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作者：Cole, Shawn; Kanz, Martin; Klapper, Leora
作者单位：Harvard University; National Bureau of Economic Research; The World Bank
摘要：We conduct an experiment with commercial bank loan officers to test how performance compensation affects risk assessment and lending. High-powered incentives lead to greater screening effort and more profitable lending decisions. This effect is muted, however, by deferred compensation and limited liability, two standard features of loan officer compensation contracts. We find that career concerns and personality traits affect loan officer behavior, but show that the response to incentives does...
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作者：Tsoutsoura, Margarita
摘要：This paper provides causal evidence on the impact of succession taxes on firm investment decisions and transfer of control. Using a 2002 policy change in Greece that substantially reduced the tax on intrafamily transfers of businesses, I show that succession taxes lead to a more than 40% decline in investment around family successions, slow sales growth, and a depletion of cash reserves. Furthermore, succession taxes strongly affect the decision to sell or retain the firm within the family. I ...
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作者：Cremers, Martijn; Halling, Michael; Weinbaum, David
作者单位：University of Notre Dame; Utah System of Higher Education; University of Utah; Syracuse University
摘要：We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviat...
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作者：Gandhi, Priyank; Lustig, Hanno
作者单位：University of Notre Dame; University of California System; University of California Los Angeles
摘要：The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small-and medium-sized bank stocks, even though large banks are significantlymore levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small minus big, which has the right covariance with bank returns to explain the average risk-adjusted returns. This factormeasures size-dependent exposure to ...
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作者：Sialm, Clemens; Starks, Laura T.; Zhang, Hanjiang
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research; Nanyang Technological University
摘要：Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. However, participants' inertia could be offset by DC plan sponsors, who adjust the plan's investment options. We examine these countervailing influences on flows into U.S. mutual funds. We find that flows into funds from DC assets are more volatile and exhibit more performance sensitivity than no...
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作者：Von Gaudecker, Hans-Martin
作者单位：University of Bonn
摘要：Household investment mistakes are an important concern for researchers and policymakers alike. Portfolio underdiversification ranks among those mistakes that are potentially most costly. However, its roots and empirical importance are poorly understood. I estimate quantitatively meaningful diversification statistics and investigate their relationship with key variables. Nearly all households that score high on financial literacy or rely on professionals or private contacts for advice achieve r...
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作者：Chiang, I-Hsuan Ethan; Hughen, W. Keener; Sagi, Jacob S.
作者单位：University of North Carolina; University of North Carolina Charlotte; University of North Carolina; University of North Carolina Chapel Hill
摘要：We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity returns. The fit is excellent in and out of sample. The extracted oil factors carry significant risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on characteristics and ...
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作者：Malinova, Katya; Park, Andreas
作者单位：University of Toronto; Copenhagen Business School
摘要：Facing increased competition over the last decade, many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and suppliers matters. Posted quotes adjust after the change in fee composition, but the transaction costs for liquidity demanders remain unaffe...
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作者：Arentsen, Eric; Mauer, David C.; Rosenlund, Brian; Zhang, Harold H.; Zhao, Feng
作者单位：University of Iowa; University of Texas System; University of Texas Dallas
摘要：We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage, and within these pools the loans originated after or shortly before the start of CDS coverage have an even higher delinquency rate. The results are robust across zip code and origination quarter cohorts. Overall, we show ...
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作者：Ross, Steve
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We can only estimate the distribution of stock returns, but from option prices we observe the distribution of state prices. State prices are the product of risk aversion-the pricing kernel-and the natural probability distribution. The Recovery Theorem enables us to separate these to determine the market's forecast of returns and risk aversion from state prices alone. Among other things, this allows us to recover the pricing kernel, market risk premium, and probability of a catastrophe and to c...
