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作者：Addoum, Jawad M.; Delikouras, Stefanos; Korniotis, George M.; Kumar, Alok
作者单位：Cornell University; University of Miami
摘要：We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value factor and first demonstrate that our demand estimates are correlated with the actual demands of retail and mutual fund investors. We then show that the aggregate high-minus-low (HML) demand predicts HML returns. Exploiting the state-level variation in income risk, we demonstrate that state-level hedging demands predict state-level HML returns. A long-short portfolio that expl...
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作者：Zhang, Miao Ben
作者单位：University of Southern California
摘要：This paper studies the asset pricing implications of a firm's opportunities to replace routine-task labor with automation. I develop a model in which firms optimally undertake such replacement when their productivity is low. Hence, firms with routine-task labor maintain a replacement option that hedges their value against unfavorable macroeconomic shocks and lowers their expected returns. Using establishment-level occupational data, I construct a measure of firms' share of routine-task labor. ...
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作者：Nagel, Stefan
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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：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...
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作者：Hartman-Glaser, Barney; Lustig, Hanno; Xiaolan, Mindy Z.
作者单位：University of California System; University of California Los Angeles; Stanford University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
摘要：Although the aggregate capital share of U.S. firms has increased, capital share at the firm-level has decreased. This divergence is due to mega-firms that produce a larger output share without a proportionate increase in labor compensation. We develop a model in which firms insure workers against firm-specific shocks, with more productive firms allocating more rents to shareholders, while less productive firms endogenously exit. Increasing firm-level risk delays exit and increases the measure ...
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作者：Jagannathan, Ravi; Liu, Binying; Zhang, Jiaqi
作者单位：Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology; Northwestern University
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作者：Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan
作者单位：Utah System of Higher Education; University of Utah; University of California System; University of California Berkeley; Queens University - Canada
摘要：We analyze the contribution to price discovery of market and limit orders by high-frequency traders (HFTs) and non-HFTs. While market orders have a larger individual price impact, limit orders are far more numerous. This results in price discovery occurring predominantly through limit orders. HFTs submit the bulk of limit orders and these limit orders provide most of the price discovery. Submissions of limit orders and their contribution to price discovery fall with volatility due to changes i...
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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 ...
