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作者：Hong, Harrison; Sraer, David A.
作者单位：Princeton University; University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：The risk and return trade-off, the cornerstone of modern asset pricing theory, is often of the wrong sign. Our explanation is that high-beta assets are prone to speculative overpricing. When investors disagree about the stock market's prospects, high-beta assets are more sensitive to this aggregate disagreement, experience greater divergence of opinion about their payoffs, and are overpriced due to short-sales constraints. When aggregate disagreement is low, the Security Market Line is upward-...
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作者：Brown, Jennifer; Matsa, David A.
作者单位：Northwestern University; National Bureau of Economic Research
摘要：We use novel data from a leading online job search platform to examine the impact of corporate distress on firms' ability to attract job applicants. Survey responses suggest that job seekers accurately perceive firms' financial condition, as measured by companies' credit default swap prices and accounting data. Analyzing responses to job postings by major financial firms during the Great Recession, we find that an increase in an employer's distress results in fewer and lower quality applicants...
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作者：Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo
作者单位：University of Mannheim; Center for Economic & Policy Research (CEPR); University of Alabama System; University of Alabama Birmingham; Universidad Torcuato Di Tella; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：We show that consumption-based asset pricing models with time-separable preferences generate realistic amounts of stock price volatility if one allows for small deviations from rational expectations. Rational investors with subjective beliefs about price behavior optimally learn from past price observations. This imparts momentum and mean reversion into stock prices. The model quantitatively accounts for the volatility of returns, the volatility and persistence of the price-dividend ratio, and...
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作者：Borovicka, Jaroslav; Hansen, Lars Peter; Scheinkman, Jose A.
作者单位：New York University; National Bureau of Economic Research; University of Chicago; Columbia University; Princeton University
摘要：Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingale component of the stochastic discount factor process. This component recovers a probability measure that absorbs long-term risk adjustments. When the martingale is not degenerat...
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作者：Bolton, Patrick
作者单位：Columbia University
摘要：Economic analyses of corporate finance, money, and sovereign debt are largely considered separately. I introduce a novel corporate finance framing of sovereign finance based on the analogy between fiat liabilities for sovereigns and equity for corporations. The analysis focuses on financial constraints at the country level, making explicit the trade-offs involved in relying on domestic versus foreign-currency debt to finance investments or government expenditures. This framing provides new ins...
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作者：Cohn, Jonathan B.; Wardlaw, Malcolm I.
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Dallas
摘要：We present evidence that financing frictions adversely impact investment in work-place safety, with implications for worker welfare and firm value. Using several identification strategies, we find that injury rates increase with leverage and negative cash flow shocks, and decrease with positive cash flow shocks. We show that firm value decreases substantially with injury rates. Our findings suggest that investment in worker safety is an economically important margin on which firms respond to f...
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作者：Singleton, Kenneth J.
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作者：Johannes, Michael; Lochstoer, Lars A.; Mou, Yiqun
作者单位：Columbia University
摘要：This paper characterizes U.S. consumption dynamics from the perspective of a Bayesian agent who does not know the underlying model structure but learns over time from macroeconomic data. Realistic, high-dimensional macroeconomic learning problems, which entail parameter, model, and state learning, generate substantially different subjective beliefs about consumption dynamics compared to the standard, full-information rational expectations benchmark. Beliefs about long-run dynamics are volatile...
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作者：Cieslak, Anna; Povala, Pavol
作者单位：Duke University; University of London
摘要：Using a novel no-arbitrage model and extensive second-moment data, we decompose conditional volatility of U.S. Treasury yields into volatilities of short-rate expectations and term premia. Short-rate expectations become more volatile than premia before recessions and during asset market distress. Correlation between shocks to premia and shocks to short-rate expectations is close to zero on average and varies with the monetary policy stance. While Treasuries are nearly unexposed to variance sho...
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作者：Povel, Paul; Sertsios, Giorgo; Kosova, Renata; Kumar, Praveen
作者单位：University of Houston System; University of Houston; Universidad de los Andes - Chile; Imperial College London; University of Houston System; University of Houston
摘要：We study the performance of investments made at different points of an investment cycle. We use a large data set covering hotels in the United States, with rich details on their location, characteristics, and performance. We find that hotels built during hotel construction booms underperform their peers. For hotels built during local hotel construction booms, this underperformance persists for several decades. We examine possible explanations for this long-lasting underperformance. The evidenc...
