-
作者：Dimmock, Stephen G.; Kouwenberg, Roy; Mitchell, Olivia S.; Peijnenburg, Kim
作者单位：Nanyang Technological University; Mahidol University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Pennsylvania; National Bureau of Economic Research; Bocconi University
摘要：We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, ...
-
作者：Foley-Fisher, Nathan; Ramcharan, Rodney; Yu, Edison
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Southern California; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper investigates the impact of unconventional monetary policy on firm financial constraints using the maturity extension program (MEP). Consistent with bond market segmentation and limits to arbitrage, around the MEP's announcement, stock prices rose for those firms more dependent on longer-term debt. These firms also issued more long-term debt during the MEP and expanded employment and investment. There is also evidence of reach for yield behavior, as the demand for riskier corporate d...
-
作者：Hau, Harald; Lai, Sandy
作者单位：University of Geneva; University of Geneva; University of Hong Kong
摘要：The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its influence on equity and money market flows. In line with a powerful risk-shifting channel, we find that fund investors in countries with decreased real interest rates shift their portfolio investment out of...
-
作者：Avdis, Efstathios
作者单位：University of Alberta
摘要：In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where it acts as noise, in dynamic markets stochastic supply contains information about risk premiums. Acquiring private dividend information helps investors disentangle dividend information from discount-rate information contained in prices. For uninformed investors, however, as more informed investors enter the economy prices become more informative about divide...
-
作者：Daniel, Kent; Moskowitz, Tobias J.
作者单位：Columbia University; National Bureau of Economic Research; Yale University
摘要：Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in panic states, following market declines and when market volatility is high, and are contemporaneous with market rebounds. The low ex ante expected returns in panic states are consistent with a conditionally high premium attached to the option like payoffs of past loser...
-
作者：Han, Yufeng; Zhou, Guofu; Zhu, Yingzi
作者单位：University of North Carolina; University of North Carolina Charlotte; Washington University (WUSTL); Tsinghua University
摘要：In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model. It outperforms substantially the well-known short-term reversal, momentum, and long-term reversal factors, which are based on the three price trends separately, by more than doubling their Sharpe ratios. ...
-
作者：Smith, Jared D.
作者单位：North Carolina State University
摘要：Using US Department of Justice data on local political corruption, I find that firms in more corrupt areas hold less cash and have greater leverage than firms in less corrupt areas. The results are robust to including a range of controls and to using an instrumental variable approach, two alternative survey measures of corruption, and propensity score matching. Further, the association between corruption and leverage is largest among firms that operate primarily around their headquarters. Over...
-
作者：Carr, Peter; Wu, Liuren
作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We develop a new option pricing framework that tightly integrates with how institutional investors manage options positions. The framework starts with the near-term dynamics of the implied volatility surface and derives no-arbitrage constraints on its current shape. Within this framework, we show that just like option implied volatilities, realized and expected volatilities can also be constructed specific to, and different across, option contracts. Applying the new theory to the S&P 500 index...
-
作者：Faulkender, Michael; Smith, Jason M.
作者单位：University System of Maryland; University of Maryland College Park; Utah System of Higher Education; Utah State University
摘要：Empirical research has struggled to show that variation in corporate capital structure arises from variation in estimated corporate income tax rates. We argue that, in previdus studies, both the tax rates applied to multinational corporations and the taxable income earned have been mismeasured. Using the Bureau of Economic Analysis annual survey sample combined with each firm's income and country specific tax rate, we find that firms do have higher leverage ratios and lower interest coverage r...
-
作者：Parlatore, Cecilia
作者单位：New York University
摘要：Money market funds (MMFs), which are crucial to short-term funding markets, rely on voluntary support of fund sponsors to maintain stable share values. I develop a general equilibrium model of MMFs to study how sponsor support affects the industry's fragility and regulation. Adverse asset-quality shocks lead MMFs to liquidate assets. When liquidity in asset markets is limited, asset prices are lower if more funds liquidate. Lower asset prices, in turn, make sponsor support costlier and even mo...
