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作者：Colacito, Ric; Croce, Mariano M.; Gavazzoni, Federico; Ready, Robert
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; National Bureau of Economic Research; Bocconi University; Center for Economic & Policy Research (CEPR); University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; INSEAD Business School; University of Oregon
摘要：Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply features both global and local short- and long-run shocks. Since news shocks are priced, heterogeneous exposure to long-lasting global growth shocks results in a relevant reallocation ...
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作者：Nathanson, Charles G.; Zwick, Eric
作者单位：Northwestern University; University of Chicago; National Bureau of Economic Research
摘要：This paper studies the role of disagreement in amplifying housing cycles. Speculation is easier in the land market than in the housing market due to frictions that make renting less efficient than owner-occupancy. As a result, undeveloped land facilitates construction and intensifies the speculation that causes booms and busts in house prices. This observation challenges the standard intuition that in cities where construction is easier, house price booms are smaller. It can also explain why t...
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作者：Bai, John (Jianqiu); Carvalho, Daniel; Phillips, Gordon M.
作者单位：Northeastern University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Dartmouth College
摘要：We provide evidence that the deregulation of U.S. state banking markets leads to a significant increase in the relative employment and capital growth of local firms with higher productivity, and that this effect is concentrated among young firms. Using financial data for a broad range of firms, our analysis suggests that this effect is driven by a shift in the composition of local bank credit supply toward more productive firms. We estimate that this effect translates into economically importa...
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作者：Kuhnen, Camelia M.; Melzer, Brian T.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; National Bureau of Economic Research; Dartmouth College; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We investigate a novel determinant of financial distress, namely, individuals' self-efficacy, or belief that their actions can influence the future. Individuals with high self-efficacy are more likely to take precautions that mitigate adverse financial shocks. They are subsequently less likely to default on their debt and bill payments, especially after experiencing negative shocks such as job loss or illness. Thus, noncognitive abilities are an important determinant of financial fragility and...
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作者：Cipriani, Marco; Fostel, Ana; Houser, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Virginia; National Bureau of Economic Research; George Mason University
摘要：We test the asset pricing implications of collateralized borrowing (that is, of using assets as collateral to borrow money) in the laboratory. To this purpose, we develop a general equilibrium model with collateral constraints amenable to laboratory implementation and gather experimental data. In the laboratory, assets that can be leveraged fetch higher prices than assets that cannot, even though assets' payoffs are identical in all states of the world. Collateral value, therefore, creates dev...
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作者：Brown, Stephen; Lu, Yan; Ray, Sugata; Teo, Melvyn
作者单位：New York University; State University System of Florida; University of Central Florida; University of Alabama System; University of Alabama Tuscaloosa; Singapore Management University
摘要：We show that, motivated by sensation seeking, hedge fund managers who own powerful sports cars take on more investment risk but do not deliver higher returns, resulting in lower Sharpe ratios, information ratios, and alphas. Moreover, sensation-seeking managers trade more frequently, actively, and unconventionally, and prefer lottery-like stocks. We show further that some investors are themselves susceptible to sensation seeking and that sensation-seeking investors fuel the demand for sensatio...
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作者：Dugast, Jerome
作者单位：Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS)
摘要：When unscheduled news arrives, investors react with a stochastic delay yet still may exploit new information. In this context, I study the equilibrium dynamics of limit order markets. Continuous idiosyncratic liquidity shocks result in trades on both sides of the order book. News therefore arrives at random times. Following news, order flows become unbalanced and market depth is consumed, leading to positive covariance between price variability, trading volume, and order book unbalances. Holdi...
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作者：Jiang, Wei; Li, Tao; Mei, Danqing
作者单位：Columbia University; State University System of Florida; University of Florida
摘要：In an activist risk arbitrage, a shareholder attempts to improve terms of an announced M&A through public campaigns. Activists target deals with low premiums and those susceptible to managerial conflicts of interest, including going-private deals and deals in which CEOs receive outsized payments. Activist arbitrageurs are associated with a significant decrease in the probability that targets will be sold to the announced bidders, and an increase in the premium paid, both ex post among survivin...
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作者：Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; Dinc, Serdar
作者单位：National University of Singapore; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University System of Ohio; Ohio State University; National Bureau of Economic Research; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：The U.S. House of Representatives Financial Services Committee considered many important banking reforms in 2009 to 2010. We show that, during this period, foreclosure starts on delinquent mortgages were delayed in the districts of committee members although there was no difference in delinquency rates between committee and noncommittee districts. In these areas, banks delayed the foreclosure starts by 0.5 months (relative to the 12-month average). The estimated cost of delay to lenders is an ...
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作者：Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Universita della Svizzera Italiana; University of Geneva; Villanova University; University of Pennsylvania
摘要：Due to their low trading costs, exchange-traded funds (ETFs) are a potential catalyst for short-horizon liquidity traders. The liquidity shocks can propagate to the underlying securities through the arbitrage channel, and ETFs may increase the nonfundamental volatility of the securities in their baskets. We exploit exogenous changes in index membership and find that stocks with higher ETF ownership display significantly higher volatility. ETF ownership increases the negative autocorrelation in...
