-
作者：Chabakauri, Georgy; Han, Brandon Yueyang
作者单位：University of London; London School Economics & Political Science; University System of Maryland; University of Maryland College Park
摘要：We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and beliefs. We show that these constraints inflate stock prices and generate spikes and crashes in price-dividend ratios and volatilities, clustering of volatilities, and leverage cycles. They also lead to substantial decreases in interest rates and increases in Sharpe ratios when investors are anxious about hitting constraints due to production cr...
-
作者：Carlson, Mark; Macchiavelli, Marco
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：During the 2008 financial crisis, the Federal Reserve established two emergency facilities for broker-dealers: one provided collateralized loans; the other, collateral upgrades. These facilities alleviated dealers' funding pressures when access to repos backed by illiquid collateral deteriorated. The ability to upgrade collateral allowed dealers to continue funding their own illiquid inventories (avoiding potential firesales) and to provide better bond market liquidity. It also helped sustain ...
-
作者：Na, Ke
作者单位：University of Hong Kong
摘要：This paper examines the effect of CEOs' outside opportunities on the use of relative performance evaluation (RPE) in CEO compensation. My tests exploit the staggered rejection of the Inevitable Disclosure Doctrine (IDD) by US state courts as an exogenous increase in CEOs' outside opportunities. I find that the rejection of the IDD leads to a significant increase in the sensitivity of CEO pay to systematic performance (less RPE). This increase is more pronounced for CEOs with greater labor mark...
-
作者：Gao, Ming; Liu, Yu-Jane; Shi, Yushui
作者单位：Peking University; Peking University; University of California System; University of California Irvine
摘要：Past studies typically have focused on whether people perceive more rare risk after experiencing catastrophic disasters. We show that people can also feel less risk with unexpected lucky disaster experience. By exploring a novel identification strategy based on households' expectations, we find that households perceive less (more) risk when they experience disasters that have lower (higher) fatalities than what was expected. This opposite experience effect of rare disasters is substantial. A o...
-
作者：Bernhardt, Dan; Koufopoulos, Kostas; Trigilia, Giulio
作者单位：University of York - UK; University of Rochester
摘要：We show that in the limited-commitment framework of Donaldson et al. (2019), firm value always increases in the fraction of cash flows that can be pledged as collateral. That is, pledgeability increases investment efficiency and relaxes a firm's financing constraint. We derive this conclusion using the same contracts considered by the authors and generalize the result to an arbitrary number of states. We also show that the first best can always be implemented by a nonstate-contingent secured d...
-
作者：Asness, Cliff; Frazzini, Andrea; Gormsen, Niels Joachim; Pedersen, Lasse Heje
作者单位：University of Chicago; Copenhagen Business School; Centre for Economic Policy Research - UK
摘要：We test whether the low-risk effect is driven by leverage constraints and, thus, risk should be measured using beta versus behavioral effects and, thus, risk should be measured by idiosyncratic risk. Beta depends on volatility and correlation, with only volatility related to idiosyncratic risk. We introduce a new betting against correlation (BAC) factor that is particularly suited to differentiate between leverage constraints and behavioral explanations. BAC produces strong performance in the ...
-
作者：Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu
作者单位：Singapore Management University; Singapore Management University; Washington University (WUSTL)
摘要：Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and nonparametric bootstraps. From an investment perspective, t...
-
作者：Kimball, Miles S.; Shapiro, Matthew D.; Shumway, Tyler; Zhang, Jing
作者单位：University of Colorado System; University of Colorado Boulder; University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
摘要：This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends on the distribution of wealth, and an intertemporal hedging effect. After a negative macroeconomic shock, relatively risk-tolerant investors sell risky assets, while more risk-averse investors buy them. ...
-
作者：Hendershott, Terrence; Livdan, Dmitry; Rosch, Dominik
作者单位：University of California System; University of California Berkeley; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：The capital asset pricing model (CAPM) performs poorly overall, as market risk (beta) is weakly related to 24-h returns. This is because stock prices behave very differently with respect to their sensitivity to beta when markets are open for trading versus when they are closed. Stock returns are positively related to beta overnight, whereas returns are negatively related to beta during the trading day. These day-night relations hold for beta-sorted portfolios and individual stocks in the US an...
-
作者：Graham, John R.; Kim, Hyunseob; Leary, Mark
作者单位：Duke University; National Bureau of Economic Research; Cornell University; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We examine CEO-board dynamics using a new panel dataset that spans 1920 to 2011. The long sample allows us to perform within-firm and within-CEO tests over a long horizon, many for the first time in the governance literature. Consistent with theories of bargaining or dynamic contracting, we find board independence increases at CEO turnover and falls with CEO tenure, with the decline stronger following superior performance. CEOs are also more likely to be appointed board chair as tenure increas...
