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作者：Illeditsch, Philipp K.; Ganguli, Jayant V.; Condie, Scott
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Essex; Brigham Young University
摘要：We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk-neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e.g., after ear...
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作者：Argyle, Bronson; Nadauld, Taylor; Palmer, Christopher; Pratt, Ryan
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Using loan-level data on millions of used-car transactions across hundreds of lenders, we study the consumer response to exogenous variation in credit terms. Borrowers offered shorter maturity decrease expenditures enough to offset 60% to 90% of the monthly payment increase. Most of this is driven by shifting toward lower-quality cars, but affected borrowers offset 20% to 30% of a monthly payment shock by negotiating lower prices for equivalent cars. Our results suggest that durable goods pric...
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作者：Giacoletti, Marco; Laursen, Kristoffer T.; Singleton, Kenneth J.
作者单位：University of Southern California; Stanford University; National Bureau of Economic Research
摘要：We study risk premiums in the U.S. Treasury bond market from the perspective of a Bayesian econometricianBLwho learns in real time from disagreement among investors about future bond yields. Notably, disagreement has substantial predictive power for yields, andBL's risk premiums are less volatile than those in the analogous model without learning.BL's forecasts are substantially more accurate than the consensus forecasts of market professionals, particularly following U.S. recessions. The pred...
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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：Guren, Adam M.; Krishnamurthy, Arvind; Mcquade, Timothy J.
作者单位：Boston University; National Bureau of Economic Research; Stanford University
摘要：How can mortgages be redesigned to reduce macrovolatility and default? We address this question using a quantitative equilibrium life-cycle model. Designs with countercyclical payments outperform fixed payments. Among those, designs that front-load payment reductions in recessions outperform those that spread relief over the full term. Front-loading alleviates liquidity constraints when they bind most, reducing default and stimulating housing demand. To illustrate, a fixed-rate mortgage (FRM) ...
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作者：Ai, Hengjie; Kiku, Dana; Li, Rui; Tong, Jincheng
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Illinois System; University of Illinois Urbana-Champaign; University of Massachusetts System; University of Massachusetts Boston; University of Toronto
摘要：We develop a unified theory of dynamic contracting and assortative matching to explain firm dynamics. In our model, neither firms nor managers can commit to arrangements that yield lower payoffs than their outside options, which are microfounded by the equilibrium conditions in a matching market. The model endogenously generates power laws in firm size and CEO compensation, and explains differences in their right tails. We also show that our model quantitatively accounts for many salient featu...
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作者：Akey, Pat; Appel, Ian
作者单位：University of Toronto; Boston College
摘要：We study how parent liability for subsidiaries' environmental cleanup costs affects industrial pollution and production. Our empirical setting exploits a Supreme Court decision that strengthened parent limited liability protection for some subsidiaries. Using a difference-in-differences framework, we find that stronger liability protection for parents leads to a 5% to 9% increase in toxic emissions by subsidiaries. Evidence suggests the increase in pollution is driven by lower investment in ab...
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作者：Ben-Rephael, Azi; Carlin, Bruce I.; Da, Zhi; Israelsen, Ryan D.
作者单位：Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Rice University; University of Notre Dame; Michigan State University; Michigan State University's Broad College of Business
摘要：We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information spillovers, affected stocks earn a significant return premium (5% annualized) and the capital a...
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作者：Zhong, Hongda
作者单位：University of London; London School Economics & Political Science
摘要：Borrowing from multiple creditors exposes firms to rollover risk due to coordination problems among creditors, but it also improves firms' repayment incentives, thereby increasing pledgeability. Based on this trade-off, I develop a dynamic debt rollover model to analyze the evolution of creditor dispersion. Consistent with empirical evidence, I find that firms optimally increase creditor dispersion after poor performance. In contrast, cross-sectionally higher-growth firms can support more disp...
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作者：Bernstein, Shai; Mcquade, Timothy; Townsend, Richard R.
作者单位：Harvard University; National Bureau of Economic Research; Stanford University; University of California System; University of California San Diego
摘要：We investigate how the deterioration of household balance sheets affects worker productivity, and in turn economic downturns. Specifically, we compare the output of innovative workers who experienced differential declines in housing wealth during the financial crisis but were employed at the same firm and lived in the same metropolitan area. We find that, following a negative wealth shock, innovative workers become less productive and generate lower economic value for their firms. The reductio...
