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作者：Lettau, Martin; Maggiori, Matteo; Weber, Michael
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Harvard University; University of Chicago
摘要：The downside risk capital asset pricing model (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CAPM can jointly rationalize the cross section of equity, equity index options, ...
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作者：Nyborg, Kjell G.; Oestberg, Per
作者单位：University of Zurich; University of Geneva; Center for Economic & Policy Research (CEPR)
摘要：We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the market for liquidity leads banks to engage in what we term liquidity pull-back, which involves selling financial assets either by banks directly or by levered investors. Empirical tests on the stock market are supportive. Tighter interbank markets are associated with relatively more volume in more liquid stocks;...
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作者：Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen
作者单位：Brandeis University; University of California System; University of California San Diego; Centre for Economic Policy Research - UK; CREATES
摘要：We propose a new approach to imposing economic constraints on time series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two types of constraints: non-negative equity premia and bounds on the conditional Sharpe ratio, the latter of which incorporates time-varying volatility in the predictive regression framework. Em...
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作者：Johnson, Timothy C.; Lee, Jaehoon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of New South Wales Sydney
摘要：Some important puzzles in macro finance can be resolved in a model featuring systematically varying volatility of unpriced shocks to firms' earnings. In the data, the correlation between corporate debt and stock market valuations is low. The model accounts for this via the opposing effect of unpriced earnings risk on levered debt and equity prices. The model also explains the low (or nonexistent) risk-reward relation for the market portfolio of levered equity via the opposing effects of unpric...
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作者：Yermack, David
作者单位：New York University; National Bureau of Economic Research
摘要：This paper shows connections between chief executive officers' (CEOs') absences from headquarters and corporate news disclosures. I identify CEO absences by merging records of corporate jet flights and CEOs' property ownership near leisure destinations. CEOs travel to their vacation homes just after companies report favorable news, and CEOs return to headquarters right before subsequent news releases. When CEOs are away, companies announce less news, mandatory disclosures occur later, and stoc...
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作者：Hasan, Iftekhar; Hoi, Chun Keung (Stan); Wu, Qiang; Zhang, Hao
作者单位：Fordham University; Bank of Finland; Rochester Institute of Technology; Rensselaer Polytechnic Institute
摘要：We find that firms with greater tax avoidance incur higher spreads when obtaining bank loans. This finding is robust in a battery of sensitivity analyses and in two quasi-experimental settings including the implementation of Financial Accounting Standards Board Interpretation No. 48 and the revelation of past tax sheltering activity. Firms with greater tax avoidance also incur more stringent nonprice loan terms, incur higher at-issue bond spreads, and prefer bank loans over public bonds when o...
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作者：Fang, Jieyan; Kempf, Alexander; Trapp, Monika
作者单位：University of Mannheim; University of Cologne; University of Cologne
摘要：We show that fund families allocate their most skilled managers to market segments in which manager skill is rewarded best. In efficient markets, even skilled managers cannot generate excess returns. In less efficient markets, skilled managers can exploit inefficiencies and generate higher performance than unskilled managers. Fund families seem to be aware of the relation between skill, efficiency, and performance, and allocate more skilled managers to inefficient markets. They pursue this str...
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作者：Carlin, Bruce I.; Longstaff, Francis A.; Matoba, Kyle
作者单位：University of California System; University of California Los Angeles
摘要：How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage dealers about prepayment speeds. We examine how disagreement evolves over time and study its effects on expected returns, return volatility, ...
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作者：Ouimet, Paige; Zarutskie, Rebecca
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Young firms disproportionately employ and hire young workers. On average, young employees in young firms earn higher wages than young employees in older firms. Young employees disproportionately join young firms with greater innovation potential and that exhibit higher growth, conditional on survival. We argue that the skills, risk tolerance, and joint dynamics of young workers contribute to their disproportionate share of employment in young firms. Moreover, an increase in the supply of young...
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作者：Hu, Jianfeng
作者单位：Singapore Management University
摘要：After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance into an imbalance induced by option transactions and an imbalance independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the cross sect...
