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作者：Bollerslev, Tim; Todorov, Viktor
作者单位：Duke University; Northwestern University
摘要：We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high-frequency intraday data for estimating the expected jump tails under the statistical ...
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作者：Bertrand, Marianne; Morse, Adair
作者单位：Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of Chicago
摘要：Can psychology-guided information disclosure induce borrowers to lower their use of high-cost debt? In a field experiment at payday stores, we find that information that makes people think less narrowly (over time) about finance costs results in less borrowing. In particular, reinforcing the adding-up dollar fees incurred when rolling over loans reduces the take-up of future payday loans by 11% in the subsequent 4 months. Although we remain agnostic as to the overall sufficiency of better disc...
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作者：Grinblatt, Mark; Keloharju, Matti; Linnainmaa, Juhani
作者单位：University of California System; University of California Los Angeles; Aalto University; University of Chicago
摘要：Stock market participation is monotonically related to IQ, controlling for wealth, income, age, and other demographic and occupational information. The high correlation between IQ and participation exists even among the affluent. Supplemental data from siblings, studied with an instrumental variables approach and regressions that control for family effects, demonstrate that IQ's influence on participation extends to females and does not arise from omitted familial and nonfamilial variables. Hi...
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作者：Gopalan, Radhakrishnan; Nanda, Vikram; Yerramilli, Vijay
作者单位：Washington University (WUSTL); University System of Georgia; Georgia Institute of Technology; University of Houston System; University of Houston
摘要：We investigate the effect of poor performance on financial intermediary reputation by estimating the effect of large-scale bankruptcies among a lead arranger's borrowers on its subsequent syndication activity. Consistent with reputation damage, such lead arrangers retain larger fractions of the loans they syndicate, are less likely to syndicate loans, and are less likely to attract participant lenders. The consequences are more severe when borrower bankruptcies suggest inadequate screening or ...
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作者：Illeditsch, Philipp Karl
作者单位：University of Pennsylvania
摘要：I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, investors may not react to price changes even if there are no transaction costs or other market frictions. Moreover, I show that small shocks to cash flow news...
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作者：Cole, Shawn; Sampson, Thomas; Zia, Bilal
作者单位：Harvard University; The World Bank
摘要：Financial development is critical for growth, but its microdeterminants are not well understood. We test leading theories of low demand for financial services in emerging markets, combining novel survey evidence from Indonesia and India with a field experiment. We find a strong correlation between financial literacy and behavior. However, a financial education program has modest effects, increasing demand for bank accounts only for those with limited education or financial literacy. In contras...
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作者：Abrahamson, Mark; Jenkinson, Tim; Jones, Howard
作者单位：University of Oxford
摘要：We compare fees charged by investment banks for conducting IPOs in the United States and Europe. In recent years, the 7% solution, as documented by Chen and Ritter (2000), has become even more prevalent in the United States, and is now the norm for IPOs raising up to $250 million. The same banks dominate both markets, but European IPO fees are roughly three percentage points lower, are much more variable, and have been falling. We review explanations for the gap in spreads and find the evidenc...
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作者：Rajan, Raghuram G.; Ramcharan, Rodney
作者单位：University of Chicago; International Monetary Fund
摘要：We find that, in the early 20th century, counties in the United States where the agricultural elite had disproportionately large land holdings had significantly fewer banks per capita, even correcting for state-level effects. Moreover, credit appears to have been costlier, and access to it more limited, in these counties. The evidence suggests that elites may restrict financial development in order to limit access to finance, and they may be able to do so even in countries with well-developed ...
