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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：Chang, Jeffery (Jinfan); Du, Huancheng; Lou, Dong; Polk, Christopher
作者单位：The Chinese University of Hong Kong, Shenzhen; Central University of Finance & Economics; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We exploit information in sovereign CDS spreads and the international trade network to provide causal evidence of the propagation of global economic shocks. We show that trade links are an important source of shock transmission using the natural experiments of the Japanese tsunami and the COVID-19 lockdown in China. We then confirm more general and gradual information flows along the trade network by showing extensive country-level credit/equity cross-sectional return predictability. News abou...
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作者：Grieser, William; Hadlock, Charles; LeSage, James; Zekhnini, Morad
作者单位：Texas Christian University; Michigan State University; Texas State University System; Texas State University San Marcos
摘要：We present a spatial econometrics framework for estimating peer effects in capital struc-ture. This approach exploits the heterogeneous and intransitive nature of peer networks to identify economically informative structural coefficients. In models of leverage levels, we detect significant peer-effect leverage coefficients that are on the order of 0.20, indicating a moderate but substantive level of strategic complementarity in capital structure decisions. We argue that prior estimates in the ...
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作者：Campbell, John Y.; Sigalov, Roman
作者单位：Harvard University; National Bureau of Economic Research
摘要：We show that reaching for yield-a tendency to take more risk when the real interest rate declines while the risk premium remains constant-results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is initially low, reaching for yield intensifies. The sustainable spend-ing constraint also affects the response of risk-taking to a change in the risk premium, which can even change sign. In a variant of the m...
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作者：Catherine, Sylvain
作者单位：University of Pennsylvania
摘要：Using French administrative data on job-creating entrepreneurs, I estimate a life-cycle model in which risk-averse individuals can start businesses and return to paid employment. Then, I use the dynamic model to value the option of returning to the labor market in case of failure. For new entrepreneurs, this option is worth 6.4 x the average net wage in the country, which represented 136,0 0 0 euro in 2018. This option value is explained by the unobserved heterogeneity in entrepreneurial abili...
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作者：Bender, Svetlana; Choi, James J.; Dyson, Danielle; Robertson, Adriana Z.
作者单位：Yale University; National Bureau of Economic Research; University of Toronto
摘要：We survey 2484 U.S. individuals with at least $1 million of investable assets about how well leading academic theories describe their financial beliefs and personal investment decisions. The wealthy's beliefs about financial markets and the economy are surprisingly similar to those of the average U.S. household, but the wealthy are less driven by discomfort with the market, financial constraints, and labor income considerations. Portfolio equity share is most affected by professional advice, t...
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作者：Almeida, Caio; Freire, Gustavo
作者单位：Princeton University
摘要：We characterize a set of risk-neutral measures associated with a comprehensive class of risk averse investors. From this set, we show how to construct option price bounds and recover the implied gamma: a parameter uniquely identifying the marginal investor pricing a given option. Empirically, we find that S&P 500 option prices are reconciled by heterogeneous marginal investors who differ in their assessment of tail risk. This heterogeneity is time-varying, decreases during financial crises, an...
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作者：Anarkulova, Aizhan; Cederburg, Scott; O'Doherty, Michael S.
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：We characterize the distribution of long-term equity returns based on the historical record of stock market performance in a broad cross section of 39 developed countries over the period from 1841 to 2019. Our comprehensive sample mitigates concerns over survivor and easy data biases that plague other work in this area. A bootstrap simulation analysis im-plies substantial uncertainty about long-horizon stock market outcomes, and we estimate a 12% chance that a diversified investor with a 30-ye...
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作者：Gofman, Michael; Wu, Youchang
作者单位：University of Rochester; University of Oregon
摘要：We construct a sample of over 20 0,0 0 0 supply chains between 2003 and 2018 to conduct a chain-based analysis of trade credit. Our study uncovers novel stylized facts about trade credit both within and across supply chains. More upstream firms borrow more from suppliers, lend more to customers, and hold more net trade credit. This upstreamness effect in trade credit is weaker for more profitable firms and for longer chains. Firms in more central or more profitable chains provide more net trad...
