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作者：van Binsbergen, Jules; Cocco, Joao F.; Grotteria, Marco; Naaraayanan, S. Lakshmi
作者单位：University of Pennsylvania; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of London; London Business School
摘要：We quantify the impact of perceived cancer risk on housing values using widely advertised national reclassifications of chemical carcinogenicity in the United States. Combining these information events with an empirical design that compares changes in house values closer to affected toxic plants against those farther away isolates the effect of cancer risk news from other local factors. Focusing on plants previously emitting reclassified carcinogenic chemicals, we estimate a 1-2% decline in ho...
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作者：van Binsbergen, Jules H.; Han, Xiao; Lopez-Lira, Alejandro
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作者：Metrick, Andrew; Schmelzing, Paul
作者单位：National Bureau of Economic Research; Boston College
摘要：We present a new database of banking-crisis interventions, covering 1,946 interventions in 20 categories across 143 countries. We demonstrate that crisis-intervention patterns are significantly related to income and fiscal variables and to measures of the political system and currency regime. GDP losses following crises are economically significant and are larger for wealthier countries, with some evidence that these losses are mitigated by democratic political systems and liberal currency reg...
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作者：Sandulescu, Mirela; Schneider, Paul
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
摘要：We introduce the nonlinear arbitrage correction (NAC), the residual that renders a linear benchmark model arbitrage-free while preserving the law of one price. The price of NAC captures the marginal Sharpe ratio increase consistent with no-arbitrage and upper-bounds the constrained Hansen-Jagannathan distance. Using four decades of international equity, currency, and factor returns, NAC is strongly countercyclical, peaking during crises when linear models turn negative. The implied Sharpe rati...
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作者：Du, Wenxin; Huber, Amy W.
作者单位：Harvard University; National Bureau of Economic Research; University of Pennsylvania
摘要：We collect and analyze detailed filings from global institutional investors to estimate foreign investors' U.S. dollar (USD) security holdings and currency hedging. Over two decades, foreign USD holdings grew sixfold, while hedge ratios rose by 15 percentage points after the 2008-2009 crisis. Currency hedging across mutual funds, pensions, and insurance reached $2 trillion by 2019. Hedging demand varies across investors, currency areas, and banking systems. We show that expected FX returns, be...
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作者：Armantier, Olivier; Holt, Charles
作者单位：Chapman University System; Chapman University; University of Virginia
摘要：A core responsibility of the Federal Reserve is to ensure financial stability by acting as the lender of last resort through its Discount Window (DW). The DW, however, has not been effective because its usage is stigmatized. In this paper, we use theory and experiments to study how such stigma can be cured. We find that behavioral inertia makes it difficult to fix a stigmatized DW, but adding a new backstop facility can help mitigate stigma. These results are consistent with the Federal Reserv...
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作者：Bali, Turan G.; Kelly, Bryan T.; Morke, Mathis; Rahman, Jamil
作者单位：Georgetown University; Yale University; National Bureau of Economic Research; Yale University
摘要：We propose a statistical model of heterogeneous beliefs wherein investors are represented as different machine learning model specifications. Investors form return forecasts from their individual models using common data inputs. We measure disagreement as forecast dispersion across investor-models (MFD). Our measure aligns with analyst forecast disagreement but more powerfully predicts returns. We document a large and robust association between belief disagreement and future returns. A decile ...
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作者：Egan, Mark; MacKay, Alexander; Yang, Hanbin
作者单位：Harvard University; University of Virginia; University of London; London Business School
摘要：We present a portfolio choice demand model that allows for the nonparametric estimation of investors' (subjective) expectations and risk preferences. Using comprehensive 401(k)-plan-level data from 2009 through 2019, we explore heterogeneity in asset allocations using our empirical framework. We recover investors' beliefs about each asset and examine the implications and potential sources of those beliefs. Heterogeneity in expectations across investors accounts for twice as much variation in p...
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作者：Ernst, Thomas; Spatt, Chester
作者单位：University of Maryland College Park; University System of Maryland; University of Maryland College Park; Carnegie Mellon University
摘要：Option wholesalers specialize in purchasing and executing against retail option order flow. Orders are internalized via auctions (which provide price improvement) and the limit order book. Designated market makers (DMMs) have a key advantage in internalizing limit order book trades: they obtain the first five contracts of any order they bring to an exchange where they are a DMM. We exploit variation in DMM assignments and allocation rules to highlight how these rules create a barrier to entry ...
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作者：Backman, Claes; Moran, Patrick; Van Santen, Peter
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of London; London School Economics & Political Science; University of Groningen
摘要：How does the design of debt repayment schedules affect household borrowing? To answer this question, we exploit a Swedish policy reform that eliminated interest-only mortgages for loan-to-value ratios above 50%. We document substantial bunching at the threshold, leading to 5% lower borrowing. Wealthy borrowers drive the results, challenging credit constraints as the primary explanation. We develop a model to evaluate the mechanisms driving household behavior and find that much of the effect co...
