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作者：Colacito, Riccardo; Riddiough, Steven J.; Sarno, Lucio
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University of Melbourne; University of Cambridge; Centre for Economic Policy Research - UK
摘要：We find a strong link between currency excess returns and the relative strength of the business cycle. Buying currencies of strong economies and selling currencies of weak economies generates high returns both in the cross-section and time series of countries. These returns stem primarily from spot exchange rate predictability, are uncorrelated with common currency investment strategies, and cannot be understood using traditional currency risk factors in either unconditional or conditional ass...
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作者：Eisenthal-Berkovitz, Yael; Feldhutter, Peter; Vig, Vikrant
作者单位：Reichman University; Copenhagen Business School; University of London; London Business School
摘要：Recent decades have witnessed several waves of buyout activity. We find leveraged buyouts (LBOs) to be a significant concern for bondholders by showing that a) intra-industry credit spreads increase upon an LBO announcement, b) yields on bonds without event risk covenants are, on average, 21 basis points higher than those on same-firm bonds with such covenants, and c) structural models calibrated to historical LBO events imply an impact of 18-21 basis points on 10-year credit spreads. The impa...
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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; Center for Economic & Policy Research (CEPR); National Bank of Slovakia
摘要：We study tradeoffs among active mutual funds' characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio's holdings but also on the portfolio's diversification. We also confirm other model-predicted tradeoffs. Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure ...
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作者：Liu, Bibo; Wang, Huijun; Yu, Jianfeng; Zhao, Shen
作者单位：Tsinghua University; University of Melbourne; Auburn University System; Auburn University; The Chinese University of Hong Kong, Shenzhen
摘要：Investor preferences for holding speculative assets are likely to be more pronounced ahead of firms' earnings announcements, probably because of lower inventory costs and immediate payoffs or because of enhanced investor attention. We show that the demand for lottery-like stocks is stronger ahead of earnings announcements, leading to a price runup for these stocks. In sharp contrast to the standard underperformance of lottery-like stocks, lottery-like stocks outperform non-lottery stocks by ab...
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作者：Carletti, Elena; Marquez, Robert; Petriconi, Silvio
作者单位：Bocconi University; University of California System; University of California Davis; Bocconi University
摘要：We present a general equilibrium model of banks' optimal capital structure where bankruptcy is costly and investors have heterogeneous endowments and incur a cost for participating in equity markets. We show that, besides its social benefits, capital regulation benefits bank shareholders when it resolves fire sales externalities but not when it acts as a tax on bank profits such as when used to control excessive leverage induced by deposit insurance. Furthermore, capital regulation widens the ...
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作者：Luck, Stephan; Zimmermann, Tom
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Cologne
摘要：This paper investigates employment effects of the Federal Reserve's quantitative easing policies (QE) via a bank lending channel. We find that banks with higher mortgage-backed securities holdings refinanced relatively more mortgages after the first round of QE, which increased local consumption and employment in the nontradable goods sector. In contrast, banks increased lending to firms and home purchase mortgage origination after the third round of QE, which led to a sizable increase in over...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.
作者单位：University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We find that Treasury floating rate notes (FRNs) trade at a significant premium relative to the prices of Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and is correlated with measures reflecting investor demand for safe assets. Money market funds are often the primary investors in FRNs, and the FRN premium is related to flows into funds with fixed net asset values, but not to flows into funds with variable net asset values. These results p...
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作者：Riggs, Lynn; Onur, Esen; Reiffen, David; Zhu, Haoxiang
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The Dodd-Frank Act mandates that certain standard over-the-counter (OTC) derivatives must be traded on swap execution facilities (SEFs). Using message-level data, we provide a granular analysis of dealers' and customers' trading behavior on the two largest dealer-to-customer SEFs for index credit default swaps (CDS). On average, a typical customer contacts few dealers when seeking liquidity. A theoretical model shows that the benefit of competition through wider order exposure is mitigated by ...
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作者：Ali, Usman; Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t=9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology momentum factors are insignificant/negative after controlling for CF momentum. Similar results hold in cross-sectional regressions and in developed international markets. Sell-side analysts incorporate new...
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作者：Carapella, Francesca; Monnet, Cyril
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Study Center Gerzensee; Bank for International Settlements (BIS); University of Bern
摘要：We develop a parsimonious model to study the effect of regulations aimed at reducing counterparty risk on the structure of over-the-counter securities markets. We find that such regulations promote entry of dealers, thus fostering competition and lowering spreads. Greater competition, however, has an indirect negative effect on market-making profitability. General equilibrium effects imply that more competition can distort incentives of all dealers to invest in efficient technologies ex ante a...
