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作者：Garmaise, Mark J.; Moskowitz, Tobias J.
作者单位：University of California System; University of California Los Angeles; University of Chicago; National Bureau of Economic Research
摘要：We provide a model of the effects of catastrophic risk on real estate financing and prices and demonstrate that insurance market imperfections can restrict the supply of credit for catastrophe-susceptible properties. Using unique micro-level data, we find that earthquake risk decreased commercial real estate bank loan provision by 22% in California properties in the 1990s, with more severe effects in African-American neighborhoods. We show that the 1994 Northridge earthquake had only a short-t...
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作者：Hahn, Jaehoon; Lee, Hangyong
作者单位：Yonsei University; Hanyang University
摘要：Building on a model of corporate investment under collateral constraints, we develop and test a hypothesis on the differential effect of debt capacity on stock returns across financially constrained and unconstrained firms. Consistent with the hypothesis, we find that debt capacity is a significant determinant of stock returns only in the cross-section of financially constrained firms, after controlling for beta, size, book-to-market, leverage, and momentum. The findings suggest that cross-sec...
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作者：Bollen, Nicolas P. B.; Whaley, Robert E.
作者单位：Vanderbilt University
摘要：Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's exposure to risk factors. If exposures are assumed constant when, in fact, they vary through time, estimated abnormal returns may be incorrect. We employ an optimal changepoint regression that allows risk...
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作者：Aguerrevere, Felipe L.
作者单位：University of Alberta
摘要：We study how competition in the product market affects the link between firms' real investment decisions and their asset return dynamics. In our model, assets in place and growth options have different sensitivities to market wide uncertainty. The strategic behavior of market participants influences the relative importance of these components of firm value. We show that the relationship between the degree of competition and assets' expected rates of return varies with product market demand. Wh...
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作者：Dumas, Bernard; Kurshev, Alexander; Uppal, Raman
作者单位：Swiss Finance Institute (SFI); University of Lausanne; University of London; London Business School
摘要：Our objective is to identify the trading strategy that would allow an investor to take advantage of excessive stock price volatility and sentiment fluctuations. We construct a general equilibrium difference-of-opinion model of sentiment in which there are two classes of agents, one of which is overconfident about a public signal, while still optimizing intertemporally. Overconfident investors overreact to the signal and introduce an additional risk factor causing stock prices to be excessively...
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作者：Grinblatt, Mark; Keloharju, Matti
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Aalto University
摘要：This study analyzes the role that two psychological attributes-sensation seeking and overconfidence-play in the tendency of investors to trade stocks. Equity trading data from Finland are combined with data from investor tax filings, driving records, and mandatory psychological profiles. We use these data, obtained from a large population, to construct measures of overconfidence and sensation seeking tendencies. Controlling for a host of variables, including wealth, income, age, number of stoc...
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作者：Da, Zhi
作者单位：University of Notre Dame
摘要：I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the pe...
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作者：Loutskina, Elena; Strahan, Philip E.
作者单位：University of Virginia; Boston College; University of Pennsylvania; National Bureau of Economic Research
摘要：Low-cost deposits and increased balance sheet liquidity raise banks' supply of illiquid loans more than loans easily sold or securitized. We exploit the inability of Fannie Mae and Freddie Mac to purchase jumbo mortgages to identify an exogenous change in liquidity. The volume of jumbo mortgage originations relative to nonjumbo originations increases with bank holdings of liquid assets and decreases with bank deposit costs. This result suggests that the increasing depth of the mortgage seconda...
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作者：Dellavigna, Stefano; Pollet, Joshua M.
作者单位：University of California System; University of California Berkeley; Emory University
摘要：Does limited attention among investors affect stock returns ? We compare the response to earnings announcements on Friday, when investor inattention is more likely, to the response on other weekdays. If inattention influences stock prices, we should observe less immediate response and more drift for Friday announcements. Indeed, Friday announcements have a 15% lower immediate response and a 70% higher delayed response. A portfolio investing in differential Friday drift earns substantial abnorm...
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作者：Ian Carlin, Bruce; Gervais, Simon
作者单位：University of California System; University of California Los Angeles; Duke University
摘要：We analyze how the work ethic of managers impacts a firm's employment contracts, riskiness, growth potential, and organizational structure. Flat contracts are optimal for diligent managers because they reduce risk-sharing costs, but they attract egoistic agents who shirk and unskilled agents who add no value. Stable, bureaucratic firms with low growth potential are more likely to gain value from managerial diligence. Firms that hire from a virtuous pool of agents are more conservative in their...
