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作者：Gomez-Cram, Roberto
作者单位：University of London; London Business School
摘要：I find that returns are predictably negative for several months after the onset of recessions, becoming high only thereafter. I identify business cycle turning points by estimating a state-space model using macroeconomic data. Conditioning on the business cycle further reveals that returns exhibit momentum in recessions, whereas in expansions they display the mild reversals expected from discount rate changes. A strategy exploiting this pattern produces positive alphas. Using analyst forecast ...
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作者：Greenwood, Robin; Hanson, Samuel G.; Shleifer, Andrei; Sorensen, Jakob Ahm
作者单位：Harvard University; National Bureau of Economic Research; Harvard University; Copenhagen Business School
摘要：Using historical data on postwar financial crises around the world, we show that the combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with a 40% probability of entering a financial crisis within the next three years. This compares with a roughly 7% probability in normal times, when neither credit nor asset price growth is elevated. Our evidence challenges the view that financial crises are...
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作者：Lochstoer, Lars A.; Muir, Tyler
作者单位：National Bureau of Economic Research
摘要：We provide evidence that agents have slow-moving beliefs about stock market volatility that lead to initial underreaction to volatility shocks followed by delayed overreaction. These dynamics are mirrored in the VIX and variance risk premiums, which reflect investor expectations about volatility, and are also supported in both surveys and firm-level option prices. We embed these expectations into an asset pricing model and find that the model can account for a number of stylized facts about ma...
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作者：Boguth, Oliver; Duchin, Ran; Simutin, Mikhail
作者单位：Arizona State University; Arizona State University-Tempe; Boston College; University of Toronto
摘要：We develop a new method to estimate Tobin's Qs of conglomerate divisions without relying on standalone firms. Divisional Qs differ considerably from those of standalone firms across industries, over time, and in their sensitivity to economic shocks. The differences are explained by intraconglomerate covariance structures and access to internal capital markets that mitigate external financing frictions. Consequently, the Qs capture variation in the allocation of assets in the economy: within fi...
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作者：Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C.
作者单位：University of California System; University of California Berkeley; New York University
摘要：We document large, longer term, joint regime shifts in asset valuations and the real federal funds rate-r*$r<^>{\ast }$ spread. To interpret these findings, we estimate a novel macrofinance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy rule, with long-term consequences for the real interest rate. Estimates imply that two-thirds of the decline in the real interest rate since the early 1980s is attributable to regime change...
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作者：Berk, Jonathan B.; Van Binsbergen, Jules H.
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania
摘要：We model a market for a skill in short supply and high demand, where the presence of charlatans (professionals who sell a service they do not deliver on) is an equilibrium outcome. In the model, reducing the number of charlatans through regulation lowers consumer surplus because of the resulting reduction in competition among producers. Producers can benefit from this reduction, potentially explaining the regulation we observe. The effect on total surplus depends on the type of regulation. We ...
