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作者：Bai, John Jianqiu; Tang, Yuehua; Wan, Chi; Yuksel, H. Zafer
作者单位：Northeastern University; State University System of Florida; University of Florida; University of Massachusetts System; University of Massachusetts Boston; University of Rhode Island
摘要：We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a measure that captures a mutual fund's offshore exposure concentration through holding US multinational firms. We find that funds with a higher offshore concentration index (OCI) perform significantly better, with the difference in four-factor alpha between the top and bottom deciles amounting to 2.95% per annum. Fund managers' overweighting of firms with operati...
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作者：Chaderina, Maria; Weiss, Patrick; Zechner, Josef
作者单位：University of Oregon; Vienna University of Economics & Business
摘要：We show that firms with longer debt maturities earn risk premia not explained by unconditional factors. Embedding dynamic capital structure choices in an asset-pricing framework where the market price of risk evolves with the business cycle, we find that firms with long-term debt exhibit more countercyclical leverage. The induced covariance between betas and the market price of risk generates a maturity premium similar in size to our empirical estimate of 0.21% per month. We also provide direc...
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作者：Cortes, Gustavo S.; Taylor, Bryan; Weidenmier, Marc D.
作者单位：State University System of Florida; University of Florida; Chapman University System; Chapman University; National Bureau of Economic Research
摘要：We investigate the role of forward-looking financial factors in propagating the Great Depression. We find that a new hand-collected bank stock index is better at predicting the onset of the Great Depression than the aggregate stock market or failed bank deposits. The bank stock index explains almost one-third of the fluctuations in industrial production after five years. Analysis disaggregated at each Federal Reserve district shows that bank stocks capture forward-looking information about deb...
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作者：Edmans, Alex; Fernandez-Perez, Adrian; Garel, Alexandre; Indriawan, Ivan
作者单位：University of London; London Business School; Auckland University of Technology; Audencia
摘要：This paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not pre-specify certain mood-affecting events nor assume the extent of their impact on investors. We validate our music-based sentiment measure by correlating it with mood swings induced by seasonal factors, weather conditions, and COVID-related restrictions. We fi...
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作者：Chen, Zhiyao; Hackbarth, Dirk; Strebulaev, Ilya A.
作者单位：Lingnan University; Boston University; Stanford University
摘要：We document that (i) debt-to-equity ratios and levered equity betas negatively covary with the market risk premium in distressed firms; (ii) the negative covariance generates negative alphas among those firms. We build a dynamic credit risk model to understand the negative covariance between equity betas and the market risk premium, via endogenous and dynamic debt financing over the business cycles. Because of endogenous debt financing and distress, our model naturally connects the negative fa...
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作者：Reichenbacher, Michael; Schuster, Philipp
作者单位：Helmholtz Association; Karlsruhe Institute of Technology; University of Stuttgart
摘要：We develop new liquidity measures for bond markets. Existing measures suffer from the combination of two effects. First, transaction costs in OTC markets strongly depend on trade size. Second, many bonds trade only scarcely with strongly differing trading vol-umes. Therefore, changes in average transaction costs often indicate changing trade sizes rather than changing liquidity. We combine full-sample information for the size-cost re-lation with individual transaction data to eliminate such me...
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作者：Kuvshinov, Dmitry; Zimmermann, Kaspar
作者单位：Barcelona School of Economics; Pompeu Fabra University
摘要：We study trends and drivers of long-run stock market growth in 17 advanced economies. Between 1870 and the 1980s, stock market capitalization grew in line with GDP. But over subsequent decades, an unprecedented expansion saw market cap to GDP ratios triple and remain persistently high. While most historical stock market growth was driven by is-suances, this recent expansion was fueled by rising equity prices. We show that the key driver of this structural break was a profit shift towards liste...
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作者：Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
摘要：Green assets delivered high returns in recent years. This performance reflects unexpect-edly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the greenium widened, and U.S. green stocks outperformed brown as climate concerns strengthened. Despite that outperformance, we estimate lower expected returns for green stocks than for brown, con-sistent with theory. We estimate expected returns in two ways: ...
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作者：Badarinza, Cristian; Ramadorai, Tarun; Shimizu, Chihiro
作者单位：National University of Singapore; Imperial College London; University of Tokyo; Centre for Economic Policy Research - UK
摘要：We propose a new explanation for the persistence of gravity in international investment flows based on new facts about large cross-border commercial real estate transactions. Buyers in these transactions preferentially match with counterparties from own or proximate countries; such affinity-based matching helps alleviate financial investment frictions. We set up and structurally estimate a model of capital allocation in a decentralized market with an investment friction, which delivers the pri...
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作者：Blickle, Kristian
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：I study the effects of an increase in the supply of local mortgage credit on house prices by exploiting a natural experiment from Switzerland. In 2008, retail customers migrate deposits from universal banks that are suffering overseas losses to homogeneous and narrowly-local mortgage banks. Using the distance between the two types of banks as an instrument for deposit growth, I show that local mortgage banks increase mortgage lending, which correlates with subsequent house price growth in thei...
