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作者：Broer, Tobias
作者单位：Stockholm University; Centre for Economic Policy Research - UK
摘要：An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists' demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors valu...
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作者：Jaremski, Matthew
作者单位：Colgate University; National Bureau of Economic Research
摘要：Operating in individual cities, US clearinghouses were the closest thing to a central bank before 1914, but they only assisted banks that chose to join the association. Using an annual bank-level database for seven states between 1880 and 1910, this paper shows that after the entry of a clearinghouse member banks were less likely and nonmember banks in the same city were more likely to close. The results are driven by the fact that the presence of clearinghouses led all banks to become more ex...
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作者：Asness, Clifford; Frazzini, Andrea; Israel, Ronen; Moskowitz, Tobias J.; Pedersen, Lasse H.
作者单位：Yale University; National Bureau of Economic Research; Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
摘要：The size premium has been accused of having a weak historical record, being meager relative to other factors, varying significantly over time, weakening after its discovery, being concentrated among microcap stocks, residing predominantly in January, relying on price based measures, and being weak internationally. We find, however, that these challenges disappear when controlling for the quality, or its inverse, junk, of a firm. A significant size premium emerges, which is stable through time,...
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作者：Badarinza, Cristian; Ramadorai, Tarun
作者单位：National University of Singapore; Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：Identifying the effects of flights to safety on asset prices using pure time-series methods is difficult because crises are infrequent. We develop a new cross-sectional identification approach, motivated by the insight that investors may differ in their preferred habitats within a broad asset class. We apply the method to the question of whether foreign capital is responsible for residential real estate price movements in global cities such as London and New York, especially during crises. Usi...
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作者：Deng, Yongheng; Liu, Xin; Wei, Shang-Jin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Australian National University; Columbia University; Columbia University; National Bureau of Economic Research
摘要：We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges, binding capital controls, and different timing of changes in transaction costs), we obtain a control group that has identical corporate fundamentals as the treatment group. We apply the research design to Chin...
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作者：Gilbert, Thomas; Hrdlicka, Christopher; Kamara, Avraham
作者单位：University of Washington; University of Washington Seattle
摘要：We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism's empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and ...
