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作者：Berrada, Tony; Detemple, Jerome; Rindisbacher, Marcel
作者单位：University of Geneva; Boston University
摘要：This paper studies equilibrium in a pure exchange economy with unobservable Markov switching growth regimes and beliefs-dependent risk aversion (BDRA). Risk aversion is stochastic and depends nonlinearly on consumption and beliefs. Equilibrium is obtained in closed form. The market price of risk, the interest rate, and the stock return volatility acquire new components tied to fluctuations in beliefs. A three-regime specification is estimated using the generalized method of moments (GMM). Mode...
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作者：Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper investigates whether consumer opinions convey value-relevant information to financial markets. Using a data set of more than 14.5 million customer product reviews on Amazon.com from 2004 through 2015, I find evidence that consumer opinions contain information for stock pricing. A spread portfolio that is long on stocks with high abnormal customer ratings and short on stocks with low abnormal customer ratings delivers an abnormal return of around 55.7 to 73.0 basis points per month. ...
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作者：Bernile, Gennaro; Bhagwat, Vineet; Yonker, Scott
作者单位：University of Miami; George Washington University; Cornell University
摘要：We examine the effects of diversity in the board of directors on corporate policies and risk. Using a multidimensional measure, we find that greater board diversity leads to lower volatility and better performance. The lower risk levels are largely due to diverse boards adopting more persistent and less risky financial policies. However, consistent with diversity fostering more efficient (real) risk-taking, firms with greater board diversity also invest persistently more in research and develo...
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作者：Aldatmaz, Serdar; Ouimet, Paige; Van Wesep, Edward D.
作者单位：George Mason University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of Colorado System; University of Colorado Boulder
摘要：We show that in the years following a large broad-based employee stock option (BBSO) grant, employee turnover falls at the granting firm. We find evidence consistent with a causal relation by exploiting unexpected changes in the value of unvested options. A large fraction of the reduction in turnover appears to be temporary with turnover increasing in the third year following the year of the adoption of the BBSO plan. The increase three years post-grant is equal in magnitude to the cumulative ...
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作者：Frydman, Carola; Papanikolaou, Dimitris
作者单位：Northwestern University; National Bureau of Economic Research
摘要：We develop a general equilibrium model that delivers realistic fluctuations in pay inequality as a result of changes in the technology frontier. In our model, executives add value to the firm not only by participating in production decisions, as do other workers in the economy, but also by identifying new investment opportunities. Improvements in technology that are specific to new vintages of capital raise the return to managers' skills for discovering new growth projects and, thus, increase ...
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作者：Zhu, Min
作者单位：University of Queensland; Queensland University of Technology (QUT)
摘要：This paper considers the nature of returns to scale in active management following Pastor et al. (2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced empirical strategy, we find a significant negative impact of fund size on performance. This empirical evidence indicates that fund alpha and fund size are not independent entities. Consequently, skill, rather than being measured by the fund alpha, should be measured by the value that a fund extracts from capital...
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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：Centre for Economic Policy Research - UK; Northwestern University; National Bureau of Economic Research; University of Chicago
摘要：Exploiting portfolio data and repeated surveys of an Italian bank's clients, we test whether investors' risk aversion increases following the 2008 crisis. We find that, after the crisis, both qualitative and quantitative measures of risk aversion increase substantially and that affected individuals divest more stock. We investigate four explanations: changes in wealth, expected income, perceived probabilities, and emotion-based changes of the utility function. Our data are inconsistent with th...
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作者：Campbell, John Y.; Giglio, Stefano; Polk, Christopher; Turley, Robert
作者单位：Harvard University; National Bureau of Economic Research; Yale University; University of London; London School Economics & Political Science
摘要：This paper studies the pricing of volatility risk using the first-order conditions of a longterm equity investor who is content to hold the aggregate equity market instead of over weighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present nov...
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作者：Neuhann, Daniel; Saidi, Farzad
作者单位：University of Texas System; University of Texas Austin; Swedish House of Finance; Stockholm School of Economics
摘要：Using variation in bank scope generated by the stepwise repeal of the Glass-Steagall Act in the US, we show that the deregulation of universal banks allowed them to finance firms with 14% higher volatility. This increase in risk is compensated by lasting improvements in firms' total factor productivity of 3%. Using bank scope-expanding mergers to identify shocks to universal banks' private information about borrower firms, we provide evidence that informational economies of scope across loans ...
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作者：D'Acunto, Francesco; Liu, Ryan; Pflueger, Carolin; Weber, Michael
作者单位：Boston College; University of British Columbia; University of Chicago; National Bureau of Economic Research
摘要：The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most flexible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital structure. Sticky-price firms increased leverage more than flexible price firms following the staggered implementation of bank deregulation across states and over time, which we use in a difference-in-dif...
