments. First, less established VCs compete aggressively for new startups in order to establish a reputation. Second, startups also value reliability in their VCs, which imposes a higher cost on established VCs because they have better outside options. As a result, startups over-experiment by excessively partnering with less established VCs, which crowds out established skill and redu...
• The cost of steering in financial markets: Evidence from the mortgage market AI翻译
  作者：Guiso, Luigi; Pozzi, Andrea; Tsoy, Anton; Gambacorta, Leonardo; Mistrulli, Paolo Emilio
  作者单位：University of Toronto; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK; European Central Bank; Bank of Italy
  摘要：We build a model of the mortgage market in which banks attain their optimal mortgage portfolio by setting rates and steering customers. Sophisticated households know which mortgage type is best for them; naive households are susceptible to banks' steering. Using data on the universe of Italian mortgages, we estimate the model and quantify the welfare implications of steering. The average cost of the distortion is equivalent to 16% of the an-nual mortgage payment. A financial literacy campaign ...
• Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark AI翻译
  作者：Cereda, Fabio; Chague, Fernando; De-Losso, Rodrigo; Genaro, Alan; Giovannetti, Bruno
  作者单位：Universidade de Sao Paulo
  摘要：We study the effects of a price transparency shock in the Brazilian equity lending market, an over-the-counter market. Previously, the available loan fee benchmark was the mean loan fee of the past 15 trading days. On March 1, 2011, this interval was reduced to three days, significantly improving short-sellers' ability to predict current loan fees. We find that after the benchmark change, loan fees fell, lending volume increased, total lending rev-enue remained stable, high-cost lenders lost m...
• Learning, slowly unfolding disasters, and asset prices AI翻译
  作者：Ghaderi, Mohammad; Kilic, Mete; Seo, Sang Byung
  作者单位：University of Kansas; University of Southern California; University of Wisconsin System; University of Wisconsin Madison
  摘要：We develop a model that generates slowly unfolding disasters not only in the macroeconomy but also in financial markets. In our model, investors cannot exactly distinguish whether the economy is experiencing a mild/temporary downturn or is on the verge of a severe/prolonged disaster. Due to imperfect information, disaster periods are not fully identified by investors ex ante . Bayesian learning induces equity prices to gradually react to persistent consumption declines, which plays a critical ...
• Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market AI翻译
  作者：Jiang, Hao; Li, Yi; Sun, Zheng; Wang, Ashley
  作者单位：Michigan State University; Michigan State University's Broad College of Business; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Irvine
  摘要：Open-end corporate bond mutual funds invest in illiquid assets while providing liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond. We find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the peri...
• The cross-section of investment and profitability: Implications for asset pricing AI翻译
  作者：Kilic, Mete; Yang, Louis; Zhang, Miao Ben
  作者单位：University of Southern California
  摘要：Asset pricing predictions from the investment CAPM depend on the cross-sectional relation between investment and profitability. In samples of U.S. stocks featuring high cross-sectional investment-profitability correlation, both investment and profitability premiums are weak. Consistent with the conditional predictions from the investment CAPM, triple sorts on size, investment, and profitability as in Hou et al. (2015)'s q-factors resurrect the premiums in the high-correlation samples. We find ...
• Sustainable investing with ESG rating uncertainty AI翻译
  作者：Avramov, Doron; Cheng, Si; Lioui, Abraham; Tarelli, Andrea
  作者单位：Reichman University; Chinese University of Hong Kong; Universite Catholique de Lille; EDHEC Business School; Catholic University of the Sacred Heart
  摘要：This paper analyzes the asset pricing and portfolio implications of an important barrier to sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market premium increases and demand for stocks declines under ESG uncertainty. In addition, the CAPM alpha and effective beta both rise with ESG uncertainty and the negative ESG-alpha relation weakens. Employing the standard deviation of ESG ratings from six major providers as a proxy for ESG uncertainty, we provide ...
• Asset pricing on earnings announcement days ? AI翻译
  作者：Chan, Kam Fong; Marsh, Terry
  作者单位：University of Western Australia; University of California System; University of California Berkeley
  摘要：Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days, defined as leading earnings announcement days (LEADs), are times when an aggregate of influential S&P 500 firms disclose quarterly earnings news early in the earnings season. The positive return-to-beta relation holds for various test portfolios, individual stocks, and Treasuries; and is robust to different data frequencies and testing procedures. On days other than LE...
• Signaling, instrumentation, and CFO decision-making AI翻译
  作者：Hennessy, Christopher A.; Chemla, Gilles
  作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Imperial College London; University of London; London Business School; Centre for Economic Policy Research - UK
  摘要：Building parable economies embedding econometricians, we view alternative estimators (Instrumental variables, fuzzy regression discontinuity, natural experiments, OLS, event studies) from the perspective of privately informed decision-makers, e.g., CFOs. Instrumental variable estimates can be misleading since randomization through observable instruments eliminates signal content arising from discretion. If the goal is informing discretionary decisions, rather than predicting outcomes after for...