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作者：Boons, Martijn; Ottonello, Giorgio; Valkanov, Rossen
作者单位：Tilburg University; Universidade Nova de Lisboa; University of California System; University of California San Diego
摘要：The response of corporate bond credit spreads to three exogenous macro shocks-oil supply, investment-specific technology, and government spending-is large, significant, and a mirror image of macroeconomic activity. This countercyclicality is driven largely by credit risk premia and translates into significant return predictability. Equity risk premia exhibit similar responses, providing external validity. Information rigidities and leverage play a key role in the transmission of the shocks. Si...
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作者：Demarzo, Peter M.; Kaniel, Ron
作者单位：Stanford University; National Bureau of Economic Research; University of Rochester; Reichman University; University of Rochester
摘要：We consider multiagent multifirm contracting when agents benchmark their wages to those of their peers, using weights that vary within and across firms. When a single principal commits to a public contract, optimal contracts hedge relative wage risk without sacrificing efficiency. But compensation benchmarking undoes performance benchmarking, causing wages to load positively on peer output, and asymmetries in peer effects can be exploited to enhance profits. With multiple principals, a rat rac...
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作者：Denes, Matthew; Howell, Sabrina T. T.; Mezzanotti, Filippo; Wang, Xinxin; Xu, Ting
作者单位：Carnegie Mellon University; New York University; Northwestern University; University of California System; University of California Los Angeles; University of Toronto
摘要：Angel investor tax credits are used globally to spur high-growth entrepreneurship. Exploiting their staggered implementation in 31 U.S. states, we find that they increase angel investment yet have no significant impact on entrepreneurial activity. Two mechanisms explain these results: crowding out of alternative financing and low sensitivity of professional investors to tax credits. With a large-scale survey and a stylized model, we show that low responsiveness among professional angels may re...
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作者：Van Nieuwerburgh, Stijn
作者单位：Center for Economic & Policy Research (CEPR); Columbia University; National Bureau of Economic Research
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作者：Indarte, Sasha
作者单位：University of Pennsylvania; University of Pennsylvania
摘要：This paper studies the role of moral hazard and liquidity in driving household bankruptcy. First, I estimate that increases in potential debt forgiveness have a positive, but small, effect on filing using a regression kink design. Second, exploiting quasi-experimental variation in mortgage payment reductions, I estimate that filing is five times more responsive to cash-on-hand than relief generosity. Using a sufficient statistic, I show the estimates imply large consumption-smoothing benefits ...
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作者：Jensen, Theis Ingerslev; Kelly, Bryan; Pedersen, Lasse Heje
作者单位：Copenhagen Business School; Yale University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Copenhagen Business School
摘要：Several papers argue that financial economics faces a replication crisis because the majority of studies cannot be replicated or are the result of multiple testing of too many factors. We develop and estimate a Bayesian model of factor replication that leads to different conclusions. The majority of asset pricing factors (i) can be replicated; (ii) can be clustered into 13 themes, the majority of which are significant parts of the tangency portfolio; (iii) work out-of-sample in a new large dat...
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作者：Kepler, John D. D.; Naiker, Vic; Stewart, Christopher R. R.
作者单位：Stanford University; University of Melbourne; University of Chicago; Stanford University
摘要：We examine whether and how firms structure their merger and acquisition deals to avoid antitrust scrutiny. There are approximately 40% more mergers and acquisitions (M & As) than expected just below deal value thresholds that trigger antitrust review. These stealth acquisitions tend to involve financial and governance contract terms that afford greater scope for negotiating and assigning lower deal values. We also show that the equity values, gross margins, and product prices of acquiring firm...
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作者：Eisfeldt, Andrea L. L.; Lustig, Hanno; Zhang, Lei
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Stanford University; University of Hong Kong; University of California System; University of California Los Angeles
摘要：Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios. However, despite the attractive risk-return trade-off, participation is limited. This is because effective Sharpe ratios in complex asset markets vary with investors' expertise. Investors with higher expertise, better models, and lower resulting idiosyncratic risk exposures realize higher Sharpe ratios. Their demand deters entry by less sophisticated ...
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作者：Chen, Hui; Chen, Zhuo; He, Zhiguo; Liu, Jinyu; Xie, Rengming
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Tsinghua University; University of International Business & Economics; University of Chicago
摘要：We provide causal evidence on the value of asset pledgeability by exploiting a unique feature of Chinese corporate bond markets: bonds with identical fundamentals are traded on two segmented markets with different rules for repo transactions. Using a policy shock that rendered AA+ and AA bonds ineligible for repo on one market only, we compare how bond prices changed across markets and rating classes around this event. When the haircut increases from 0% to 100%, bond yields increase by 39 bps ...
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作者：Parker, Jonathan A.; Schoar, Antoinette; Sun, Yang
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Brandeis University; Brandeis University
摘要：Target date funds (TDFs) are designed to provide unsophisticated or inattentive investors with age-appropriate exposures to different asset classes like stocks and bonds. The rise of TDFs has moved a significant share of retirement investors into macrocontrarian strategies that sell stocks after relatively good stock market performance. This rebalancing drives contrarian flows across equity mutual funds held by TDFs, stabilizing their funding, and reduces stock returns for stocks disproportion...
