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作者：Fagereng, Andreas; Gottlieb, Charles; Guiso, Luigi
作者单位：Statistics Norway; Centre for Economic Policy Research - UK
摘要：Using error-free data on life-cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life-cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per-period participation cost, and a yearly probability...
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作者：Filipovic, Damir; Larsson, Martin; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures non-negative interest rates, (ii) easily accommodates unspanned factors affecting volatility and risk premiums, and (iii) admits semi-analytical solutions to swaptions. A parsimonious model specification within the linear-rational class has a...
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作者：Duchin, Ran; Gilbert, Thomas; Harford, Jarrad; Hrdlicka, Christopher
作者单位：University of Washington; University of Washington Seattle
摘要：U.S. industrial firms invest heavily in noncash, risky financial assets such as corporate debt, equity, and mortgage-backed securities. Risky assets represent 40% of firms' financial portfolios, or 6% of total book assets. We present a formal model to assess the optimality of this behavior. Consistent with the model, risky assets are concentrated in financially unconstrained firms holding large financial portfolios, are held by poorly governed firms, and are discounted by 13% to 22% compared t...
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作者：Melzer, Brian T.
作者单位：Northwestern University
摘要：Homeowners at risk of default face a debt overhang that reduces their incentive to invest in their property: in expectation, some value created by investments in the property will go to the lender. This agency conflict affects housing investments. Homeowners at risk of default cut back substantially on home improvements and mortgage principal payments, even when they appear financially unconstrained. Meanwhile, they do not reduce spending on assets that they may retain in default, including ho...
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作者：Bernstein, Shai; Korteweg, Arthur; Laws, Kevin
作者单位：Stanford University; National Bureau of Economic Research; University of Southern California
摘要：This paper uses a randomized field experiment to identify which start-up characteristics are most important to investors in early-stage firms. The experiment randomizes investors' information sets of fund-raising start-ups. The average investor responds strongly to information about the founding team, but not to firm traction or existing lead investors. We provide evidence that the team is not merely a signal of quality, and that investing based on team information is a rational strategy. Toge...
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作者：Dell'Ariccia, Giovanni; Laeven, Luc; Suarez, Gustavo A.
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK; European Central Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on banks' internal ratings on loans to businesses over the period 1997 to 2011 from the Federal Reserve's Survey of Terms of Business Lending. We find that ex ante risk-taking by banks (measured by the risk rating of new loans) is negatively associated with increases in short-term interest rates. This relationship is more pronounced in regions that are less in sync with the nat...
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作者：Liang, Hao; Renneboog, Luc
作者单位：Singapore Management University; Tilburg University
摘要：Using corporate social responsibility (CSR) ratings for 23,000 companies from 114 countries, we find that a firm's CSR rating and its country's legal origin are strongly correlated. Legal origin is a stronger explanation than doing good by doing well factors or firm and country characteristics (ownership concentration, political institutions, and globalization): firms from common law countries have lower CSR than companies from civil law countries, with Scandinavian civil law firms having the ...
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作者：Bradley, Daniel; Gokkaya, Sinan; Liu, Xi
作者单位：State University System of Florida; University of South Florida; University System of Ohio; Ohio University
摘要：Using hand-collected biographical information on financial analysts from 1983 to 2011, we find that analysts making forecasts on firms in industries related to their preanalyst experience have better forecast accuracy, evoke stronger market reactions to earning revisions, and are more likely to be named Institutional Investor all-stars. Plausibly exogenous losses of analysts with related industry experience have real financial market implications-changes in firms' information asymmetry and pri...
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作者：Faccio, Mara; Hsu, Hung-Chia
作者单位：Purdue University System; Purdue University; University of Arkansas System; University of Arkansas Fayetteville
摘要：We investigate the employment consequences of private equity buyouts. We find evidence of higher job creation, on average, at the establishments operated by targets of politically connected private equity firms than at those operated by targets of nonconnected private equity firms. Consistent with an exchange of favors story, establishments operated by targets of politically connected private equity firms increase employment more during election years and in states with high levels of corrupti...
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作者：Nakajima, Makoto; Telyukova, Irina A.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Reverse mortgage loans (RMLs) allow older homeowners to borrow against housing wealth without moving. Despite rapid growth in this market, only 1.9% of eligible homeowners had RMLs in 2013. In this paper, we analyze reverse mortgages in a calibrated life-cycle model of retirement. The average welfare gain from RMLs is $252 per homeowner, and $1,770 per RML borrower. Bequest motives, uncertainty about health and expenses, and loan costs account for low demand. According to the model, the Great ...
