-
作者：Kelly, Bryan T.; Pruitt, Seth; Su, Yinan
作者单位：Yale University
摘要：We propose a new modeling approach for the cross section of returns. Our method, Instrumented Principal Component Analysis (IPCA), allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings. If the characteristics/expected return relationship is driven by compensation for exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers that the cha...
-
作者：Schultz, Paul; Song, Zhaogang
作者单位：University of Notre Dame; Johns Hopkins University
摘要：We examine the introduction of mandatory post-trade reporting in the To-Be-Announced mortgage-backed securities market. With post-trade reporting, trading costs fell for institutional investors. Trading costs declined more for investors' trades with peripheral dealers than for their trades with core dealers. Peripheral dealers' market share dropped after the introduction of post-trade reporting, suggesting that opacity was protecting inefficient high-cost dealers. Interdealer trades and volume...
-
作者：Chang, Xin; Chen, Yangyang; Wang, Sarah Qian; Zhang, Kuo; Zhang, Wenrui
作者单位：Nanyang Technological University; Hong Kong Polytechnic University; University of Warwick; Shanghai Jiao Tong University; Chinese University of Hong Kong
摘要：We show that credit default swap (CDS) trading on a firm's debt positively influences its technological innovation output measured by patents and patent citations. This positive effect is more pronounced in firms relying more on debt financing or being more subject to continuous monitoring by lenders prior to CDS trade initiation. Moreover, after CDS trade initiation, firms pursue more risky and original innovations and generate patents with higher economic value. Further analysis suggests tha...
-
作者：Chen, Zhanhui; Yang, Bowen
作者单位：Nanyang Technological University
摘要：Time-preference shocks affect agents' preferences for assets with different durations. We consider longevity risk as a source of time-preference shocks and model it in the recursive preferences setting. This implies a consumption-based three-factor model, including longevity risk, consumption growth rate, and the market portfolio, where longevity has a negative price of risk. Empirically, this model explains many well-known cross-sectional portfolios. Notably, we find that longevity risk and t...
-
作者：Hasler, Michael; Khapko, Mariana; Marfe, Roberto
作者单位：University of Toronto; Collegio Carlo Alberto
摘要：The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and therefore need to be estimated. Strategies that account for the observed timing of equity risk outperform those that do not, particularly so out of sample. Indeed, the mean (median) certainty equivalent r...
-
作者：Brown, Gregory W.; Gredil, Oleg R.; Kaplan, Steven N.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Tulane University; University of Chicago; National Bureau of Economic Research
摘要：Private equity funds hold assets that are hard to value. Managers have incentives to distort reported valuations if these reports are used by investors to decide on commitments to subsequent funds. Using a large dataset of buyout and venture funds, we test for the presence of return manipulations. We find that some underperforming managers inflate reported returns during fundraising. However, those managers are less likely to raise a next fund, suggesting that investors can see through the man...
-
作者：Bai, Hang; Hou, Kewei; Kung, Howard; Li, Erica X. N.; Zhang, Lu
作者单位：University of Connecticut; University System of Ohio; Ohio State University; University of London; London Business School; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：Embedding disasters into a general equilibrium model with heterogeneous firms induces strong nonlinearity in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters and its relative success in samples with disasters. Due to beta measurement errors, the estimated beta-return relation is flat, consistent with the beta anomaly,even though the ...
-
作者：Huang, Xing
作者单位：Washington University (WUSTL)
摘要：This paper examines the effect of prior investment experience in specific industries on subsequent investment decisions. Using households' trading records from a large discount broker between 1991 and 1996, I find that prior success in a given industry increases the likelihood of subsequent purchases in the same industry. The effect is stronger for more recent experiences and for less sophisticated or diversified investors, and it is not wealth enhancing. The results suggest investors categori...
-
作者：Brown, James R.; Cookson, J. Anthony; Heimer, Rawley Z.
作者单位：Iowa State University; University of Colorado System; University of Colorado Boulder; Boston College
摘要：Early life exposure to local financial institutions increases household financial inclusion and leads to long-term improvements in consumer credit outcomes. We identify the effect of local financial markets using Congressional legislation that led to unintended differences in financial market development across Native American reservations. Individuals from financially underdeveloped reservations enter consumer credit markets later, and upon reaching adulthood, have ten point lower credit scor...
-
作者：Dougal, Casey; Gao, Pengjie; Mayew, William J.; Parsons, Christopher A.
作者单位：Drexel University; University of Notre Dame; Duke University; University of Southern California
摘要：Historically black colleges and universities (HBCUs) pay higher underwriting fees to issue tax-exempt bonds, compared with similar non-HBCUs, apparently reflecting higher costs of finding willing buyers. The effect is three times larger in the Deep South, where racial animus remains the most severe. Credit quality plays little role. For example, identical differences are observed between HBCU and non-HBCUs with AAA ratings or when insured by the same company, even before the 2007-2009 financia...
