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作者：Gupta, Arpit; Van Nieuwerburgh, Stijn
作者单位：New York University; Columbia University
摘要：We propose a new valuation method for private equity (PE) investments. It constructs a replicating portfolio using cash flows on listed equity and fixed-income instruments (strips). It then values the strips using an asset pricing model that captures the risk in the cross-section of bonds and equity factors. The method delivers a risk-adjusted profit on each PE investment and a time series for the expected return on each fund category. We find negative risk-adjusted profits for the average PE ...
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作者：Moskowitz, Tobias J.
作者单位：Yale University; National Bureau of Economic Research
摘要：Sports betting markets offer a novel laboratory to test theories of cross-sectional asset pricing anomalies. Two features of this market-no systematic risk and terminal values exogenous to betting activity-evade the joint hypothesis problem, allowing mispricing to be detected. Examining a large and diverse set of liquid betting contracts, I find strong evidence of momentum, consistent with delayed overreaction and inconsistent with underreaction and rational pricing. Returns are a fraction of ...
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作者：Dimmock, Stephen G.; Gerken, William C.; Van Alfen, Tyson
作者单位：National University of Singapore; University of Kentucky; Southern Illinois University System; Southern Illinois University
摘要：We test whether personal real estate shocks affect professional misconduct by financial advisors. We use a panel of advisors' home addresses and examine within-advisor variation relative to other advisors who work at the same firm and live in the same ZIP code. We find a negative relation between housing returns and misconduct. We show that advisors' housing returns explain misconduct against out-of-state customers, breaking the link between customer and advisor housing shocks. Furthermore, th...
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作者：Kempf, Elisabeth; Tsoutsoura, Margarita
作者单位：Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research; Cornell University
摘要：Partisan perception affects the actions of professionals in the financial sector. Linking credit rating analysts to party affiliations from voter records, we show that analysts not affiliated with the U.S. president's party downward-adjust corporate credit ratings more frequently. Since we compare analysts with different party affiliations covering the same firm in the same quarter, differences in firm fundamentals cannot explain the results. We also find a sharp divergence in the rating actio...
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作者：Cenedese, Gino; Della Corte, Pasquale; Wang, Tianyu
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Bank of England; Tsinghua University
摘要：We find dealer-level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Our analysis uses a unique data set of currency derivatives with disclosed counterparty identities together with exogenous variation introduced by the U.K. leverage ratio framework. Dealers who are affected by the regulatory shock charge an additional premium of about 20 basis points per annum for synthetic dollar funding relative to unaffected dealers. This fi...
