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作者：Demiguel, Victor; Martin-Utrera, Alberto; Uppal, Raman
作者单位：University of London; London Business School; Iowa State University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK
摘要：Moreira and Muir question the existence of a strong risk-return trade-off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out-of-sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out-of-sample and net of costs. Moreover, we show that factor risk ...
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作者：Giglio, Stefano; Kelly, Bryan; Kozak, Serhiy
作者单位：Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University System of Maryland; University of Maryland College Park
摘要：We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios. The novel cross sectio...
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作者：Cho, Thummim; Polk, Christopher
作者单位：Korea University; University of London; London School Economics & Political Science
摘要：We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply our techniques to study the cross-section of price levels relative to the capital asset pricing mode...
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作者：Howell, Sabrina T.; Kuchler, Theresa; Snitkof, David; Stroebel, Johannes; Wong, Jun
作者单位：National Bureau of Economic Research; University of Chicago; New York University
摘要：Process automation reduces racial disparities in credit access by enabling smaller loans, broadening banks' geographic reach, and removing human biases from decision making. We document these findings in the context of the Paycheck Protection Program (PPP), where private lenders faced no credit risk but decided which firms to serve. Black-owned firms obtained PPP loans primarily from automated fintech lenders, especially in areas with high racial animus. After traditional banks automated their...
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作者：Gopalan, Radhakrishnan; Hamilton, Barton H.; Sabat, Jorge; Sovich, David
作者单位：Washington University (WUSTL); University Diego Portales; University of Kentucky; University of Kentucky
摘要：We combine state minimum wage changes with individual-level income and credit data to estimate the effect of wage gains on the debt of low-wage workers. In the three years following a $0.88 minimum wage increase, low-wage workers experience a $2,712 income increase and a $856 decrease in debt. The entire decline in debt comes from less student loan borrowing among enrolled college students. Credit constraints, buffer-stock behavior, and other rational channels cannot explain the reduction in s...
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作者：Brunnermeier, Markus K.
作者单位：Princeton University
摘要：This address reviews macrofinance from the perspective of resilience. It argues for a shift in mindset, away from risk management toward resilience management. It proposes a new resilience measure, and contrasts micro- and macro-resilience. It also classifies macrofinance models in first- (log-linearized) and second-generation models, and links the important themes of macrofinance to resilience.
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作者：Fuster, Andreas; Lo, Stephanie H.; Willen, Paul S.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - Boston; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We introduce a new measure of the price charged by financial intermediaries for connecting mortgage borrowers with capital market investors. Based on administrative lender pricing data, we document that the price of intermediation reacts strongly to variation in demand, reflecting capacity constraints of mortgage originators. This positive comovement of price with quantity reduced the pass-through of quantitative easing. We also find a notable upward trend in this price between 2008 and 2014, ...
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作者：Acharya, Viral v.; Crosignani, Matteo; Eisert, Tim; Eufinger, Christian
作者单位：National Bureau of Economic Research; Centre for Economic Policy Research - UK; Universidade Nova de Lisboa; University of Navarra
摘要：We show that zombie credit-subsidized credit to nonviable firms-has a disinflationary effect. By keeping these firms afloat, zombie credit creates excess aggregate supply, thereby putting downward pressure on prices. Granular European data on inflation, firms, and banks confirm this mechanism. Markets affected by a rise in zombie credit experience lower firm entry and exit, capacity utilization, markups, and inflation, as well as a misallocation of capital and labor, which results in lower pro...
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作者：Dai, Min; Giroud, Xavier; Jiang, Wei; Wang, Neng
摘要：We propose a tractable model of dynamic investment, spinoffs, financing, and risk management for a multidivision firm facing costly external finance. Our analysis formalizes the following insights: (i) Within-firm resource allocation is based not only on divisions' productivity, as in winner-picking models, but also their risk; (ii) firms may voluntarily spin off productive divisions to increase liquidity; (iii) diversification can reduce firm value in low-liquidity states, as it increases the...
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作者：Sialm, Clemens; Zhu, Qifei
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research; Nanyang Technological University
摘要：Investments in international fixed-income securities are exposed to significant currency risks. We collect novel data on currency derivatives used by U.S. international fixed-income funds. We document that while 90% of funds use currency forwards, they hedge, on average, only 18% of their currency exposure. Funds' currency forward positions differ substantially based on risk management demands related to portfolio currency exposure, return-enhancement motives such as currency momentum and carr...
