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作者：Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang
作者单位：Stanford University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：We characterize the role of benchmarks in price transparency of over-the-counter markets. A benchmark can raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the market transparency promoted by benchmarks reduces dealers' profit margins, dealers may nonetheless introduce a benchmark to encourage greater market participation by investors. Low-cost dealers may also introduce a b...
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作者：Kahraman, Bige; Tookes, Heather E.
作者单位：Yale University
摘要：Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to identify a causal relationship between traders' ability to borrow and a stock's market liquidity. To quantify the impact of trader leverage, we employ a regression discontinuity design that exploits threshold rules that determine a stock's margin trading eligibility. We find that liquidity is higher when stocks become eligible formargin trading and that this liquidity enhance...
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作者：Knupfer, Samuli; Rantapuska, Elias; Sarvimaki, Matti
作者单位：BI Norwegian Business School; Centre for Economic Policy Research - UK; Aalto University; VATT Institute for Economic Research
摘要：We trace the impact of formative experiences on portfolio choice. Plausibly exogenous variation in workers' exposure to a depression allows us to identify the effects and a new estimation approach makes addressing wealth and income effects possible. We find that adversely affected workers are less likely to invest in risky assets. This result is robust to a number of control variables and it holds for individuals whose income, employment, and wealth were unaffected. The effects travel through ...
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作者：Tuzel, Selale; Zhang, Miao Ben
作者单位：University of Southern California
摘要：Firm location affects firm risk through local factor prices. We find more procyclical factor prices such as wages and real estate prices in areas with more cyclical economies, namely, high local beta areas. While procyclical wages provide a natural hedge against aggregate shocks and reduce firm risk, procyclical prices of real estate, which are part of firm assets, increase firm risk. We confirm that firms located in higher local beta areas have lower industry-adjusted returns and conditional ...
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作者：Kuehn, Lars-Alexander; Simutin, Mikhail; Wang, Jessie Jiaxu
作者单位：Carnegie Mellon University; University of Toronto; Arizona State University; Arizona State University-Tempe
摘要：We show that labor search frictions are an important determinant of the cross-section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment decisions under labor search frictions. In the model, loadings on labor market tightness proxy for priced time-variation in the efficiency of the aggregate matc...
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作者：Nozawa, Yoshio
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I decompose the variation of credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses. Using a log-linearized pricing identity and a vector autoregression applied to microlevel data from 1973 to 2011, I find that expected returns contribute to the cross-sectional variance of credit spreads nearly as much as expected credit loss does. However, most of the time-series variation in credit spreads for the market portfolio corresponds to risk premi...
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作者：Kroencke, Tim A.
作者单位：University of Basel
摘要：This paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption-based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a simple model of the filtering process that allows one to undo the filtering inherent in NIPA consumption. Unfiltered NIPA consumption well explains the equity premium and is priced in the cross-sect...
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作者：Yang, Liyan; Zhu, Haoxiang
作者单位：University of Toronto; Peking University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We show that a linear pure strategy equilibrium may not exist in the model of Madrigal (1996), contrary to the claim of the original paper. This is because Madrigal's characterization of a pure strategy equilibrium omits a second-order condition. If the nonfundamental speculator's information about noise trading is sufficiently precise, a linear pure strategy equilibrium fails to exist. In parameter regions where a pure strategy equilibrium does exist, we identify a few calculation errors in M...
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作者：Merkley, Kenneth; Michaely, Roni; Pacelli, Joseph
作者单位：Cornell University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We examine changes in the scope of the sell-side analyst industry and whether these changes impact information dissemination and the quality of analysts' reports. Our findings suggest that changes in the number of analysts covering an industry impact analyst competition and have significant spillover effects on other analysts' forecast accuracy, bias, report informativeness, and effort. These spillover industry effects are incremental to the effects of firm level changes in analyst coverage. O...
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作者：Berk, Jonathan B.; van Binsbergen, Jules H.; Liu, Binying
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania; Hong Kong University of Science & Technology
摘要：We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms. The firm's decision to reallocate capital among its mutual fund managers adds at least $474,000 a month, which amounts to over 30% of the total value added of the industry. We provide evidence that this additional value added results from the firm's private information about the skill of its managers. The firm captures this value because investors reward the firm following a capital rea...
