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作者：Gomes, Joao F.; Yaron, Amir; Zhang, Lu
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Rochester
摘要：We use a production-based asset pricing model to investigate whether financing constraints are quantitatively important for the cross-section of returns. Specifically, we use GMM to explore the stochastic Euler equation imposed on returns by optimal investment. Our methods can identify the impact of financial frictions on the stochastic discount factor with cyclical variations in cost of external funds. We find that financing frictions provide a common factor that improves the pricing of cross...
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作者：Ang, Andrew; Chen, Joseph; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; University of Southern California; Rice University
摘要：Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross section of stock returns reflects a downside risk premium of approximately 6% per annum. Stocks that covary strongly with the market during market declines have high average returns. The reward for beasring downside...
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作者：Lemmon, Michael; Portniaguina, Evgenia
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Utah System of Higher Education; University of Utah
摘要：We explore the time-series relationship between investor sentiment and the small-stock premium using consumer confidence as a measure of investor optimism. We estimate the components of consumer confidence related to economic fundamentals and investor sentiment. After controlling for the time variation of beta, we study the time-series variation of the pricing error with sentiment. Over the last 25 years, investor sentiment measured using consumer confidence forecasts the returns of small stoc...
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作者：Wongswan, Jon
作者单位：Federal Reserve System - USA
摘要：This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, Japan, Korea, and Thailand. Using high-frequency intraday data, I find a large and significant association between developed-economy macroeconomic announcements and emerging-economy equity volatility and trading volume at short time horizons. Previous studies' findings of at most weak...
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作者：Dimitrov, Valentin; Tice, Sheri
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Tulane University
摘要：We study whether differences in access to credit cause focused firms to perform differently from diversified firms in the product market. Prior work has identified binding credit constraints for bank-dependent firms during recessions. We assess whether corporate diversification alleviates these constraints. We find that during recessions sales growth rates drop more for bank-dependent focused firms than for rival segments of bank-dependent diversified firms. We also find that during recessions...
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作者：Desai, Mihir A.; Foley, C. Fritz; Hines, James R., Jr.
作者单位：Harvard University; National Bureau of Economic Research; University of Michigan System; University of Michigan
摘要：This article evaluates the impact of capital controls and their liberalization on the activities of US multinational firms. These firms attempt to circumvent capital controls by reducing reported local profitability and increasing the frequency of dividend repatriations. As a result, the reported profit impact of local capital controls is comparable with the effect of 27% higher corporate tax rates, and affiliates located in countries imposing capital controls are 9.8% more likely than other a...
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作者：Vanden, Joel M.
作者单位：Dartmouth College
摘要：This article shows how the market coskewness model of Rubinstein (1973) and Kraus and Litzenberger (1976) is altered when a nonredundant call option is optimally traded. Owing to the option's nonredundancy, the economy's stochastic discount factor (SDF) depends not only on the market return and the square of the market return but also on the option return, the square of the option return, and the product of the market and option returns. This leads to an asset pricing model in which the expect...
