-
作者：Geczy, Christopher; Jeffers, Jessica S.; Musto, David K.; Tucker, Anne M.
作者单位：University of Pennsylvania; University of Chicago; University System of Georgia; Georgia State University
摘要：We draw on new data and theory to examine how private market contracts adapt to serve multiple goals, particularly the social-benefit goals that impact funds add to their financial goals. Counter to the intuition from multitasking models (Holmstrom and Milgrom, 1991), few impact funds tie compensation directly to impact, and most retain traditional financial incentives. However, funds contract directly on impact in other ways and adjust aspects of the contracts such as governance. In the cross...
-
作者：Hasbrouck, Joel; Levich, Richard M.
作者单位：New York University
摘要：We construct the network, centrality measures, and attributions of trading profits for a sample of CLS Bank settlement data that spans diverse currency pairs, participants, and execution platforms. We define an average centrality differential as the return to the more-central counterparty in the trade. Estimates imply that the more-central counterparty receives a higher return, and that this differential increases as the counterparties' centralities diverge. These two results are consistent wi...
-
作者：Dixon, Peter N.; Fox, Corbin A.; Kelley, Eric K.
作者单位：U.S. Securities & Exchange Commission (SEC); James Madison University; University of Tennessee System; University of Tennessee Knoxville
摘要：In a standard stock loan, the borrower reimburses the lender any dividends paid while the loan is outstanding. Since these substitute dividends may be taxed differently than dividend payments themselves, some investors have incentives to either remove their shares from lendable supply-if they pay high taxes on substitute dividends-or lend out their shares to arbitrageurs-if they pay high taxes on dividends. Consistent with these incentives, we find a significant tightening of the equity lendin...
-
作者：Neuhierl, Andreas; Varneskov, Rasmus T.
作者单位：Washington University (WUSTL); Copenhagen Business School; CREATES; Danish Finance Institute
摘要：We provide a model-free framework for studying the dynamics of the state vector and its risk prices. Specifically, we derive a frequency domain decomposition of the unconditional asset return premium in a general setting with a log-affine stochastic discount factor (SDF). Importantly, we show that the cospectrum between returns and the SDF only displays frequency dependencies through the state vector and that its dynamics and risk prices can be inferred from covariances between asset (portfoli...
-
作者：Hoffmann, Florian; Pfeil, Sebastian
作者单位：KU Leuven; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study non-contractible intangible investment in a dynamic agency model with mul-titasking. The manager's short-term task determines current performance, which deteri-orates with investment in the firm's future profitability, his long-term task. The optimal contract dynamically balances incentives for short-and long-term performance. Invest-ment is distorted upwards (downwards) relative to first-best in firms with high (low) re-turns to investment. These distortions decrease as good performa...
-
作者：Ge, Shan; Weisbach, Michael S.
作者单位：New York University; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which detailed portfolio data are available, and can face financial shocks from exogenous weather events which help us establish causality. Among corporate bonds, for which we can control for regulatory treatmen...
-
作者：Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier
作者单位：University of Geneva; Hautes Etudes Commerciales (HEC) Paris
摘要：We propose an estimation methodology tailored for large unbalanced panels of individual stock returns to study the factor structure and expected returns in international stock markets. We show that the local market is necessary to capture the factor structure in both developed and emerging markets. Neither the presence of multiple world or regional risk factors, systematic currency risk factors, nor a country-specific currency subsumes the importance of the local market factor. All factors, in...
-
作者：Cosemans, Mathijs; Frehen, Rik
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tilburg University
摘要：We present evidence on the asset pricing implications of salience theory. In our model, investors overweight salient past returns when forming expectations about future returns. Consequently, investors are attracted to stocks with salient upsides, which are overvalued and earn low subsequent returns. Conversely, stocks with salient downsides are undervalued and yield high future returns. We find empirical support for these predictions in the cross section of US stocks. The salience effect is s...
-
作者：Croce, M.; Thien T Nguyen; Raymond, S.
作者单位：Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; University System of Ohio; Ohio State University; University of North Carolina; University of North Carolina Chapel Hill
摘要：When government debt is sluggish, consumption exhibits lower expected growth, more long-run uncertainty, and more long-run downside risk. Simultaneously, the risk premium on the consumption claim (Koijen et al. 2010;Lustig et al. 2013) increases and features more positive (adverse) skewness. We rationalize these findings in an endogenous growth model in which fiscal policy is distortionary, the value of innovation depends on fiscal risk, and the representative agent is sensitive to the resulti...
-
作者：Barroso, Pedro; Boons, Martijn; Karehnke, Paul
作者单位：University of New South Wales Sydney; Universidade Nova de Lisboa; Tilburg University; heSam Universite; ESCP Business School
摘要：We find that the relation between state variables, such as the t-bill rate and term spread, and consumption growth is time-varying. In the cross-section of U.S. stocks, risk premia for exposure to state variables vary over time accordingly. When a state variable predicts consumption strongly relative to its own history, its annualized risk premium increases by 6% (0.4 in Sharpe ratio). This effect implies that risk premia can switch signs and are increasing in the conditional variance of the s...
