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作者：Kozak, Serhiy; Nagel, Stefan; Santosh, Shrihari
作者单位：University System of Maryland; University of Maryland College Park; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Colorado System; University of Colorado Boulder
摘要：We construct a robust stochastic discount factor (SDF) summarizing the joint explanatory power of a large number of cross-sectional stock return predictors. Our method achieves robust out-of-sample performance in this high-dimensional setting by imposing an economically motivated prior on SDF coefficients that shrinks contributions of low-variance principal components of the candidate characteristics-based factors. We find that characteristics-sparse SDFs formed from a few such factors-e.g., t...
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作者：Kumar, Nitish; Mullally, Kevin; Ray, Sugata; Tang, Yuehua
作者单位：State University System of Florida; University of Florida; State University System of Florida; University of Central Florida; University of Alabama System; University of Alabama Tuscaloosa
摘要：We show that hedge funds gain an information advantage from their prime broker banks regarding the banks' corporate borrowers. The connected hedge funds make abnormally large trades in the stocks of borrowing firms prior to loan announcements, and these trades outperform other trades. The outperformance is particularly strong for trades of hedge funds that have high revenue potential for prime broker banks. These informed trades appear to be based on information not just about the loan itself ...
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作者：Patton, Andrew J.; Weller, Brian M.
作者单位：Duke University
摘要：Is there a gap between the profitability of a trading strategy on paper and that which is achieved in practice? We answer this question by developing a general technique to measure the real-world implementation costs of financial market anomalies. Our method extends Fama-MacBeth regressions to compare the on-paper returns to factor exposures with those achieved by mutual funds. Unlike existing approaches, ours delivers estimates of all-in implementation costs without relying on parametric micr...
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作者：Gavazzoni, Federico; Santacreu, Ana Maria
作者单位：INSEAD Business School
摘要：We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing and macroeconomic quantity moments, alleviating some of the puzzles highlighted in the international macro-finance literature. Our model predicts that country pairs that share more research and development ...
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作者：Ozdagli, Ali; Velikov, Mihail
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that previous studies link to how stocks react to monetary policy. Our index successfully captures stocks' responses to both conventional and unconventional monetary policy. Stocks whose prices react more positively to expansionary monetary policy (high-MPE stocks) earn lower average returns. This result is consistent with the notion that high-MPE stocks provide a hedge against bad economic s...
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作者：Chava, Sudheer; Danis, Andras; Hsu, Alex
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We analyze the economic and financial impact of right-to-work (RTW) laws in the US. Using data from collective bargaining agreements, we show that there is a decrease in wages for unionized workers after RTW laws. Firms increase investment and employment but reduce financial leverage. Labor-intensive firms experience higher profits and labor-to-asset ratios. Dividends and executive compensation also increase post-RTW. Our results are consistent with a canonical theory of the firm augmented wit...
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作者：Chen, Yong; Kelly, Bryan; Wu, Wei
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Yale University; National Bureau of Economic Research
摘要：We study how sophisticated investors, when faced with shocks to information environ-ment, change their information acquisition and trading behavior, and how these changes in turn affect market efficiency. We find that, after exogenous reductions of analyst coverage due to closures and mergers of brokerage firms, hedge funds scale up information acquisition, trade more aggressively, and earn higher abnormal returns on the affected stocks. The hedge fund participation also mitigates the impairme...
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作者：Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo; Peijnenburg, Kim
作者单位：Universite PSL; Universite Paris-Dauphine; Universite Catholique de Lille; EDHEC Business School; Center for Economic & Policy Research (CEPR)
摘要：This paper explores how mutual fund groups set the price of in-house transactions among affiliated funds. We collect a data set of four million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with external counterparties. While cross-trades should reduce transaction costs for both trading parties, we find that the price of cross-trades is set strategically to reallocate performance among sibling funds. Furthermore, we pr...
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作者：Banerjee, Snehal; Breon-Drish, Bradyn
作者单位：University of California System; University of California San Diego
摘要：We allow a strategic trader to choose when to acquire information about an asset's payoff, instead of endowing her with it. When the trader dynamically controls the precision of a flow of information, the optimal precision evolves stochastically and increases with market liquidity. Because the trader exploits her information gradually, the equilibrium price impact and market uncertainty are unaffected by her rate of acquisition. If she pays a fixed cost to acquire lumpy information at a time o...
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作者：Breach, Tomas; D'Amico, Stefania; Orphanides, Athanasios
作者单位：University of California System; University of California Berkeley; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Massachusetts Institute of Technology (MIT)
摘要：To assess the importance of inflation risk for nominal Treasury yields, a novel quadratic term structure model with time-varying inflation risk is estimated using survey-based inflation uncertainty. The resulting yield decomposition captures very diverse macroeconomic dynamics of inflation and real risk premiums (large and positive during the 1980s but small and negative post-2008) and generates sensible high-frequency estimates of expected inflation and real short rates over a long sample. Th...
