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作者：Riedl, Arno; Smeets, Paul
作者单位：Tilburg University; Maastricht University; Maastricht University; Maastricht University
摘要：To understand why investors hold socially responsible mutual funds, we link administrative data to survey responses and behavior in incentivized experiments. We find that both social preferences and social signaling explain socially responsible investment (SRI) decisions. Financial motives play less of a role. Socially responsible investors in our sample expect to earn lower returns on SRI funds than on conventional funds and pay higher management fees. This suggests that investors are willing...
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作者：Cujean, Julien; Hasler, Michael
作者单位：University System of Maryland; University of Maryland College Park; University of Toronto
摘要：We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions polarize. Disagreement thus spikes in bad times, causing returns to react to past news. This phenomenon creates a positive relation between disagreement and future returns. It also generates time-series momentu...
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作者：Colliard, Jean-Edouard; Hoffmann, Peter
作者单位：Hautes Etudes Commerciales (HEC) Paris; European Central Bank
摘要：We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity and in turn market quality. Consistent with theories of asset pricing under transaction costs, we document a shift in security holdings from short-term to long-te...
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作者：Bhutta, Neil; Dokko, Jane; Shan, Hui
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Brookings Institution
摘要：From 2007 to 2009 U.S. house prices plunged and mortgage defaults surged. While ostensibly consistent with widespread ruthless default, analysis of detailed mortgage and house price data indicates that borrowers do not walk away until they are deeply underwaterfar deeper than traditional models predict. The evidence suggests that lender recourse is not the major driver of this result. We argue that emotional and behavioral factors play an important role in decisions to continue paying. Borrowe...
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作者：Moreira, Alan; Savov, Alexi
作者单位：University of Rochester; New York University; National Bureau of Economic Research
摘要：We build a macrofinance model of shadow bankingthe transformation of risky assets into securities that are money-like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral-intensive funding. Shadow banking collapses, liquidity provision sh...
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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：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...
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作者：Du, Songzi; Zhu, Haoxiang
作者单位：Simon Fraser University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We study the design of credit default swaps (CDS) auctions, which determine the payments by CDS sellers to CDS buyers following defaults of bonds. Using a simple model, we find that the current design of CDS auctions leads to biased prices and inefficient allocations. This is because various restrictions imposed in CDS auctions prevent certain investors from participating in the price discovery and allocation process. The imposition of a price cap or floor also gives dealers large influence on...
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作者：Ready, Robert; Roussanov, Nikolai; Ward, Colin
作者单位：University of Oregon; University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：Persistent interest rate differentials account for much of the currency carry trade profitability. Commodity currencies offer high interest rates on average, while countries that export finished goods tend to have low interest rates. We develop a general equilibrium model of international trade and currency pricing where countries have an advantage in producing either basic inputs or final goods. In the model, domestic production insulates commodity-producing countries from global productivity...
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作者：Shue, Kelly; Townsend, Richard R.
作者单位：Yale University; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：We examine how an increase in stock option grants affects CEO risk-taking. The overall net effect of option grants is theoretically ambiguous for risk-averse CEOs. To overcome the endogeneity of option grants, we exploit institutional features of multiyear compensation plans, which generate two distinct types of variation in the timing of when large increases in new at-the-money options are granted. We find that, given average grant levels during our sample period, a 10% increase in new option...
