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作者：Boons, Martijn; Prado, Melissa Porras
作者单位：Universidade Nova de Lisboa
摘要：We introduce a return predictor related to the slope and curvature of the futures term structure: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in both the time series and the cross section. Exposure to basis-momentum is priced among commodity-sorted portfolios and individual commodities. We argue that basis-momentum captures imbalances in the supply and demand of futures contracts that materialize when the market-c...
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作者：Schoenherr, David
作者单位：Princeton University
摘要：Exploiting a unique institutional setting in Korea, this paper documents that politicians can increase the amount of government resources allocated through their social networks to the benefit of private firms connected to these networks. After winning the election, the new president appoints members of his networks as CEOs of state-owned firms that act as intermediaries in allocating government contracts to private firms. In turn, these state firms allocate significantly more procurement cont...
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作者：Kondor, Peter; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We develop a continuous-time model of liquidity provision in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have constant relative risk-aversion (CRRA) utility, while hedgers' asset demand is independent of wealth. An increase in hedgers' risk aversion can make arbitrageurs endogenously more risk-averse. Because arbitrageurs generate endogenous risk, an increase in their wealth or a reduction in their CRRA coefficient can raise risk premia despite Sharpe ratios d...
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作者：Klingler, Sven; Sundaresan, Suresh
作者单位：BI Norwegian Business School; Columbia University
摘要：The 30-year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for duration hedging. Combined with dealer banks' balance sheet constraints, this demand can drive swap spreads to become negative. Empirically, we construct a measure of the aggregate funding status of defined benefit pension plans and show that this measure helps explain 30-ye...
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作者：Bates, David S.
作者单位：University of Iowa; National Bureau of Economic Research
摘要：This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 to 2008 can capture major daily outliers such as the 1987 stock market crash. Intradaily jumps in futures prices are typically small; self-exciting but short-lived volatility spikes capture intradaily and daily returns better. Multifactor models of the evolution of diffusive variance and jump intensities improve fits substantially, including out-of-sample over 2009 to 2016. Th...
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作者：Heimer, Rawley Z.; Myrseth, Kristian Ove R.; Schoenle, Raphael S.
作者单位：Boston College; Trinity College Dublin; Brandeis University; Brandeis University
摘要：We study the effect of subjective mortality beliefs on life-cycle behavior. With new survey evidence, we document that survival is underestimated (overestimated) by the young (old). We calibrate a canonical life-cycle model to elicited beliefs. Relative to calibrations using actuarial probabilities, the young undersave by 26%, and retirees draw down their assets 27% slower, while the model's fit to consumption data improves by 88%. Cross-sectional regressions support the model's predictions: D...
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作者：Egan, Mark
作者单位：Harvard University
摘要：I study how brokers distort household investment decisions. Using a novel convertible bond data set, I find that consumers often purchase dominated bonds-cheap and expensive otherwise-identical bonds coexist in the market. Brokers are incentivized to sell the dominated bonds, typically earning two times greater fees for selling them. I develop and estimate a broker-intermediated search model that rationalizes this behavior. The estimates indicate that costly search is a key friction in financi...
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作者：Hagstromer, Bjoern; Menkveld, Albert J.
作者单位：Stockholm University; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so, we construct an empirical map of information revelation where two dealers are connected based on the synchronicity of their quote changes. The tests, based on the euro to Swiss franc spot rate (EUR/CHF) quote data including the 2015 crash, largely support theory: strongly connected (i.e., central) dealers are more informed. Connections are weaker when there...
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作者：Marinovic, Ivan; Varas, Felipe
作者单位：Stanford University; Duke University
摘要：This paper studies optimal contracts when managers manipulate their performance measure at the expense of firm value. Optimal contracts defer compensation. The manager's incentives vest over time at an increasing rate, and compensation becomes very sensitive to short-term performance. This generates an endogenous horizon problem whereby managers intensify performance manipulation in their final years in office. Contracts are designed to encourage effort while minimizing the adverse effects of ...
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作者：Benhabib, Jess; Liu, Xuewen; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：We develop a model of informational interdependence between financial markets and the real economy, linking economic uncertainty to information production and aggregate economic activities in general equilibrium. The mutual learning between financial markets and the real economy creates a strategic complementarity in their information production, leading to self-fulfilling surges in economic uncertainties. In a dynamic setting, our model characterizes self-fulfilling uncertainty traps with two...
