-
作者：Campbell, John Y.; Clara, Nuno; Cocco, Joao F.
作者单位：Harvard University; National Bureau of Economic Research; Duke University; University of London; London Business School; Center for Economic & Policy Research (CEPR)
摘要：We study mortgage design features aimed at stabilizing the macroeconomy. We model overlapping generations of borrowers and an infinitely lived risk-averse representative lender. Mortgages are priced using an equilibrium pricing kernel derived from the lender's endogenous consumption. We consider an adjustable-rate mortgage with an option that during recessions allows borrowers to pay only interest on their loan and extend its maturity. The option stabilizes consumption growth over the business...
-
作者：Clifford, Christopher P.; Gerken, William C.
作者单位：University of Kentucky
摘要：We study the effect of a change in property rights on employee behavior in the financial advice industry. Our identification comes from staggered firm-level entry into the Protocol for Broker Recruiting, which waived nonsolicitation clauses for advisor transitions among member firms, effectively transferring ownership of client relationships from the firm to the advisor. After the shock, advisors appear to tend to client relationships more by investing in client-facing industry licenses, shift...
-
作者：Demiroglu, Cem; Ozbas, Oguzhan; Silva, Rui C.; Ulu, Mehmet Fatih
作者单位：Koc University; University of Southern California; Universidade Nova de Lisboa
摘要：We examine the effects of physiology and spiritual sentiment on economic decision-making in the context of Ramadan, an entire lunar month of daily fasting and increased spiritual reflection in the Muslim faith. Using an administrative data set of bank loans originated in Turkey during 2003 to 2013, we find that small business loans originated during Ramadan are 15% more likely to default within two years of origination. Loans originated in hot Ramadans, when adverse physiological effects of fa...
-
作者：Guest, Paul M.
作者单位：University of London; King's College London
摘要：Rampini, Viswanathan, and Vuillemey (RVV) show empirically that net worth drives hedging. I identify discrepancies to which RVV's key findings are not robust: the positive correlation between net worth and hedging is not independent of institution size, house price decline shocks to net worth (which RVV use for identification) have mixed effects on hedging that are not robust across alternative specifications, and the treatment effects on net worth and hedging are not increasing in real estate...
-
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...
-
作者：Rampini, Adriano A.; Viswanathan, S.; Vuillemey, Guillaume
-
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....
-
作者：Shue, Kelly; Townsend, Richard R.
作者单位：Yale University; University of California System; University of California San Diego; National Bureau of Economic Research
摘要：We hypothesize that investors partially think about stock price changes in dollar rather than percentage units, leading to more extreme return responses to news for lower-priced stocks. Consistent with such non-proportional thinking, we find a doubling in price is associated with a 20% to 30% decline in volatility and beta (controlling for size/liquidity). To identify a causal price effect, we show that volatility jumps following stock splits and drops following reverse splits. Lower-priced st...
-
作者：Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan; Zhang, Xinran
作者单位：Singapore Management University; Columbia University; Tsinghua University; Central University of Finance & Economics
摘要：We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or p...
-
作者：Colliard, Jean-Edouard; Foucault, Thierry; Hoffmann, Peter
作者单位：Hautes Etudes Commerciales (HEC) Paris; European Central Bank
摘要：We propose a new model of trading in over-the-counter markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers use a more efficient trading technology than peripheral dealers, who are heterogeneously connected to core dealers and trade with each other bilaterally. Connectedness affects prices and allocations if and only if the peripheral dealers' aggregate inventory position differs from zero. Price d...
