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作者：Ke, Da
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：Using microdata from U.S. household surveys, I document that families with a financially sophisticated husband are more likely to participate in the stock market than those with a wife of equal financial sophistication. This pattern is best explained by gender identity norms, which constrain women's influence over intrahousehold financial decision-making. A randomized controlled experiment reveals that female identity hinders idea contribution by the wife. These findings underscore the roles o...
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作者：Koudijs, Peter; Salisbury, Laura; Sran, Gurpal
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; York University - Canada; University of Chicago
摘要：We study whether banks are riskier if managers have less liability. We focus on New England between 1867 and 1880 and consider the introduction of marital property laws that limited liability for newly wedded bankers. We find that banks with managers who married after a law had higher leverage, delayed loss recognition, made more risky and fraudulent loans, and lost more capital and deposits in the Long Depression of 1873 to 1878. These effects were most pronounced for bankers with the largest...
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作者：Cao, Charles; Farnsworth, Grant; Zhang, Hong
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Texas Christian University; Tsinghua University
摘要：This paper examines how market frictions influence the managerial incentives and organizational structure of new hedge funds. We develop a stylized model in which new managers search for accredited investors and have stronger incentives to acquire managerial skill when encountering low investor demand. Fund families endogenously arise to mitigate frictions and weaken the performance incentives of affiliated new funds. Empirically, based on a TASS-HFR-BarclayHedge merged database, we find that ...
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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：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：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：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
作者单位：University of Pennsylvania; New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We show that maturity transformation does not expose banks to interest rate risk-it hedges it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low and insensitive to market interest rates. Hedging the deposit franchise requires banks to earn income that is also insensitive, that is, to lend long term at fixed rates. As predicted by this theory, we show that banks closely match the interest rate sensitivities of their interest income and expense, and that t...
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作者：Daniel, Kent; Garlappi, Lorenzo; Xiao, Kairong
作者单位：Columbia University; National Bureau of Economic Research; University of British Columbia
摘要：Using data on individual portfolio holdings and on mutual fund flows, we find that low interest rates lead to significantly higher demand for income-generating assets such as high-dividend stocks and high-yield bonds. We argue that this reaching-for-income phenomenon is driven by investors who follow the living off income rule-of-thumb. Our empirical analysis shows that this preference for current income affects both household portfolio choices and the prices of income-generating assets. In ad...
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作者：Davila, Eduardo; Parlatore, Cecilia
作者单位：Yale University; New York University
摘要：We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex ante identical: price informativeness is independent of the level of trading costs. When investors are ex ante heterogeneous, a change in trading costs can increase or decrease price informativeness, depending on the source of heterogeneity. Our results are valid under quadratic, linear...
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作者：Lu, Zhongjin; Qin, Zhongling
作者单位：University System of Georgia; University of Georgia; Auburn University System; Auburn University
摘要：Using the most comprehensive data set of leveraged funds known to the literature, we measure the market-wide shadow cost of leverage constraints and examine its pricing implications. The shadow cost averages 0.53% per annum from 2006 to 2016, spikes upon quarter-ends when banks face tighter capital requirements, positively predicts future betting-against-beta (BAB) returns, and negatively correlates with contemporaneous BAB returns. Stocks that experience lower returns when the shadow cost inc...
