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作者：Segal, Gill
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：What is the impact of higher technological volatility on asset prices and macroeconomic aggregates? I find the answer hinges on its sectoral origin. Volatility that originates from the consumption (investment) sector drops (raises) macroeconomic growth rates and stock prices. Moreover, consumption (investment) sector's technological volatility has a positive (negative) market price of risk. I show that a quantitative two-sector DSGE model that features monopolistic power for firms and sticky p...
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作者：Gorbenko, Alexander S.
作者单位：University of Southern California
摘要：Differences among bidder type-specific outcomes of asset sales are theoretically related to differences in bidders' valuations and participation. The lead application to quantify these relations is takeover auctions: bidders are classified into strategic and financial, and bids are available. I structurally estimate valuations from all bids. The positive difference in premiums between strategic and financial acquirers is driven by the difference in dispersions of valuations (e.g., strategic bi...
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作者：Mueller, Holger M.; Yannelis, Constantine
作者单位：New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We examine the rise in student loan defaults in the Great Recession by linking administrative student loan data at the individual borrower level to student loan borrowers' individual tax records. A Blinder-Oaxaca style decomposition shows that shifts in the composition of student loan borrowers and the massive collapse in home prices during the Great Recession can each account for approximately 30% of the rise in student loan defaults. Falling home prices affect student loan defaults by impair...
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作者：Green, T. Clifton; Huang, Ruoyan; Wen, Quan; Zhou, Dexin
作者单位：Emory University; Georgetown University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We find that firms experiencing improvements in crowdsourced employer ratings significantly outperform firms with declines. The return effect is concentrated among reviews from current employees, stronger among early firm reviews, and also stronger when the employee works in the headquarters state. Decomposing employer ratings, we find the return effect is related to changing employee assessments of Career Opportunities and views of senior management. It is unrelated to work-life balance. Empl...
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作者：Costello, Anna M.
作者单位：University of Michigan System; University of Michigan
摘要：Suppliers are subject to the credit risk of their customers when they sell products on credit. However, rights to the collateral value of the products they sell may mitigate some of this risk. This paper demonstrates the important role of laws that support suppliers' rights to reclaim and liquidate collateral. Using a change in the US bankruptcy code that altered the rights of a subset of suppliers, I use a difference-in-differences setting to show that an improvement in suppliers' rights to t...
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作者：Greenwood, Robin; Shleifer, Andrei; You, Yang
作者单位：Harvard University; Harvard University
摘要：We evaluate Eugene F. Fama's claim that stock prices do not exhibit price bubbles. Based on US industry returns (1926-2014) and international sector returns (1985-2014), we present four findings (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash but not of a further price boom; (3) attributes of the price run-up, in...
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作者：Allen, Franklin; Qian, Yiming; Tu, Guoqian; Yu, Frank
作者单位：Imperial College London; University of Iowa; Southwestern University of Finance & Economics - China; China Europe International Business School
摘要：We perform transaction-level analyses of entrusted loans, one of the largest components of shadow banking in China. Entrusted loans involve firms with privileged access to cheap capital channeling funds to less privileged firms, and the increase when credit is tight. Nonaffiliated loans have much higher interest rates than both affiliated loans and official bank loans, and they largely flow into real estate. The pricing of entrusted loans, especially of nonaffiliated loans, incorporates fundam...
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作者：Christensen, Bent Jesper; van der Wel, Michel
作者单位：Aarhus University; Aarhus University; Aarhus University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tinbergen Institute; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premiums and arbitrage opportunities in models with both unobservable factors and factors identified as the innovations to observed macroeconomic variables. Factors can play double roles as both covariance-generating common shocks driving yields and determinants of market prices of risk in cross-sectional pricing. The evidence favors time-varying risk prices significantly related to the sec...
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作者：Bai, Jennie; Goldstein, Robert S.; Yang, Fan
作者单位：Georgetown University; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Connecticut
摘要：Benchmark models that exogenously specify equity dynamics cannot explain the large spread in prices between put options written on individual banks and options written on the bank index during the financial crisis. However, theory requires that asset dynamics be specified exogenously and that endogenously determined equity dynamics exhibit a leverage effect that increases put prices by fattening the left tail of the distribution. The leverage effect is larger for puts on individual stocks than...
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作者：Lou, Dong; Polk, Christopher; Skouras, Spyros
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Athens University of Economics & Business
摘要：We link investor heterogeneity to the persistence of the overnight and intraday components of returns. We document strong overnight and intraday firm-level return continuation along with an offsetting cross-period reversal effect, all of which lasts for years. We look for a similar tug of war in the returns of 14 trading strategies, finding in all cases that profits are either earned entirely overnight (for reversal and a variety of momentum strategies) or entirely intraday, typically with pro...
