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作者：Baugh, Brian; Correia, Filipe
作者单位：University of Nebraska System; University of Nebraska Lincoln; University System of Georgia; University of Georgia
摘要：Using a unique dataset from an account aggregator, we analyze cross-sectional differences and within-household time-series variation in paycheck frequency. We find that higher paycheck frequency results in less credit card borrowing, less consumption, but more instances of financial distress - even when the change in paycheck frequency is employerinitiated. We find that pay frequency strongly determines within-month time patterns of financial distress. Our theoretical model reconciles these em...
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作者：Eaton, Gregory W.; Green, T. Clifton; Roseman, Brian S.; Wu, Yanbin
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; Emory University; State University System of Florida; University of Florida
摘要：We study brokerage platform outages to examine the impact of retail investors on financial markets. We contrast outages at Robinhood, which caters to inexperienced investors, with outages at traditional retail brokers. For stocks with high retail interest, we find that neg-ative shocks to Robinhood investor participation are associated with reduced market order imbalances, increased market liquidity, and lower return volatility, whereas the opposite relations hold following outages at traditio...
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作者：Albuquerque, Rui; Fos, Vyacheslav; Schroth, Enrique
作者单位：Boston College; Universite Catholique de Lille; EDHEC Business School; European Corporate Governance Institute; Centre for Economic Policy Research - UK
摘要：We measure value creation by activist investors via structural estimation of a model of the choice between passive investment and activism. Our estimates imply that average returns following activist intent announcements consist of 74.8% expected value creation, or treatment, 13.4% stock picking, and 11.8% sample selection effects. Higher treatment values predict improvements in firm performance and lower proxy contest probabilities, whereas abnormal announcements returns do not, suggesting th...
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作者：Leippold, Markus; Wang, Qian; Zhou, Wenyu
作者单位：University of Zurich; Zhejiang University; Zhejiang University
摘要：We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of return prediction factors using various machine learning algorithms. Contrasting previous studies for the US market, liquidity emerges as the most important predictor, leading us to closely examine the impact of transaction costs. The retail investors' dominating presence positively affects short-term predictability, particularly for small stocks. Another fe...
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作者：Gao, Lin; Hitzemann, Steffen; Shaliastovich, Ivan; Xu, Lai
作者单位：Rutgers University System; Rutgers University New Brunswick; University of Wisconsin System; University of Wisconsin Madison; Syracuse University
摘要：The option-implied oil price volatility is a strong negative predictor of economic growth beyond traditional uncertainty measures. A rise in oil volatility also predicts an increase in oil inventories and a reduction in oil consumption, in line with a propagation channel through the oil sector. We explain these findings within a macro-finance model featuring stochastic uncertainties and precautionary oil inventories: firms increase oil inventories when oil volatility rises, which curbs oil use...
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作者：Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier
作者单位：Duke University; National Bureau of Economic Research; Duke University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market and negative asset return covariation predict significantly higher future returns, while semibetas attributable to negative market and positive asset return covariation predict significantly lower future returns. The two semibetas associated with positive market return variat...
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作者：He, Zhiguo; Nagel, Stefan; Song, Zhaogang
作者单位：University of Chicago; National Bureau of Economic Research; Johns Hopkins University
摘要：In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints inter...
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作者：Liu, Yang; Shaliastovich, Ivan
作者单位：University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison
摘要：Measures of US government policy approval are strongly related to persistent fluctuations in the dollar value. Contemporaneous correlations between approval ratings and the dollar approach 50% against advanced economy currencies. High approval ratings further forecast a decline in the dollar risk premium several years ahead and are associated with a persistent increase in economic growth and a reduction in economic volatility. We provide an illustrative model to interpret our empirical evidenc...
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作者：Elkamhi, Redouane; Nozawa, Yoshio
作者单位：University of Toronto
摘要：Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document empirical evidence for the fire sale of leveraged loans due to leverage constraints on CLOs. Constrained CLOs are forced to sell loans downgraded to CCC or below, and thus loans widely held by constrained CLOs experience temporary price depreciation. This instability is exacerbated by diversification requirements. As the CLO market grows, each CLO's effort to diversify its portfolio leads to similarity in l...
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作者：Gupta, Arpit; Mittal, Vrinda; Peeters, Jonas; Van Nieuwerburgh, Stijn
作者单位：New York University; Columbia University; University of Pennsylvania
摘要：We show that the COVID-19 pandemic brought house price and rent declines in city cen-ters, and price and rent increases away from the center, thereby flattening the bid-rent curve in most U.S. metropolitan areas. Across MSAs, the flattening of the bid-rent curve is larger when working from home is more prevalent, housing markets are more regu-lated, and supply is less elastic. Housing markets predict an urban revival with urban rent growth exceeding suburban rent growth for the foreseeable fut...
