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作者：Defusco, Anthony A.; Mondragon, John
作者单位：Northwestern University
摘要：We study how employment documentation requirements and out-of-pocket closing costs constrain mortgage refinancing. These frictions, which bind most severely during recessions, may significantly inhibit monetary policy pass-through. To study their effects on refinancing, we exploit a Federal Housing Administration policy change that excluded unemployed borrowers from refinancing and increased others' out-of-pocket costs substantially. These changes dramatically reduced refinancing rates, partic...
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作者：Barkai, Simcha
作者单位：University of London; London Business School
摘要：This paper presents direct measures of capital costs, equal to the product of the required rate of return on capital and the value of the capital stock. The capital share, equal to the ratio of capital costs and gross value added, does not offset the decline in the labor share. Instead, a large increase in the share of pure profits offsets declines in the shares of both labor and capital. Industry data show that increases in concentration are associated with declines in the labor share.
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作者：Song, Yang
作者单位：University of Washington; University of Washington Seattle
摘要：I demonstrate that skill and scale are mismatched among actively managed equity mutual funds. Many mutual fund investors confuse the effects of fund exposures to common systematic factors with managerial skill when allocating capital among funds. Active mutual funds with positive factor-related past returns thus accumulate assets to the point that they significantly underperform. I also show that the negative aggregate benchmark-adjusted performance of active equity mutual funds is driven main...
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作者：Haddad, Valentin; Sraer, David
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR)
摘要：Banks' balance sheet exposure tofluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing fluctuations in interest rates. When banks' exposure to interest rate risk increases, the price of this risk simultaneously rises. We present a collection of empirical observations that support this view, bu...
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作者：Schneider, Paul; Wagner, Christian; Zechner, Josef
作者单位：Universita della Svizzera Italiana
摘要：This paper shows that low-risk anomalies in the capital asset pricing model and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex ante skewness is strongly related to ex post residual coskewness, which allows us to construct coskewness factor-mimicking portfolios. Controlling for skewness renders the alphas of betting-against-beta and betting-against-volatility insignificant. We also show that the returns of ...
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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：Chernov, Mikhail; Schmid, Lukas; Schneider, Andres
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Southern California; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Premiums on U.S. sovereign credit default swaps (CDS) have risen to persistently elevated levels since the financial crisis. We examine whether these premiums reflect the probability of a fiscal default-a state in which a balanced budget can no longer be restored by raising taxes or eroding the real value of debt by increasing inflation. We develop an equilibrium macrofinance model in which the fiscal and monetary policy stances jointly endogenously determine nominal debt, taxes, inflation, an...
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作者：Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Hautes Etudes Commerciales (HEC) Paris; Copenhagen Business School
摘要：Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, largely permanent, price impact of client trades. Most interdealer trades are liquidity motivated and executed via low-cost, low-immediacy trading protocols. Dealer-to-client trades are nonanonymous; they almost always improve upon contemporaneo...
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作者：Harvey, Campbell R.; Liu, Yan
作者单位：Duke University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：Multiple testing plagues many important questions in finance such as fund and factor selection. We propose a new way to calibrate both Type I and Type II errors. Next, using a double-bootstrap method, we establish at-statistic hurdle that is associated with a specific false discovery rate (e.g., 5%). We also establish a hurdle that is associated with a certain acceptable ratio of misses to false discoveries (Type II error scaled by Type I error), which effectively allows for differential costs...
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作者：Chu, Yongqiang; Hirshleifer, David; Ma, Liang
作者单位：University of North Carolina; University of North Carolina Charlotte; University of California System; University of California Irvine; National Bureau of Economic Research; University of South Carolina System; University of South Carolina Columbia
摘要：We examine the causal effect of limits to arbitrage on 11 well-known asset pricing anomalies using the pilot program of Regulation SHO, which relaxed short-sale constraints for a quasi-random set of pilot stocks, as a natural experiment. We find that the anomalies became weaker on portfolios constructed with pilot stocks during the pilot period. The pilot program reduced the combined anomaly long-short portfolio returns by 72 basis points per month, a difference that survives risk adjustment w...
