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作者：Dahlquist, Magnus; Penasse, Julien
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Luxembourg
摘要：We use a present-value model of the real exchange rate to impose structure on the cur-rency risk premium. We allow the currency risk premium to depend on both the inter-est rate differential and a latent component: the missing risk premium. Consistent with the data, our present-value model implies that the real exchange rate should predict cur-rency returns. We find that the missing risk premium, not the interest rate differential, explains most of the variation in the real exchange rate. More...
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作者：Bottero, Margherita; Minoiu, Camelia; Peydro, Jose-Luis; Polo, Andrea; Presbitero, Andrea F.; Sette, Enrico
作者单位：European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve System Board of Governors; Imperial College London; Centre for Economic Policy Research - UK; Luiss Guido Carli University; International Monetary Fund; Centre for Economic Policy Research - UK
摘要：We show that negative interest rate policy (NIRP) has expansionary effects on credit supply through a portfolio rebalancing channel. By shifting down and flattening the yield curve, NIRP differs from rate cuts just above the zero-lower-bound and has effects similar to QE. For identification, we exploit ECB's NIRP and the Italian credit register and, for external validity, European and U.S. datasets. NIRP affects more banks with higher ex-ante liquid assets, including net interbank positions. M...
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作者：Jeon, Yoontae; McCurdy, Thomas H.; Zhao, Xiaofei
作者单位：Toronto Metropolitan University; University of Toronto; Georgetown University
摘要：Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of ...
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作者：Hu, Zhongchen
作者单位：The Chinese University of Hong Kong, Shenzhen
摘要：Flooding is the most costly natural disaster faced by US households, yet policymakers are puzzled by the low take-up rates for flood insurance. Leveraging novel transaction-level data, this paper studies the influence of social interactions on households' insurance de-cisions. I show that households increase flood insurance purchases by 1-5 percent when their geographically distant friends are exposed to flooding events or to campaigns for flood insurance. These exogenous shocks to far-away fr...
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作者：Zhang, Anthony Lee
作者单位：University of Chicago
摘要：This paper studies manipulation in derivative contract markets. When traders hedge factor risk using derivative contracts, traders can manipulate settlement prices by trading the underlying spot goods. In equilibrium, manipulation can make all agents worse off. The model illustrates how contract market manipulation can be defined in a manner distinct from other forms of strategic trading behavior, and how the structure of contract and spot markets affect the size of manipulation-induced market...
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作者：Cohn, Jonathan B.; Liu, Zack; Wardlaw, Malcolm I.
作者单位：University of Texas System; University of Texas Austin; University of Houston System; University of Houston; University System of Georgia; University of Georgia
摘要：This paper assesses different econometric approaches to working with count-based out-come variables and other outcomes with similar distributions, which are increasingly com-mon in corporate finance applications. We demonstrate that the common practice of es-timating linear regressions of the log of 1 plus the outcome produces estimates with no natural interpretation that can have the wrong sign in expectation. In contrast, a simple fixed-effects Poisson model produces consistent and reasonabl...
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作者：Di Maggio, Marco; Egan, Mark; Franzoni, Francesco
作者单位：Harvard University; National Bureau of Economic Research; Harvard University; National Bureau of Economic Research; Swiss Finance Institute (SFI); Universita della Svizzera Italiana
摘要：We estimate a structural model of broker choice to quantitatively decompose the value that institutional investors attach to broker services. Studying over 300 million institutional equity trades, we find that investors are sensitive to both explicit and implicit trading costs and are willing to pay a premium for access to formal and informal research. Formal and informal research account for roughly half of the value generated by brokers. In addition, we use our model to investigate soft doll...
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作者：Bena, Jan; Ortiz-Molina, Hernan; Simintzi, Elena
作者单位：University of British Columbia; University of North Carolina; University of North Carolina Chapel Hill
摘要：Following state-level legal changes that increase labor dismissal costs, firms increase their innovation in new processes that facilitate the adoption of cost-saving production meth-ods, especially in industries with a large share of labor costs in total costs. Firms with high innovation ability exhibit larger increases in process innovation and capital-labor ra-tios, an effect driven by both increases in capital investment and decreases in employment. By facilitating the adjustment of the inp...
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作者：Cakici, Nusret; Zaremba, Adam
作者单位：Fordham University; Montpellier Business School; Poznan University of Economics & Business
摘要：Motivated by existing evidence of the salience theory (ST) effect in the United States, we investigate its importance in 49 countries over the past three decades. Initial results sug-gest a negative relationship between the ST measure and future returns. The underperfor-mance of low ST stocks is the strongest in countries with high idiosyncratic risk. However, the salience effect has three vital limitations. First, a substantial part of the anomaly can be attributed to the short-term return re...
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作者：Di Giuli, Alberta; Laux, Paul A.
作者单位：heSam Universite; ESCP Business School; University of Delaware; University of Delaware
摘要：Firms sharing a board member with a media company receive more news coverage. This in turn affects those firms' financing choices: they issue more bonds, rely less on bank loans, and have lower blockholder ownership. These findings are consistent with media coverage acting as an external governance mechanism that substitutes for monitoring by banks and equity blockholders. The effect of media-linked directors on financing is evident in panel and time series analyses and using two different ins...
