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作者：Banerjee, Snehal; Breon-drish, Bradyn; Smith, Kevin
作者单位：University of Michigan System; University of Michigan; University of California System; University of California San Diego; Stanford University
摘要：We model the feedback effect of a firm's stock price on investment in projects exposed to a systematic risk factor, like climate risk. The stock price reflects information about both the project's cash flows and its discount rate. A cash-flow-maximizing manager treats discount rate fluctuations as noise, but a price-maximizing manager interprets such variation as information about the project's net present value. This difference qualitatively changes how investment behavior varies with the pro...
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作者：Grubb, Michael D.; Kelly, Darragh; Nieboer, Jeroen; Osborne, Matthew; Shaw, Jonathan
作者单位：Boston College; Alphabet Inc.; Google Incorporated; University of Toronto; University of Toronto; University of London; London School Economics & Political Science
摘要：At-scale field experiments at major U.K. banks show that automatic enrollment into just-in-time text alerts reduces unarranged overdraft and unpaid item charges 17% to 19% and arranged overdraft charges 4% to 8%, implying annual market-wide savings of 170 pound million to 240 pound million. Incremental benefits from early-warning alerts are statistically insignificant, although economically significant effects are not ruled out. Prior to the experiments, over half of overdrafts could have been...
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作者：Laudenbach, Christine; Siegel, Stephan
作者单位：Goethe University Frankfurt; University of Washington; University of Washington Seattle; Leibniz Association; Ifo Institut
摘要：We examine the effect of personal, two-way communication on the payment behavior of delinquent borrowers. Borrowers who speak with a randomly assigned bank agent are significantly more likely to successfully resolve the delinquency relative to borrowers who do not speak with a bank agent. Call characteristics related to the human touch of the call, such as the likeability of the agent's voice, significantly affect payment behavior. Borrowers who speak with a bank agent are also significantly l...
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作者：Hatfield, John william; Kominers, Scott duke; Lowery, Richard
作者单位：University of Texas System; University of Texas Austin; Harvard University; Harvard University
摘要：High commissions in the U.S. residential real estate agency market pose a puzzle for economic theory because brokerage is not a concentrated industry. We model brokered markets as a game in which agents post prices for customers and then choose which other agents to work with. We show that there exists an equilibrium in which each agent conditions working with other agents on those agents' posted prices. Prices can therefore be meaningfully higher than the competitive level (for a fixed discou...
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作者：Amaral, Francisco; Dohmen, Martin; Kohl, Sebastian; Schularick, Moritz
作者单位：University of Zurich; Swiss Finance Institute (SFI); University of Bonn; Free University of Berlin; Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW); Institut d'Etudes Politiques Paris (Sciences Po)
摘要：This paper makes the first comprehensive attempt to study within-country heterogeneity of housing returns. We introduce a new city-level data set covering 15 OECD countries over 150 years and show that national housing markets are characterized by systematic spatial variation in housing returns. Total returns in large agglomerations are close to 100 basis points lower per year than in other parts of the same country. Excess returns outside the large cities can be rationalized as compensation f...
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作者：Zhang, Shaojun
作者单位：University System of Ohio; Ohio State University
摘要：The pricing of carbon transition risk is central to the debate on climate-aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown-minus-green return differential, documented in previous studies arises from forward-looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative...
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作者：Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Short-sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out-of-sample before accounting for short-sale costs, they cannot be exploited with long-short strategies due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long-short portfolio return is a significant 0.14% per month before short-sale costs, and the returns are due to the short leg. However, the average is -0.01% once returns are adjusted for borr...
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作者：Kaplan, Steven N.
作者单位：University of Chicago; University of Chicago; National Bureau of Economic Research
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作者：Ke, Da
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：This paper highlights the simple fact that households typically consist of multiple members who may hold divergent views, a fact that existing approaches to measuring and modeling household macroeconomic expectations largely abstract from. Using unique data on the macroeconomic expectations of both spouses, I document substantial intrahousehold disagreement about inflation, economic recessions, and stock market returns. I further show that household asset allocation decisions are shaped by dis...
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作者：Costain, James; Nuno, Galo; Thomas, Carlos
作者单位：Banco de Espana
摘要：We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which accounts for the asymmetric shifts in euro-area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into expectations, term premium, expected default loss, and credit risk premium components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond holdings. Calibr...
