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作者：Polkovnichenko, Valery; Zhao, Feng
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Texas System; University of Texas Dallas
摘要：The empirical pricing kernels estimated from index options are non-monotone (Rosenberg and Engle, 2002; Bakshi, Madan, and Panayotov, 2010) and the corresponding risk-aversion functions can be negative (Nit-Sahalia and Lo, 2000; Jackwerth, 2000). We show theoretically that these and several other properties of empirical pricing kernels are consistent with rank-dependent utility model with probability weighting function, which overweights tail events. We also estimate the pricing kernels nonpar...
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作者：Kitsul, Yuriy; Wright, Jonathan H.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Johns Hopkins University
摘要：Recently a market in options based on consumer price index inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these probability density functions respond to news announcements and find that the implied odds of deflation are sensitive to certain macroeconomic news releases. We also estimate empirical pricing kernels using these option prices along with time series models fitted t...
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作者：Hirshleifer, David; Hsu, Po-Hsuan; Li, Dongmei
作者单位：University of California System; University of California Irvine; University of Hong Kong; University of Hong Kong; University of California System; University of California San Diego
摘要：We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited ...
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作者：Bonaparte, Yosef; Kumar, Alok
作者单位：University of British Columbia; University of British Columbia Okanagan; University of Miami
摘要：This paper examines whether political activism increases people's propensity to participate in the stock market. Our key conjecture is that politically active people follow political news more actively, which increases their chance of being exposed to financial news. Consequently, their information gathering costs are likely to be lower and the propensity to participate in the market would be higher. We find support for this hypothesis using multiple micro-level data sets, state-level data fro...
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作者：Morrison, Alan D.; White, Lucy
作者单位：University of Oxford; Harvard University
摘要：Existing studies suggest that systemic crises may arise because banks either hold correlated assets, or are connected by interbank lending. This paper shows that common regulation is also a conduit for interbank contagion. One bank's failure may undermine confidence in the banking regulator's competence, and, hence, in other banks chartered by the same regulator. As a result, depositors withdraw funds from otherwise unconnected banks. The optimal regulatory response to this behavior can be pri...
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作者：He, Jie (Jack); Tian, Xuan
作者单位：University System of Georgia; University of Georgia; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We examine the effects of financial analysts on the real economy in the case of innovation. Our baseline results show that firms covered by a larger number of analysts generate fewer patents and patents with lower impact. To establish causality, we use a difference-indifferences approach that relies on the variation generated by multiple exogenous shocks to analyst coverage, as well as an instrumental variable approach. Our identification strategies suggest a negative causal effect of analyst ...
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作者：Ozmel, Umit; Robinson, David T.; Stuart, Toby E.
作者单位：Purdue University System; Purdue University; Duke University; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：We study the trade-offs that biotech start-ups face in the private equity market when they choose between raising firm-level capital from venture capitalists or project-level capital from strategic alliance partners. Increased alliance activity makes future alliances more likely, but future VC activity less likely. In contrast, venture capital (VC) activity makes both future alliance and future VC activity more likely. Both types of private capital raise the hazard of going public. Acquisition...
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作者：Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian T.; Siegel, Stephan
作者单位：Columbia University; National Bureau of Economic Research; Duke University; University of North Carolina; University of North Carolina Chapel Hill; University of Washington; University of Washington Seattle
摘要：We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on both economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one industry, irrespective of the country, implying narrowing valuation differentials as countries become more integrated. Our analysis of the 1990-2007 period shows that membership in the EU significantly lower...
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作者：Favilukis, Jack
作者单位：University of London; London School Economics & Political Science
摘要：The last 30 years saw substantial increases in wealth inequality and stock market participation, smaller increases in consumption inequality and the fraction of indebted households, a decline in interest rates and the expected equity premium, as well as a prolonged stock market boom. In an incomplete markets, overlapping generations model I jointly explain these trends by the observed rise in wage inequality, decrease in participation costs, and loosening of borrowing constraints. After accoun...
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作者：Gantchev, Nickolay
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper provides benchmarks for monitoring costs and evaluates the net returns to shareholder activism. I model activism as a sequential decision process consisting of demand negotiations, board representation, and proxy contest and estimate the costs of each activism stage. A campaign ending in a proxy fight has average costs of $10.71 million. I find that the estimated monitoring costs reduce activist returns by more than two-thirds. The mean net activist return is close to zero but the t...
