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作者：Murfin, Justin; Pratt, Ryan
作者单位：Brigham Young University
摘要：We propose that, by financing their own product sales through captive finance subsidiaries, durable goods manufacturers commit to higher resale values for their products in future periods. Using data on captive financing by the manufacturers of heavy equipment, we find that captive-backed models have lower price depreciation. The evidence is consistent with captive finance helping manufacturers commit to ex-post actions that support used machine prices. This, in turn, conveys higher pledgeabil...
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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：Buss, Adrian; Dumas, Bernard
作者单位：INSEAD Business School; Center for Economic & Policy Research (CEPR); University of Turin; National Bureau of Economic Research
摘要：We incorporate trading fees into a dynamic, multiagent general-equilibrium model in which traders optimally decide when to trade. For that purpose, we propose an innovative algorithm that synchronizes the traders. Securities prices are not so much affected by the payment of the fees itself, but rather by the trade-off that the traders face between smoothing consumption and smoothing holdings. In calibrated examples, the interest rate and welfare decline with trading fees, while risk premia and...
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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：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：Bouchaud, Jean-Philippe; Krueger, Philipp; Landier, Augustin; Thesmar, David
作者单位：University of Geneva; University of Geneva; Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：We propose a theory of the profitability anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional model predictions: (1) analysts are on average too pessimistic regarding the future profits of high-profit firms, (2) the profitability anomaly is str...
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作者：DeVault, Luke; Sias, Richard; Starks, Laura
作者单位：Clemson University; University of Arizona; University of Texas System; University of Texas Austin
摘要：Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross-sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors' demand shocks. We investigate the underlying economic mechanisms and find that common institutional investment styles (e.g., risk management, momentum trading) explain a significant portion of the relation between instituti...
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作者：Eisdorfer, Assaf; Goyal, Amit; Zhdanov, Alexei
作者单位：University of Connecticut; University of Lausanne; Swiss Finance Institute (SFI); Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study whether default options are mispriced in equity values by employing a structural equity valuation model that explicitly takes into account the value of the option to default (or abandon the firm) and uses firm-specific inputs. We implement our model on the entire cross section of stocks and identify both over- and underpriced equities. An investment strategy that buys undervalued stocks and shorts overvalued stocks generates an annual four-factor alpha of about 11% for U.S. stocks. Th...
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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...
