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作者：Biermann, Marcus; Huber, Kilian
作者单位：University of Bielefeld; University of Chicago; University of Chicago
摘要：We show that multinational firms transmit shocks across countries through their internal capital markets. We study a credit supply shock to parent firms in Germany. International affiliates outside Germany supported their parents through internal lending, became financially constrained themselves, and experienced lower real growth. We find that managers were Darwinist with respect to international affiliates but Socialist in the home country, that internal capital markets transmitted the credi...
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作者：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Yale University; Centre for Economic Policy Research - UK
摘要：We analyze optimal monetary policy and its implications for asset prices when aggregate demand has inertia. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (above their steady-state levels consistent with current potential output). Overshooting leads to a temporary disconnect between the performance of financial markets and the real economy, but accelerates the recovery. When there is a lower bound constraint on the discount rate, good macroecono...
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作者：Malmendier, Ulrike; Wellsjo, Alexandra Steiny
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California San Diego
摘要：We show that past inflation experiences strongly predict homeownership within and across countries. First, we collect novel survey data, which reveal inflation protection to be a key motivation for homeownership, especially after high inflation experiences. Second, using household data from 22 European countries, we find that higher exposure to historical inflation predicts higher homeownership rates. We estimate similar associations among immigrants to the United States who experienced differ...
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作者：van Binsbergen, Jules; Han, Jungsuk; Ruan, Hongxun; Xing, Ran
作者单位：University of Pennsylvania; Seoul National University (SNU); Peking University; Stockholm University; Aarhus University; Stockholm University
摘要：We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first...
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作者：Bonaime, Alice; Wang, Ye (emma)
作者单位：University of Arizona; Stevens Institute of Technology
摘要：Using novel data from the pharmaceutical industry, we study product prices and innovation around mergers. Exploiting within-deal variation in product market consolidation, we show that prices increase more for drugs in consolidating markets than for matched control drugs. Estimates indicate a 2% average price effect that persists for about one year. Price increases expand with acquirer-target product similarity and are more pronounced within less competitive product markets with fewer players ...
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作者：Catherine, Sylvain; Sodini, Paolo; Zhang, Yapei
作者单位：University of Pennsylvania; Stockholm School of Economics; ShanghaiTech University; ShanghaiTech University
摘要：Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hed...
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作者：Fournier, Mathieu; Jacobs, Kris; Orlowski, Piotr
作者单位：University of Houston System; University of Houston; Universite de Montreal; HEC Montreal; University of New South Wales Sydney
摘要：We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure s...
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作者：Daley, Brendan; Geelen, Thomas; Green, Brett
作者单位：Johns Hopkins University; Copenhagen Business School; Washington University (WUSTL); Copenhagen Business School
摘要：We propose a model of due diligence and analyze its effect on prices, payoffs, and deal completion. In our model, if the seller accepts an offer, the winning bidder (or acquirer) can gather information and chooses when to complete the transaction. In equilibrium, the acquirer engages in too much due diligence. Our quantitative results suggest that the magnitude of the distortion is economically significant. Nevertheless, allowing for due diligence can improve both total surplus and the seller'...
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作者：Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; Song, Dongho
作者单位：McGill University; University of California System; University of California Los Angeles; University of Southern California; Johns Hopkins University; McGill University
摘要：We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates risk-based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long-term CIP ...
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作者：Gargano, Antonio; Rossi, Alberto G.
作者单位：University of Houston System; University of Houston; Georgetown University; University of Houston System; University of Houston
摘要：We study the effectiveness of saving goals in increasing individuals' savings using data from a Fintech app. Using a difference-in-differences identification strategy that randomly assigns users into a group of beta testers who can set goals and a group of users who cannot, we find that setting goals increases individuals' savings rate. The increased savings within the app do not reduce savings outside the app. Moreover, goal setting helps those individuals previously identified as having the ...
