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作者：Cederburg, Scott; O'Doherty, Michael S.
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：Prior studies find that a strategy that buys high-beta stocks and sells low-beta stocks has a significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it appears to pay to bet against beta. We show, however, that the conditional beta for the high-minus-low beta portfolio covaries negatively with the equity premium and positively with market volatility. As a result, the unconditional alpha is a downward-biased estimate of the true alpha. We model the conditional ...
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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：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：Koijen, Ralph S. J.; Van Nieuwerburgh, Stijn; Yogo, Motohiro
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research; Princeton University
摘要：We develop a pair of risk measures, health and mortality delta, for the universe of life and health insurance products. A life-cycle model of insurance choice simplifies to replicating the optimal health and mortality delta through a portfolio of insurance products. We estimate the model to explain the observed variation in health and mortality delta implied by the ownership of life insurance, annuities including private pensions, and long-term care insurance in the Health and Retirement Study...
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作者：Behn, Markus; Haselmann, Rainer; Wachtel, Paul
作者单位：European Central Bank; Goethe University Frankfurt; New York University
摘要：We use a quasi-experimental research design to examine the effect of model-based capital regulation on the procyclicality of bank lending and firms' access to funds. In response to an exogenous shock to credit risk in the German economy, capital charges for loans under model-based regulation increased by 0.5percentage points. As a consequence, banks reduced the amount of these loans by 2.1 to 3.9percentage points more than for loans under the traditional approach with fixed capital charges. We...
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作者：Lim, Jongha; Sensoy, Berk A.; Weisbach, Michael S.
作者单位：California State University System; California State University Fullerton; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Indirect incentives exist in the money management industry when good current performance increases future inflows of capital, leading to higher future fees. For the average hedge fund, indirect incentives are at least 1.4 times as large as direct incentives from incentive fees and managers' personal stakes in the fund. Combining direct and indirect incentives,manager wealth increases by at least $0.39 for a $1 increase in investor wealth. Younger and more scalable hedge funds have stronger flo...
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作者：Muravyev, Dmitriy
作者单位：Boston College
摘要：I show that the inventory risk faced by market-makers has a first-order effect on option prices. I introduce a simple approach that decomposes the price impact of trades into inventory risk and asymmetric information components. While both components are large for option trades, the inventory risk component is larger. Using the full panel of daily option returns, I find that option order imbalances attributable to inventory risk have five times larger impact on option prices than previously th...
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作者：Bolton, Patrick; Santos, Tano; Scheinkman, Jose A.
作者单位：Columbia University; National Bureau of Economic Research; Princeton University
摘要：We propose a model in which investors may choose to acquire costly information that identifies good assets and purchase these assets in opaque (OTC) markets. Uninformed investors access an asset pool that has been cream-skimmed by informed investors. When the quality composition of assets for sale is fixed, there is too much information acquisition and the financial industry extracts excessive rents. In the presence of moral hazard in origination, the social value of information varies inverse...
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作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin; City St Georges, University of London; Centre for Economic Policy Research - UK; Bank for International Settlements (BIS)
摘要：We study the information in order flows in the world's largest over-the-counter market, the foreign exchange (FX) market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of FX end-users. The results suggest that order flows are highly informative about future exchange rates and provide significant economic value. We also find that different customer groups can share risk with each other effectively through the intermediation of a la...
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作者：Daley, Brendan; Green, Brett
作者单位：Duke University; University of California System; University of California Berkeley
摘要：We propose an information-based theory to explain time variation in liquidity and link it to a variety of patterns in asset markets. In normal times, the market is fully liquid and gains from trade are realized immediately. However, the equilibrium also involves periods during which liquidity dries up, which leads to endogenous liquidation costs. Traders correctly anticipate such costs, which reduces their willingness to pay. This foresight leads to a novel feedback effect between prices and m...
