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作者：Siriwardane, Emil N.
作者单位：Harvard University; Office of Financial Research; United States Department of the Treasury
摘要：Using proprietary credit default swap (CDS) data, I investigate how capital shocks at protection sellers impact pricing in the CDS market. Seller capital shocks-measured as CDS portfolio margin payments-account for 12% of the time-series variation in weekly spread changes, a significant amount given that standard credit factors account for 18% during my sample. In addition, seller shocks possess information for spreads that is independent of institution-wide measures of constraints. These find...
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作者：Calomiris, Charles W.; Jaremski, Matthew
作者单位：Columbia University; National Bureau of Economic Research; Utah System of Higher Education; Utah State University
摘要：Deposit insurance reduces liquidity risk but can increase insolvency risk by encouraging reckless behavior. Several U.S. states installed deposit insurance laws before the creation of the Federal Deposit Insurance Corporation, and those laws applied only to some depository institutions within those states. These experiments present a unique testing ground for investigating the effect of deposit insurance. We show that deposit insurance removed market discipline constraining uninsured banks. Ta...
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作者：Barrot, Jean-Noel; Loualiche, Erik; Sauvagnat, Julien
作者单位：Hautes Etudes Commerciales (HEC) Paris; Center for Economic & Policy Research (CEPR); University of Minnesota System; University of Minnesota Twin Cities; Bocconi University
摘要：In this paper, we investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7% risk premium, suggesting that their cash flows covary negatively with investors' marginal utility. We find that the premium emanates from the risk of displacement of least efficient firms triggered by import competition. These findings suggest that foreign productivity shocks are associated with times w...
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作者：Hartzmark, Samuel M.; Sussman, Abigail B.
作者单位：University of Chicago
摘要：Examining a shock to the salience of the sustainability of the U.S. mutual fund market, we present causal evidence that investors marketwide value sustainability: being categorized as low sustainability resulted in net outflows of more than $12 billion while being categorized as high sustainability led to net inflows of more than $24 billion. Experimental evidence suggests that sustainability is viewed as positively predicting future performance, but we do not find evidence that high-sustainab...
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作者：Martin, Ian W. R.; Wagner, Christian
作者单位：University of London; London School Economics & Political Science; Copenhagen Business School
摘要：We derive a formula for the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to that of the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The theory performs well empirically both in and out of sample. Our results suggest that there is considerably more variation in expected returns, over time and across stocks, than has previously been a...
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作者：Restrepo, Felipe; Cardona-Sosa, Lina; Strahan, Philip E.
作者单位：Western University (University of Western Ontario); Banco de la Republica Colombia; Boston College; National Bureau of Economic Research
摘要：In 2011, Colombia instituted a tax on repayment of bank loans, which increased the cost of short-term bank credit more than long-term credit. Firms responded by cutting short-term loans for liquidity management purposes and increasing the use of cash and trade credit. In industries in which trade credit is more accessible (based on U.S. Compustat firms), we find substitution into accounts payable and little effect on cash and investment. Where trade credit is less available, firms increase cas...
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作者：Ma, Linlin; Tang, Yuehua; Gomez, Juan-Pedro
作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; State University System of Florida; University of Florida; IE University
摘要：We study compensation contracts of individual portfolio managers using hand-collected data of over 4,500 U.S. mutual funds. Variations in the compensation structures are broadly consistent with an optimal contracting equilibrium. The likelihood of explicit performance-based incentives is positively correlated with the intensity of agency conflicts, as proxied by the advisor's clientele dispersion, its affiliations in the financial industry, and its ownership structure. Investor sophistication ...
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作者：Golubov, Andrey; Konstantinidi, Theodosia
作者单位：University of Toronto; City St Georges, University of London
摘要：We study the value premium using the multiples-based market-to-book decomposition of Rhodes-Kropf, Robinson, and Viswanathan (2005). The market-to-value component drives all of the value strategy return, while the value-to-book component exhibits no return predictability in either portfolio sorts or firm-level regressions. Existing results linking market-to-book to operating leverage, duration, exposure to investment-specific technology shocks, and analysts' risk ratings derive from the unpric...
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作者：Andrikogiannopoulou, Angie; Papakonstantinou, Filippos
作者单位：University of London; King's College London
摘要：Barras, Scaillet, and Wermers propose the false discovery rate (FDR) to separate skill (alpha) from luck in fund performance. Using simulations with parameters informed by the data, we find that this methodology is conservative and underestimates the proportion of nonzero-alpha funds. For example, 65% of funds with economically large alphas of +/- 2% are misclassified as zero alpha. This bias arises from the low signal-to-noise ratio in fund returns and the resulting low statistical power. Our...
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作者：Bae, Joon Woo; Elkamhi, Redouane; Simutin, Mikhail
作者单位：University System of Ohio; Case Western Reserve University; University of Toronto
摘要：A growing body of evidence suggests that the benefits of international diversification via developed markets have declined dramatically. While emerging markets still offer diversification opportunities, their public equity indices capture only a fraction of emerging countries' economic activity. We propose a diversification approach that exploits the global connectedness of developed countries to gain exposure to emerging countries' overall economies rather than their shallow equity markets. I...
