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作者：Eraker, Bjorn; Yang, Aoxiang
作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University
摘要：We develop a tractable equilibrium pricing model to explain observed characteristics in equity returns, VIX futures, S&P 500 options, and VIX options data based on affine jump-diffusive state dynamics and representative agents endowed with Duffie-Epstein recursive preferences. Our calibrated model replicates consumption, dividends, and asset market data, including VIX futures returns, the average implied volatilities in SPX and VIX options, and first- and higher-order moments of VIX options re...
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作者：Doerr, Sebastian; Gissler, Stefan; Peydro, Jose-Luis; Voth, Hans-Joachim
作者单位：Bank for International Settlements (BIS); Federal Reserve System - USA; Federal Reserve System Board of Governors; Imperial College London; Pompeu Fabra University; ICREA; Centre de Recerca en Economia Internacional (CREI); University of Zurich
摘要：Do financial crises radicalize voters? We study Germany's 1931 banking crisis, collecting new data on bank branches and firm-bank connections. Exploiting cross-sectional variation in precrisis exposure to the bank at the center of the crisis, we show that Nazi votes surged in locations more affected by its failure. Radicalization in response to the shock was exacerbated in cities with a history of anti-Semitism. After the Nazis seized power, both pogroms and deportations were more frequent in ...
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作者：Granja, Joao; Leuz, Christian; Rajan, Raghuram G.
作者单位：University of Chicago
摘要：The average distance of U.S. banks from their small corporate borrowers increased before the global financial crisis, especially for banks in competitive counties. Small distant loans are harder to make, so loan quality deteriorated. Surprisingly, such lending intensified as the Fed raised interest rates from 2004. Why? We show that banks' responses to higher rates led bank deposits to shift into competitive counties. Short-horizon bank management recycled these inflows into risky loans to dis...
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作者：Bradley, Daniel; Jame, Russell; Williams, Jared
作者单位：State University System of Florida; University of Florida; University of Kentucky
摘要：Non-deal roadshows (NDRs) are private meetings between management and institutional investors, typically organized by sell-side analysts. We find that around NDRs, local institutional investors trade heavily and profitably, while retail trading is significantly less informed. Analysts who sponsor NDRs issue significantly more optimistic recommendations and target prices, together with more beatable earnings forecasts, consistent with analysts issuing strategically biased forecasts to win NDR b...
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作者：Harvey, Campbell R.; Liu, Yan
作者单位：Duke University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：While Kosowski et al. (2006, Journal of Finance 61, 2551-2595) and Fama and French (2010, Journal of Finance 65, 1915-1947) both evaluate whether mutual funds outperform, their conclusions are very different. We reconcile their findings. We show that the Fama-French method suffers from an undersampling problem that leads to a failure to reject the null hypothesis of zero alpha, even when some funds generate economically large risk-adjusted returns. In contrast, Kosowski et al. substantially ov...
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作者：Fuster, Andreas; Goldsmith-Pinkham, Paul; Ramadorai, Tarun; Walther, Ansgar
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Yale University; Imperial College London
摘要：Innovations in statistical technology in functions including credit-screening have raised concerns about distributional impacts across categories such as race. Theoretically, distributional effects of better statistical technology can come from greater flexibility to uncover structural relationships or from triangulation of otherwise excluded characteristics. Using data on U.S. mortgages, we predict default using traditional and machine learning models. We find that Black and Hispanic borrower...
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作者：Ge, Shan
作者单位：New York University
摘要：I identify the effects of financial constraints on firms' product pricing decisions, using insurance groups containing both life and property & casualty (P&C) divisions. Following P&C divisions' losses, life divisions change prices in a manner that can generate more immediate financial resources: premiums fall (rise) for life policies that immediately increase (decrease) insurers' financial resources. Premiums change more in groups that are more constrained. Life divisions increase transfers t...
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作者：Bennedsen, Morten; Simintzi, Elena; Tsoutsoura, Margarita; Wolfenzon, Daniel
作者单位：University of Copenhagen; INSEAD Business School; University of North Carolina; University of North Carolina Chapel Hill; Center for Economic & Policy Research (CEPR); Washington University (WUSTL); National Bureau of Economic Research; Columbia University
摘要：We examine the effect of pay transparency on the gender pay gap and firm outcomes. Using a 2006 legislation change in Denmark that requires firms to provide gender-disaggregated wage statistics, detailed employee-employer administrative data, and difference-in-differences and difference-in-discontinuities designs, we find that the law reduces the gender pay gap, primarily by slowing wage growth for male employees. The gender pay gap declines by 2 percentage points, or 13% relative to the prele...
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作者：Zhang, Tony
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper explores the role of trade invoicing currencies in the international spillover of monetary policy. Using high-frequency measures of Federal Reserve monetary policy shocks, I show that exchange rates, interest rates, and equity returns in countries with a larger share of dollar-invoiced imports systematically respond more to U.S. monetary policy. I document similar transmission effects from European Central Bank (ECB) monetary policy shocks to countries with euro-invoiced imports. I ...
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作者：Hoffmann, Florian; Inderst, Roman; Opp, Marcus
作者单位：KU Leuven; Goethe University Frankfurt; Center for Economic & Policy Research (CEPR); Stockholm School of Economics
摘要：We analyze the effects of regulatory interference in compensation contracts, focusing on recent mandatory deferral and clawback requirements restricting incentive compensation of material risk-takers in the financial sector. Moderate deferral requirements have a robustly positive effect on risk-management effort only if the bank manager's outside option is sufficiently high; otherwise, their effectiveness depends on the dynamics of information arrival. Stringent deferral requirements unambiguo...
