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作者：Zviadadze, Irina
作者单位：Stockholm School of Economics
摘要：I relate the downward-sloping term structure of currency carry returns to compensation for currency exposures to macroeconomic risk embedded in the joint dynamics of U.S. consumption, inflation, nominal interest rate, and their stochastic variance. The interest rate and inflation shocks play a prominent role. Higher yield currencies exhibit higher multiperiod exposures to these shocks. The prices of these risk exposures are positive and sizeable across all investment horizons. The interest rat...
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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：Larrain, Mauricio; Stumpner, Sebastian
作者单位：Columbia University; Pontificia Universidad Catolica de Chile; Universite de Montreal
摘要：We study the effects of capital account liberalization on firm capital allocation and aggregate productivity in 10 Eastern European countries. Using a large firm-level data set, we show that capital account liberalization decreases the dispersion in the return to capital across firms, particularly in sectors more dependent on external finance. We provide evidence that capital account liberalization improves capital allocation by allowing financially constrained firms to demand more capital and...
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作者：Schwert, Michael
作者单位：University System of Ohio; Ohio State University
摘要：This paper examines the pricing of municipal bonds. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, and find that default risk accounts for 74% to 84% of the average spread after adjusting for tax-exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi-natural experiment that estimates cha...
