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作者：Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai
作者单位：University of California System; University of California Berkeley; New York University; Federal Reserve System - USA
摘要：A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and nonequity asset classes, with risk price estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the wealthy...
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作者：van Binsbergen, Jules H.; Opp, Christian C.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：We examine the importance of cross-sectional asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel quantitative model of the cross-section of firms that features lumpy investment and informational inefficiencies, while yielding distributions in closed form. Our findings indicate that anomalies can cause material real inefficiencies, which raises the possibility that agents who help eliminate them add significant value to the economy. The model shows that the ma...
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作者：Hazan, Moshe; Weiss, David; Zoabi, Hosny
作者单位：Tel Aviv University; Center for Economic & Policy Research (CEPR); New Economic School
摘要：In one of the greatest extensions of property rights in human history, common law countries began giving rights to married women in the 1850s. Before this women's liberation, the doctrine of coverture strongly incentivized parents of daughters to hold real estate, rather than financial assets such as money, stocks, or bonds. We exploit the staggered nature of coverture's demise across U.S. states to show that women's rights led to shifts in household portfolios, a positive shock to the supply ...
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作者：Richmond, Robert J.
作者单位：New York University
摘要：I uncover an economic source of exposure to global risk that drives international asset prices. Countries that are more central in the global trade network have lower interest rates and currency risk premia. To explain these findings, I present a general equilibrium model in which central countries' consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency ri...
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作者：Chiang, Chin-Han; Dai, Wei; Fan, Jianqing; Hong, Harrison; Tu, Jun
作者单位：The World Bank; Princeton University; Capital University of Economics & Business; Columbia University; National Bureau of Economic Research; Singapore Management University
摘要：Event studies of market efficiency measure earnings surprises using the consensus error (CE), given as actual earnings minus the average professional forecast. If a subset of forecasts can be biased, the ideal but difficult to estimate parameter-dependent alternative to CE is a nonlinear filter of individual errors that adjusts for bias. We show that CE is a poor parameter-free approximation of this ideal measure. The fraction of misses on the same side (FOM), which discards the magnitude of m...
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作者：Polkovnichenko, Valery; Wei, Kelsey D.; Zhao, Feng
作者单位：University of Texas System; University of Texas Dallas; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Despite their mediocre mean performance, actively managed mutual funds are distinct from passive funds in their return distributions. Active value funds better hedge downside risk, while active growth funds better capture upside potential. Since such performance features may appeal to investors with tail-overweighting preferences, we show that preferences for downside protection and upside potential estimated from the empirical pricing kernel can help explain active fund flows in the value and...
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作者：Morais, Bernardo; Peydro, Jose-Luis; Roldan-Pena, Jessica; Ruiz-Ortega, Claudia
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; ICREA; Pompeu Fabra University; Bank of Mexico; The World Bank
摘要：We identify the international credit channel by exploiting Mexican supervisory data sets and foreign monetary policy shocks in a country with a large presence of European and U.S. banks. A softening of foreign monetary policy expands credit supply of foreign banks (e.g., U.K. policy affects credit supply in Mexico via U.K. banks), inducing strong firm-level real effects. Results support an international risk-taking channel and spillovers of core countries' monetary policies to emerging markets...
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作者：Cavagnaro, Daniel R.; Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S.
作者单位：California State University System; California State University Fullerton; Vanderbilt University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Using a large sample of institutional investors' investments in private equity funds raised between 1991 and 2011, we estimate the extent to which investors' skill affects their returns. Bootstrap analyses show that the variance of actual performance is higher than would be expected by chance, suggesting that some investors consistently outperform. Extending the Bayesian approach of Korteweg and Sorensen, we estimate that a one-standard-deviation increase in skill leads to an increase in annua...
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作者：Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Chicago; Boston College
摘要：Many individual investors, mutual funds, and institutions trade as if dividends and capital gains are disconnected attributes, not fully appreciating that dividends result in price decreases. Behavioral trading patterns (e.g., the disposition effect) are driven by price changes instead of total returns. Investors rarely reinvest dividends, and trade as if dividends are a separate, stable income stream. Analysts fail to account for the effect of dividends on price, leading to optimistic price f...
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作者：Du, Du; Elkamhi, Redouane; Ericsson, Jan
作者单位：City University of Hong Kong; University of Toronto; McGill University
摘要：Most extant structural credit risk models underestimate credit spreads-a shortcoming known as the credit spread puzzle. We consider a model with priced stochastic asset risk that is able to fit medium- to long-term spreads. The model, augmented by jumps to help explain short-term spreads, is estimated on firm-level data and identifies significant asset variance risk premia. An important feature of the model is the significant time variation in risk premia induced by the uncertainty about asset...
