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作者：Goncalves, Andrei S.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：The equity term structure is downward sloping at long maturities. I estimate an Intertemporal Capital Asset Pricing Model (ICAPM) to show that the trade-off between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly exposed to market risk, they are good hedges for reinvestment risk because dividend prices rise as expected returns decline, and longer-term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment ri...
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作者：Demarzo, Peter M.; He, Zhiguo
作者单位：Stanford University; National Bureau of Economic Research; University of Chicago
摘要：We characterize equilibrium leverage dynamics in a trade-off model in which the firm can continuously adjust leverage and cannot commit to a policy ex ante. While the leverage ratchet effect leads shareholders to issue debt gradually over time, asset growth and debt maturity cause leverage to mean-revert slowly toward a target. Investors anticipate future debt issuance and raise credit spreads, fully offsetting the tax benefits of new debt. Shareholders are therefore indifferent toward the deb...
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作者：Sandulescu, Mirela; Trojani, Fabio; Vedolin, Andrea
作者单位：University of Michigan System; University of Michigan; Universita della Svizzera Italiana; University of Geneva; University of Geneva; Boston University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We provide a theoretical framework to uncover in a model-free way the relationships among international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different from the ratio of international SDFs in incomplete markets, as captured by a stochastic wedge. We show theoretically that this wedge can be zero in incomplete and integrated markets. Market segmentation breaks the strong link between exchange rates and international...
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作者：Rampini, Adriano A.; Viswanathan, S.; Vuillemey, Guillaume
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作者：Chen, Andrew Y.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Suppose that the 300+ published asset pricing factors are all spurious. How much p-hacking is required to produce these factors? If 10,000 researchers generate eight factors every day, it takes hundreds of years. This is because dozens of published t-statistics exceed 6.0, while the corresponding p-value is infinitesimal, implying an astronomical amount of p-hacking in a general model. More structure implies that p-hacking cannot address approximate to 100 published t-statistics that exceed 4....
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作者：Delao, Ricardo; Myers, Sean
作者单位：University of Southern California; National Bureau of Economic Research; University of Pennsylvania
摘要：Why do stock prices vary? Using survey forecasts, we find that cash flow growth expectations explain most movements in the S&P 500 price-dividend and price-earnings ratios, accounting for at least 93% and 63% of their variation. These expectations comove strongly with price ratios, even when price ratios do not predict future cash flow growth. In comparison, return expectations have low volatility and small comovement with price ratios. Short-term, rather than long-term, expectations account f...
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作者：Dou, Winston Wei; Ji, Yan; Reibstein, David; Wu, Wei
作者单位：University of Pennsylvania; Hong Kong University of Science & Technology; Texas A&M University System; Texas A&M University College Station
摘要：We develop a model in which customer capital depends on key talents' contribution and pure brand recognition. Customer capital guarantees stable demand but is fragile to financial constraints risk if retained mainly by talents, who tend to quit financially constrained firms, damaging customer capital. Using a proprietary, granular brand-perception survey, we construct a firm-level measure of the inalienability of customer capital (ICC) that captures the degree to which customer capital depends...
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作者：Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno
作者单位：Northwestern University; Stanford University; National Bureau of Economic Research
摘要：We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign investors derive from holding U.S. safe assets. We show that this convenience yield can be inferred from the Treasury basis, the yield gap between U.S. government and currency-hedged foreign government bonds. Consistent with the theory, a widening of the basis coincides with an immediate appreciation and a subsequent depreciation of the dollar. Our results lend empirical support to mo...
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作者：Haddad, Valentin; Muir, Tyler
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Poor financial health of intermediaries coincides with low asset prices and high risk premiums. Is this because intermediaries matter for asset prices, or because their health correlates with economy-wide risk aversion? In the first case, return predictability should be more pronounced for asset classes in which households are less active. We provide evidence supporting this prediction, suggesting that a quantitatively sizable fraction of risk premium variation in several large asset classes s...
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作者：Pastor, Lubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
摘要：Motivated by the recent rise of populism in Western democracies, we develop a tractable equilibrium model in which a populist backlash emerges endogenously in a strong economy. In the model, voters dislike inequality, especially the high consumption of elites. Economic growth exacerbates inequality due to heterogeneity in preferences , which leads to heterogeneity in returns on capital. In response to rising inequality, voters optimally elect a populist promising to end globalization. Equality...
