-
作者：Chinco, Alex; Clark-Joseph, Adam D.; Ye, Mao
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make rolling one-minute-ahead return forecasts using the entire cross-section of lagged returns as candidate predictors. The LASSO increases both out-of-sample fit and forecast-implied Sharpe ratios. This out-of-sample success comes from identifying predictors that are unexpected, short-lived, and sparse. Although the LASSO uses a statistical rule rather than economic intuition to identify predictors, the predict...
-
作者：Li, Dan; Schurhoff, Norman
作者单位：Federal Reserve System - USA; University of Lausanne; University of Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR)
摘要：Dealers in the over-the-counter municipal bond market form trading networks with other dealers to mitigate search frictions. Regulatory data show that this network has a core-periphery structure with 10 to 30 hubs and over 2,000 peripheral broker-dealers in which bonds flow from periphery to core and partially back. Central dealers charge investors up to double the round-trip markups compared to peripheral dealers. In turn, central dealers provide immediacy by matching buyers with sellers more...
-
作者：Clementi, Gian Luca; Palazzo, Berardino
作者单位：New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The data show that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets, reducing the risk faced by shareholders and the returns that they are likely to demand. In the one-factor production-based asset pricing model, when the frictions to capital adjustment are shaped to respect the evidence on investment, the model-generated cross-sectional dispersion of returns is only a small fraction of that documented in the data. ...
-
作者：Charness, Gary; Neugebauer, Tibor
作者单位：University of Luxembourg; University of California System; University of California Santa Barbara
摘要：Modigliani and Miller show that the total market value of a firm is unaffected by a repackaging of asset return streams to equity and debt if pricing is arbitrage-free. We investigate this invariance theorem in experimental asset markets, finding value-invariance for assets of identical risks when returns are perfectly correlated. However, exploiting price discrepancies has risk when returns have the same expected value but are uncorrelated, in which case the law of one price is violated. Disc...
-
作者：Eyster, Erik; Rabin, Matthew; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; Harvard University; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such cursed traders generate more trade than those comprising solely rationals. Because rationals arbitrage away distortions caused by cursed traders, mixed markets can generate even more trade. Per-trader volume in cursed markets increases with market size; volume may instead disappear when traders infer others' information fro...
-
作者：Schneider, Paul; Trojani, Fabio
作者单位：Universita della Svizzera Italiana; University of Geneva; University of Geneva
摘要：Under mild assumptions, we recover the model-free conditional minimum variance projection of the pricing kernel on various tradeable realized moments of market returns. Recovered conditional moments predict future realizations and give insight into the cyclicality of equity premia, variance risk premia, and the highest attainable Sharpe ratios under the minimum variance probability. The pricing kernel projections are often U-shaped and give rise to optimal conditional portfolio strategies with...
-
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...
-
作者：Bernstein, Shai; Colonnelli, Emanuele; Iverson, Benjamin
作者单位：National Bureau of Economic Research; University of Chicago; Brigham Young University
摘要：This paper investigates the consequences of liquidation and reorganization on the allocation and subsequent utilization of assets in bankruptcy. Using the random assignment of judges to bankruptcy cases as a natural experiment that forces some firms into liquidation, we find that the long-run utilization of assets of liquidated firms is lower relative to assets of reorganized firms. These effects are concentrated in thin markets with few potential users and in areas with low access to finance....
-
作者：Jagannathan, Ravi; Liu, Binying
作者单位：Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology
摘要：We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample, 25.3% to 27.1% of the variation in annual stock index returns over the same time horizon, with learning contributing approximately half of the predictability in returns. These findings support the view that...
-
作者：Andersen, Leif; Duffie, Darrell; Song, Yang
作者单位：Stanford University; National Bureau of Economic Research; University of Washington; University of Washington Seattle
摘要：In this paper, we demonstrate that the funding value adjustments (FVAs) of major dealers are debt overhang costs to their shareholders. To maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case studies include interest-rate swap FVAs and violations of covered interest parity. Contrary to current valuation practice, FVAs are not themselves components of the market values of the positions being financed. Current dealer practice does, however, align incentives between t...
