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作者：Shi, Zhan
作者单位：Tsinghua University
摘要：This paper studies the effects of time-varying Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy. Specifically, it considers a general equilibrium model where an ambiguity-averse agent applies a discount rate that is adjusted not only for the current magnitude of ambiguity but also for the risk associated with its future fluctuations. As such, both the ambiguity level and volatility help to raise the asset premiums and accommodate richer dynamics of asset prices. B...
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作者：Martin, Ian W. R.; Ross, Stephen A.
作者单位：University of London; London School Economics & Political Science; Massachusetts Institute of Technology (MIT)
摘要：We study the properties of the yield curve under the assumptions that (i) the fixed income market is complete and (ii) the state vector that drives interest rates follows a finite discrete-time Markov chain. We focus in particular on the relationship between the behavior of the long end of the yield curve and the recovered time discount factor and marginal utilities of a pseudo-representative agent; and on the relationship between the trappedness of an economy and the convergence of yields at ...
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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...
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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...
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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...
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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...
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作者：Scanlon, Paul
作者单位：Trinity College Dublin
摘要：I extend the consumption capital asset pricing model to incorporate expanding product variety over time and states of nature. In the model, consumers have a love of variety, and consumption consists of different components: product groups and brands. By raising future marginal utility, growth in product groups increases the incentive to save and reduces the risk-free rate. By making marginal utility more volatile, variation in brand and quality growth magnifies consumption risk and raises the ...
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作者：Li, Gang; Zhang, Chu
作者单位：Hong Kong Polytechnic University; Hong Kong University of Science & Technology
摘要：We derive a model with qualitative implications for options pricing under counterparty credit risk and provide empirical evidence using the data from the Hong Kong derivatives market during 2005-2014. We find that the log-price difference between a derivative warrant with counterparty credit risk and an otherwise identical option without counterparty credit risk is significantly and negatively associated with the credit default swap spread on the warrant issuer. We also find that the prices of...
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作者：Antoni, Manfred; Maug, Ernst; Obernberger, Stefan
作者单位：University of Mannheim; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We study the human capital effects of private equity buyouts in Germany. We conduct matched-sample difference-in-differences estimations at the establishment and at the individual employee level with more than 152 thousand buyout employees and a carefully matched control group. Buyouts are followed by a reduction in overall employment and an increase in employee turnover. Employees of buyout targets experience earnings declines equivalent to 2.8% of median earnings in the fifth year after the ...
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作者：Bernstein, Shai; Colonnelli, Emanuele; Giroud, Xavier; Iverson, Benjamin
作者单位：Stanford University; National Bureau of Economic Research; University of Chicago; Columbia University; Centre for Economic Policy Research - UK; Brigham Young University
摘要：How do different bankruptcy approaches affect the local economy? Using US Census microdata, we explore the spillover effects of reorganization and liquidation on geographically proximate firms. We exploit the random assignment of bankruptcy judges as a source of exogenous variation in the probability of liquidation. We find that employment declines substantially in the immediate neighborhood of the liquidated establishments, relative to reorganized establishments. The spillover effects are hig...
