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作者：Cohen, Lauren; Gurun, Umit G.; Malloy, Christopher
作者单位：Harvard University; National Bureau of Economic Research; University of Texas System; University of Texas Dallas
摘要：Using customs and port authority data, we show that firms are significantly more likely to trade with countries that have a large resident population near their firm headquarters, and that these connected trades are their most valuable international trades. Using the formation of World War II Japanese internment camps to isolate exogenous shocks to local ethnic populations, we identify a causal link between local networks and firm trade. Firms are also more likely to acquire target firms, and ...
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作者：Schmalz, Martin C.; Sraer, David A.; Thesmar, David
作者单位：University of Michigan System; University of Michigan; University of California System; University of California Berkeley; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
摘要：We show that collateral constraints restrict firm entry and postentry growth, using French administrative data and cross-sectional variation in local house-price appreciation as shocks to collateral values. We control for local demand shocks by comparing treated homeowners to controls in the same region that do not experience collateral shocks: renters and homeowners with an outstanding mortgage, who (in France) cannot take out a second mortgage. In both comparisons, an increase in collateral ...
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作者：Haddad, Valentin; Loualiche, Erik; Plosser, Matthew
作者单位：Princeton University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present value of performance gains and decreases the cost of holding an illiquid investment. A panel of U.S. buyouts confirms this view. The risk premium shapes changes in buyout characteristics over the cycle...
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作者：Almeida, Heitor; Cunha, Igor; Ferreira, Miguel A.; Restrepo, Felipe
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Universidade Nova de Lisboa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Western University (University of Western Ontario)
摘要：We show that sovereign debt impairments can have a significant effect on financial markets and real economies through a credit ratings channel. Specifically, we find that firms reduce their investment and reliance on credit markets due to a rising cost of debt capital following a sovereign rating downgrade. We identify these effects by exploiting exogenous variation in corporate ratings due to rating agencies' sovereign ceiling policies, which require that firms' ratings remain at or below the...
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作者：Henry, Tyler R.; Koski, Jennifer L.
作者单位：University System of Ohio; Miami University; University of Washington; University of Washington Seattle
摘要：We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex-dividend returns. Results show that institutions concentrate trading around certain ex-dates, and earn higher profits around these events. Dividend capture trades represent 6% of all institutional buy trades but contribute 15% of overall abnormal returns. Institutional dividend capture trading is persistent. Institutional ex-day profitability is also strongly cross-sectionally related to trad...
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作者：Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo
作者单位：McGill University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK; Stockholm School of Economics
摘要：This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that, over the life cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the ...
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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：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：Constantinides, George M.; Ghosh, Anisha
作者单位：University of Chicago; National Bureau of Economic Research; Carnegie Mellon University
摘要：We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend...
