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作者：Hoberg, Gerard; Phillips, Gordon
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：We examine how product market competition affects firm cash flows and stock returns in industry booms and busts. Our results show how real and financial factors interact in industry business cycles. In competitive industries, we find that high industry-level stock market valuation, investment, and financing are followed by sharply lower operating cash flows and abnormal stock returns. Analyst estimates are positively biased and returns comove more. In concentrated industries these relations ar...
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作者：Liberti, Jose M.; Mian, Atif R.
作者单位：DePaul University; University of Chicago; National Bureau of Economic Research
摘要：We show that institutions that promote financial development ease borrowing constraints by lowering the collateral spread and shifting the composition of acceptable collateral towards firm-specific assets. Collateral spread is defined as the difference in collateralization rates between high- and low-risk borrowers. The average collateral spread is large but declines rapidly with improvements in financial development driven by stronger institutions. We also show that the composition of collate...
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作者：Verdelhan, Adrien
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper presents a model that reproduces the uncovered interest rate parity puzzle. Investors have preferences with external habits. Countercyclical risk premia and procyclical real interest rates arise endogenously. During bad times at home, when domestic consumption is close to the habit level, the representative investor is very risk averse. When the domestic investor is more risk averse than her foreign counterpart, the exchange rate is closely tied to domestic consumption growth shocks...
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作者：Chui, Andy C. W.; Titman, Sheridan; Wei, K. C. John
作者单位：Hong Kong Polytechnic University; University of Texas System; University of Texas Austin; National Bureau of Economic Research; Hong Kong University of Science & Technology
摘要：This paper examines how cultural differences influence the returns of momentum strategies. Cross-country cultural differences are measured with an individualism index developed by Hofstede (2001), which is related to overconfidence and self-attribution bias. We find that individualism is positively associated with trading volume and volatility, as well as to the magnitude of momentum profits. Momentum profits are also positively related to analyst forecast dispersion, transaction costs, and th...
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作者：Hameed, Allaudeen; Kang, Wenjin; Viswanathan, S.
作者单位：National University of Singapore; Duke University
摘要：Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. We document interindustry spillover effects in liquidity, which are likely to ar...
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作者：Gerardi, Kristopher S.; Rosen, Harvey S.; Willen, Paul S.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Princeton University; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：We develop a technique to assess the impact of changes in mortgage markets on households, exploiting an implication of the permanent income hypothesis: The higher a household's expected future income, the higher its desired consumption, ceteris paribus. With perfect credit markets, desired consumption matches actual consumption and current spending forecasts future income. Because credit market imperfections mute this effect, the extent to which house spending predicts future income measures t...
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作者：Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio
作者单位：Imperial College London; University of St Gallen; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging co...
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作者：Campbell, John Y.; Serfaty-De Medeiros, Karine; Viceira, Luis M.
作者单位：Harvard University; Harvard University; National Bureau of Economic Research
摘要：Over the period 1975 to 2005, the U.S. dollar (particularly in relation to the Canadian dollar), the euro, and the Swiss franc (particularly in the second half of the period) moved against world equity markets. Thus, these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the U.S. dollar. There is little e...
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作者：Jagannathan, Ravi; Malakhov, Alexey; Novikov, Dmitry
作者单位：Northwestern University; National Bureau of Economic Research; University of Arkansas System; University of Arkansas Fayetteville
摘要：In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund's performance to its decision to liquidate or close in order to infer the performance of a hedge fund that left the databa...
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作者：Barras, Laurent; Scaillet, Olivier; Wermers, Russ
作者单位：McGill University; University of Geneva; University System of Maryland; University of Maryland College Park
摘要：This paper develops a simple technique that controls for false discoveries, or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We find that 75% of funds exhibit zero alpha (net of expenses), consistent with the Berk and Green equilibrium. Further, we find a significant proportion of skilled (positive alpha) funds prior to 1996, but...
