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作者：Pohl, Walter; Schmedders, Karl; Wilms, Ole
作者单位：Norwegian School of Economics (NHH); International Institute for Management Development (IMD); Tilburg University
摘要：This paper shows that belief differences have strong effects on asset prices in consumption-based asset-pricing models with long-run risks. Belief heterogeneity leads to time-varying consumption and wealth shares of the agents. This time variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the volatility of the price-dividend ratio, the predictability of cash flows and re-turns, and the large predictability of returns in re...
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作者：Goncalves, Andrei S.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：Stocks of firms with cash flows concentrated in the short term (i.e., short duration stocks) pay a large premium over long duration stocks. I empirically demonstrate that this premium (i) is long-lived and strong even among large firms, (ii) subsumes the value and profitability premia, and (iii) exposes investors to variation in expected returns, especially in times when the premium is high. These facts are consistent with an intertemporal model in which the marginal (long-term) investor disli...
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作者：Gurun, Umit G.; Stoffman, Noah; Yonker, Scott E.
作者单位：University of Texas System; University of Texas Dallas; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Cornell University
摘要：We investigate the importance of client relationships in the financial advisory industry. We exploit firm-level variation in adoption of the Broker Protocol, which enabled clients to follow their advisers to member firms without fear of litigation. We show that advisers' ability to maintain client relationships is a significant predictor of their employment decisions; that about 40% of client assets follow advisers when they move; and that once clients are unlocked, firms become less willing t...
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作者：Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; Whelan, Paul
作者单位：Stanford University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Boston University; Boston University; University of Warwick; Copenhagen Business School
摘要：In this paper, we argue that monetary policy in the form of central bank communication can shape long-term interest rates by changing risk premia. Using high-frequency movements of default-free rates and equity, we show that monetary policy communications by the European Central Bank on regular announcement days led to a significant yield spread between peripheral and core countries during the European sovereign debt crisis by increasing credit risk premia. We also show that central bank commu...
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作者：Bond, Philip; Dow, James
作者单位：University of Washington; University of Washington Seattle; University of London; London Business School
摘要：Do more talented traders prefer to bet on and against rare events or common events? Bets on rare events include out of the money options. Bets against rare events include the carry trade and investment grade bonds. In a model where traders specialize, equilibrium pricing reflects trading ability: A market with more skilled traders has a larger bid ask spread. We show that lower skill traders bet on and against rare events, while higher skill traders bet on and against frequent events, leading ...
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作者：Goodman, Sarena; Isen, Adam; Yannelis, Constantine
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; United States Department of the Treasury; University of Chicago; National Bureau of Economic Research
摘要：The federal government encourages human capital investment through lending and grant programs, but resources from these programs may also finance non-education activities for liquidity-constrained students. To explore this possibility, we use administrative data for federal student borrowers linked to tax records and a sharp discontinuity generated by the timing of a student's 24th birthday, which induces a jump in federal support. We es-timate a corresponding increase in homeownership, with l...
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作者：Livdan, Dmitry; Nezlobin, Alexander
作者单位：University of California System; University of California Berkeley; University of London; London School Economics & Political Science
摘要：This paper extends the Q-theory of investment to capital goods with arbitrary efficiency profiles. When efficiency is non-geometric, the firm's capital stock and the replacement cost of its assets are fundamentally different aggregates of the firm's investment history. If capital goods have constant efficiency over a finite useful life, simple proxies are readily available for both the replacement cost of assets in place and capital stock. Under this assumption, we decompose the total investme...
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作者：Sharifkhani, Ali; Simutin, Mikhail
作者单位：Northeastern University; University of Toronto
摘要：Industries are economically linked through customer-supplier trade flows. We show that industry shocks propagating along this intersectoral trade network can feed back to the originating industry, causing an echo-intermediate-term autocorrelation in returns. Adopting techniques from graph theory, we find that the strength of the trade network feedback is a crucial determinant of the echo effect in industry returns. Returns of the echo strategy implemented within high-feedback strength industri...
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作者：Chen, Hui; Xu, Yu; Yang, Jun
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Delaware; Bank of Canada
摘要：We document several facts about corporate debt maturity: (1) debt maturity is pro-cyclical, (2) higher-beta firms tend to have longer maturity, and (3) shorter maturity amplifies the sensitivity of credit spreads to aggregate shocks. We present a dynamic capital structure model that explains these facts. In the model, leverage and maturity choices are interdependent, which reflect the tradeoffs of liquidity discounts of long-term debt, repayment risks of short-term debt, and the benefit of sho...
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作者：Bansal, Ravi; Miller, Shane; Song, Dongho; Yaron, Amir
作者单位：Duke University; National Bureau of Economic Research; Duke University; University of Michigan System; University of Michigan; Johns Hopkins University; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel
摘要：We estimate a regime-switching model for the equity term structure with Bayesian methods. Our approach accounts for the data sample being unrepresentative of the population distribution of regimes. We find that (i) the term structure of expected equity dividend strip returns is downward sloping in recessions and upward sloping in expansions, and (ii ) the unconditional term structure of expected equity returns is positively sloped. Our estimation shows that the sample unrepresentativeness indu...
