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作者：Aretz, Kevin; Campello, Murillo; Marchica, Maria-Teresa
作者单位：University of Manchester; Alliance Manchester Business School; Cornell University; National Bureau of Economic Research
摘要：France's Ordonnance 2006-346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. A differences-test strategy shows that firms operating newly pledgeable assets significantly increased their borrowing following the reform. Small, young, and financially constrained businesses benefitted the most, observing improved credit access and real-side outcomes. Start-ups emerged with higher at-incept...
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作者：Kleibergen, Frank; Zhan, Zhaoguo
作者单位：University of Amsterdam; University System of Georgia; Kennesaw State University
摘要：The reliability of traditional asset pricing tests depends on: (i) the correlations between asset returns and factors; (ii) the time series sample size T compared to the number of assets N. For macro-risk factors, like consumption growth, (i) and (ii) are often such that traditional tests cannot be trusted. We extend the Gibbons-Ross-Shanken statistic to test identification of risk premia and construct their 95% confidence sets. These sets are wide or unbounded when T and N are close, but show...
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作者：Cookson, J. Anthony; Niessner, Marina
作者单位：University of Colorado System; University of Colorado Boulder
摘要：We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical, fundamental). We examine how much of overall disagreement is driven by different information sets versus differential interpretation of information by studying disagreement within and across investment approaches. Overall disagreement is evenly split between both sources of disagreement, but within-group d...
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作者：Hirtle, Beverly; Kovner, Anna; Plosser, Matthew
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We explore the impact of supervision on the riskiness, profitability, and growth of U.S. banks. Using data on supervisors' time use, we demonstrate that the top-ranked banks by size within a supervisory district receive more attention from supervisors, even after controlling for size, complexity, risk, and other characteristics. Using a matched sample approach, we find that these top-ranked banks that receive more supervisory attention hold less risky loan portfolios, are less volatile, and ar...
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作者：Choi, James J.; Robertson, Adriana Z.
作者单位：Yale University; National Bureau of Economic Research; University of Toronto
摘要：We survey a representative sample of U.S. individuals about how well leading academic theories describe their financial beliefs and decisions. We find substantial support for many factors hypothesized to affect portfolio equity share, particularly background risk, investment horizon, rare disasters, transactional factors, and fixed costs of stock market participation. Individuals tend to believe that past mutual fund performance is a good signal of stock-picking skill, actively managed funds d...
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作者：Feng, Guanhao; Giglio, Stefano; Xiu, Dacheng
作者单位：City University of Hong Kong; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high-dimensional set of existing factors explains. Our methodology accounts for model selection mistakes that produce a bias due to omitted variables, unlike standard approaches that assume perfect variable selection. We apply our procedure to a set of factors recently discovered in the literature. While most of these new factors are shown to be redundant ...
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作者：Sialm, Clemens; Zhang, Hanjiang
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research; Washington State University
摘要：We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles in an environment with decreasing returns to scale and shows that the equilibrium performance of mutual funds depends on the size of the tax clienteles. Our empirical results show that the performance of U.S. equity mutual funds is related to their tax burdens. We find that tax-efficient funds exhibit not...
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作者：Brauning, Falk; Ivashina, Victoria
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：When central banks adjust interest rates, the opportunity cost of lending in local currency changes, but-absent frictions-there is no spillover effect to lending in other currencies. However, when equity capital is limited, global banks must benchmark domestic and foreign lending opportunities. We show that, in equilibrium, the marginal return on foreign lending is affected by the interest rate differential, with lower domestic rates leading to an increase in local lending, at the expense of a...
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作者：Schallheim, Jim
作者单位：Utah System of Higher Education; University of Utah
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作者：Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schuerhoff, Norman
作者单位：University of California System; University of California Berkeley; Federal Reserve System - USA; University of Lausanne; University of Lausanne; Swiss Finance Institute (SFI)
摘要：We examine the network of trading relationships between insurers and dealers in the over-the-counter (OTC) corporate bond market. Regulatory data show that one-third of insurers use a single dealer, whereas other insurers have large dealer networks. Execution prices are nonmonotone in network size, initially declining with more dealers but increasing once networks exceed 20 dealers. A model of decentralized trade in which insurers trade off the benefits of repeat business and faster execution ...
