-
作者：Carvalho, Daniel
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Theory suggests that financing frictions can have significant implications for equity volatility by shaping firms' exposure to economic risks. This paper provides evidence that an important determinant of higher equity volatility among research and development (R&D)-intensive firms is fewer financing constraints on firms' ability to access growth options. I provide evidence for this effect by studying how persistent shocks to the value of firms' tangible assets (real estate) affect their subse...
-
作者：Jylhae, Petri
作者单位：Aalto University
摘要：Between 1934 and 1974, the Federal Reserve changed the initial margin requirement for the U.S. stock market 22 times. I use this variation to show that investors' leverage constraints affect the pricing of risk. Consistent with earlier theoretical predictions, I find that tighter leverage constraints result in a flatter relation between betas and expected returns. My results provide strong empirical support for the idea that the constraints investors face may help explain the empirical failure...
-
作者：Aretz, Kevin; Pope, Peter F.
作者单位：University of Manchester; Alliance Manchester Business School; University of London; London School Economics & Political Science; Bocconi University
摘要：We use a stochastic frontier model to obtain a stock-level estimate of thedifferencebetweenafirm's installed production capacity and its optimal capacity. We show that this capacity overhang estimate relates significantly negatively to the cross section of stock returns, even when controlling for popular pricing factors. The negative relation persists among small and largestocks,stockswith more or less reversible investments, and in good and bad economic states. Capacity overhang helps explain...
-
作者：Stein, Jeremy C.; Sunderam, Adi
作者单位：Harvard University; Harvard University
摘要：We develop a model of monetary policy with two key features: the central bank has private information about its long-run target rate and is averse to bond market volatility. In this setting, the central bank gradually impounds changes in its target into the policy rate. Such gradualism represents an attempt to not spook the bond market. However, this effort is partially undone in equilibrium, as markets rationally react more to a given move when the central bank moves more gradually. This time...
-
作者：Fecht, Falko; Hackethal, Andreas; Karabulut, Yigitcan
作者单位：Frankfurt School Finance & Management; Goethe University Frankfurt; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Center for Economic & Policy Research (CEPR)
摘要：We study the conflict of interest that arises when a universal bank conducts proprietary trading alongside its retail banking services. Our data set contains the stock holdings of every German bank and those of their corresponding retail clients. We investigate (i) whether banks sell stocks from their proprietary portfolios to their retail customers, (ii) whether those stocks subsequently underperform, and (iii) whether retail customers of banks engaging in proprietary trading earn lower portf...
-
作者：Loh, Roger K.; Stulz, Rene M.
作者单位：Singapore Management University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Because uncertainty is high in bad times, investors find it harder to assess firm prospects and hence should value analyst output more. However, higher uncertainty makes analysts' tasks harder, so it is unclear whether analyst output is more valuable in bad times. We find that in bad times, analyst revisions have a larger stock-price impact, earnings forecast errors per unit of uncertainty fall, and analyst reports are more frequent and longer. The increased impact of analysts is also more pro...
-
作者：Kozak, Serhiy; Nagel, Stefan; Santosh, Shrihari
作者单位：University of Michigan System; University of Michigan; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University System of Maryland; University of Maryland College Park
摘要：We argue that tests of reduced-form factor models and horse races between characteristics and covariances cannot discriminate between alternative models of investor beliefs. Since asset returns have substantial commonality, absence of near-arbitrage opportunities implies that the stochastic discount factor can be represented as a function of a few dominant sources of return variation. As long as some arbitrageurs are present, this conclusion applies even in an economy in which all cross-sectio...
-
作者：Dimmock, Stephen G.; Gerken, William C.; Graham, Nathaniel P.
作者单位：Nanyang Technological University; University of Kentucky; Texas A&M University System; Texas A&M International University
摘要：Using a novel data set of U.S. financial advisors that includes individuals' employment histories and misconduct records, we show that coworkers influence an individual's propensity to commit financial misconduct. We identify coworkers' effect on misconduct using changes in coworkers caused by mergers of financial advisory firms. The tests include merger-firm fixed effects to exploit the variation in changes to coworkers across branches of the same firm. The probability of an advisor committin...
-
作者：Du, Wenxin; Tepper, Alexander; Verdelhan, Adrien
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - New York; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We find that deviations from the covered interest rate parity (CIP) condition imply large, persistent, and systematic arbitrage opportunities in one of the largest asset markets in the world. Contrary to the common view, these deviations for major currencies are not explained away by credit risk or transaction costs. They are particularly strong for forward contracts that appear on banks' balance sheets at the end of the quarter, pointing to a causal effect of banking regulation on asset price...
-
作者：Atmaz, Adem; Basak, Suleyman
作者单位：Purdue University System; Purdue University; University of London; London Business School; Center for Economic & Policy Research (CEPR)
摘要：We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price and its mean return, volatility, and trading volume. We find that the stock price is convex in cash-flow news and increases in belief dispersion, while its mean return decreases when the view on the stock is optimistic, and vice versa when pessimistic. Moreover, belief dispersion leads to higher ...
