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作者：Whited, Toni M.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
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作者：Syrstad, Olav; Viswanath-Natraj, Ganesh
摘要：Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one ba-sis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to periods of elevated dispersion in funding costs and over quarterends. Central bank swap lines reduce the order flow into USD, subsequently affecting the FX forward rate. In contrast, over quarter-ends a...
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作者：Back, Kerry; Crotty, Kevin; Kazempour, Seyed Mohammad
作者单位：Rice University; Rice University
摘要：Recent work uses option prices to derive lower bounds for the risk premia of the market portfolio and individual stocks. We test the bounds conditionally. We cannot reject that they are valid, but we do reject that they are tight. Using the market bounds as forecasts appears unreasonable in many cases due to their high slackness. Adding past mean slackness is a potential improvement but is hampered by the brevity of the available data series. The correlation of the stock bounds with subsequent...
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作者：Ding, Yi; Xiong, Wei; Zhang, Jinfan
作者单位：The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
摘要：We document issuance overpricing of corporate debt securities in China, which is robust across subsamples with different credit ratings, maturities, and issuers. This phenomenon contrasts with underpricing of equity and debt securities in Western countries and reflects China's distinct institutional environment. The average overpricing dropped from 7.44 basis points to 2.41 basis points after the government prohibited underwriters from using rebates in issuances in October 2017. By analyzing o...
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作者：Barrero, Jose Maria
作者单位：Instituto Tecnologico Autonomo de Mexico
摘要：This paper studies how biases in managerial beliefs affect managerial decisions, firm performance, and the macroeconomy. Using a new survey of US managers I establish three facts. (1) Managers are not overoptimistic: sales growth forecasts on average do not exceed realizations. (2) Managers are overprecise: they underestimate future sales growth volatility. (3) Managers overextrapolate: their forecasts are too optimistic after positive shocks and too pessimistic after negative shocks. To quant...
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作者：Giacoletti, Marco; Parsons, Christopher A.
作者单位：University of Southern California
摘要：Landlords appear to use stale information when setting rents. Among over 43,0 0 0 California rental houses in 2018-2019, those last purchased during 20 05-20 07 (the peak) rent for 2-3% more than those purchased during 2008-2010 (bust). Neither house nor landlord characteristics explain this peak-bust rental spread. To clarify the mechanism, we test cross-sectional predictions from a simple theory of rent-setting. We find empirical support for both reference dependence and distorted beliefs. I...
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作者：Novy-Marx, Robert; Velikov, Mihail
作者单位：University of Rochester; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Frazzini and Pedersen's (2014) Betting Against Beta (BAB) factor is based on the same basic idea as Blacks'(1972) beta-arbitrage, but its astonishing performance has generated academic interest and made it highly influential with practitioners. This performance is driven by non-standard procedures used in its construction that effectively, but non-transparently, equal weight stock returns. For each dollar invested in BAB, the strategy commits on average $1.05 to stocks in the bottom 1% of tota...
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作者：Hajda, Jakub; Nikolov, Boris
作者单位：Universite de Montreal; HEC Montreal; University of Lausanne; European Corporate Governance Institute
摘要：We examine how product life cycle affects investment and financing by estimating an industry equilibrium model that embeds product portfolio characteristics. In the model, firms trade off higher profitability of newer products versus product introduction costs. Using product-level data, we find that the product dimension is critical in quantitatively explaining cash flow dynamics, corporate policies, and industry structure. We show that product introductions and capital investment are compleme...
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作者：Li, Teng; Qian, Wenlan; Xiong, Wei A.; Zou, Xin
作者单位：Sun Yat Sen University; Sun Yat Sen University; National University of Singapore; University of Hong Kong; Shenzhen Stock Exchange (SZSE); Hong Kong Baptist University
摘要：This paper uses individual-level data linking stock investments with work performance to examine how changes in stock market wealth affect worker output. We document that a 10% increase in monthly income from stock market investments is associated with a decrease of 3.8% in the same investor's next-month work output. The negative output re-sponse is not driven by concurrent economic conditions and is unexplained by investor -specific liquidity needs. Consistent with the reference dependence in...
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作者：DeFusco, Anthony A.; Tang, Huan; Yannelis, Constantine
作者单位：Northwestern University; University of London; London School Economics & Political Science; University of Chicago; National Bureau of Economic Research
摘要：Information asymmetries are known in theory to lead to inefficiently low credit provi-sion, yet empirical estimates of the resulting welfare losses are scarce. This paper leverages a randomized experiment conducted by a large fintech lender to estimate welfare losses arising from asymmetric information in the market for online consumer credit. Building on methods from the insurance literature, we show how exogenous variation in interest rates can be used to estimate borrower demand and lender ...
