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作者：Hilscher, Jens; Raviv, Alon; Reis, Ricardo
作者单位：University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
摘要：Long-dated inflation swap contracts provide widely used estimates of expected inflation. We develop methods to estimate complementary tail probabilities for persistently very high or low inflation using inflation options prices. We show that three new adjustments to conventional methods are crucial: inflation, horizon, and risk. We find that: (a) U.S. deflation risk in 2011-2014 has been overstated, (b) ECB unconventional policies lowered deflation disaster probabilities, (c) inflation expecta...
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作者：Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai
作者单位：Johns Hopkins University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; New York University
摘要：We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events by synthesizing structural estimation with algorithmic machine learning to quantify bias. We find that investors systematically overreact to perceptions about multiple fundamental shocks, a phenomenon we show often dampens rather than amplifies market volatility via a shock composition effect. Such effects imply that the stock market can underreact to news, even when in...
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作者：Duarte, Jefferson; Jones, Christopher S.; Khorram, Mehdi; Mo, Haitao; Wang, Junbo L.
作者单位：Rice University; University of Southern California; Iowa State University; University of Kansas; Louisiana State University System; Louisiana State University
摘要：Numerous trading strategies examined in options research exhibit remarkably high mean returns and Sharpe ratios. We show some of these seemingly good deals are due to look-ahead biases. These biases stem from using information unavailable at the portfolio formation time to filter out observations suspected of being noisy or erroneous. Our results suggest that elevated Sharpe ratios may serve as potential indicators of such look-ahead biases. Furthermore, deviating from previous literature find...
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作者：Henkel, Luca; Pugnaghi-Zimpelmann, Christian
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tinbergen Institute; University of Hamburg
摘要：This paper introduces a key factor influencing households' decision to invest in the stock market: how people view stockholders. Using surveys we conducted with nearly 8,500 individuals from 11 countries, we document that a large majority hold negative views of stockholders based on identity-relevant characteristics. Linking survey and administrative data, we find that negative perceptions strongly predict households' stock market participation. We show that negative perceptions causally influ...
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作者：Mayordomo, Sergio; Pavanini, Nicola; Tarantino, Emanuele
作者单位：Banco de Espana; Tilburg University; Luiss Guido Carli University
摘要：Between 2009 and 2011, the Spanish banking system underwent a restructuring process based on savings banks' consolidation. The program's design allows us to study how banks' consolidation affects credit supply and performance. We propose a quasi-experimental analysis showing that bank mergers restrict credit supply and set higher interest rates but also reject fewer applicants and report fewer nonperforming loans. We then estimate a structural model of credit in which banks set interest rates ...
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作者：Riddiough, Steven J.; Zhang, Huizhong
作者单位：University of Toronto; University of Toronto; Monash University
摘要：We extract information about future economic conditions from firms' cross-border merger and acquisition announcements, and show it predicts changes in relative economic growth rates and foreign exchange rate returns. We find the predictability is driven by the acquisition decisions of domestic firms, which signal turning points in local economic growth. The findings are motivated by a simple model of exchange rate determination with heterogeneous expectations and support the theorized relation...
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作者：Ozdagli, Ali; Weber, Michael
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; Purdue University System; Purdue University; National Bureau of Economic Research
摘要：We study the importance of production networks for the transmission of monetary policy using the stock market reaction as laboratory. We attribute 55% to 85% of the overall response to network effects. Large network effects are a robust feature of the data; we document similar patterns in realized fundamentals. Matching sparsity and the first two outdegrees industry-by-industry can explain large network effects. A simple model with intermediate inputs predicts the reaction of stock returns fol...
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作者：Seleznev, Sergei; Selezneva, Veronika
作者单位：University of Cyprus; Universite PSL; Universite Paris-Dauphine
摘要：Debt matters for oil supply elasticities. We document the resiliency of oil production to the COVID-19-related collapse in demand due to indebtedness. We use exogenous variation in the timing of debt-related payments to identify financially constrained operators. We show that more financially constrained firms cut production by less than less-constrained firms and were less likely to complete new wells. To explore the mechanisms, we use borrowing-limit cuts and credit-line drawdowns to measure...
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作者：Jha, Manish; Liu, Hongyi; Manela, Asaf
作者单位：University System of Georgia; Georgia State University; Washington University (WUSTL)
摘要：We measure popular sentiment toward finance by applying a large language model to millions of books published in eight countries over hundreds of years. We extensively validate this measure both internally and externally. We document persistent differences in finance sentiment across countries despite ample time-series variation. Books written in the languages of more capitalist countries discuss finance in a more positive context. Finance sentiment is correlated with survey-based measures of ...
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作者：Ma, Yiming; Xiao, Kairong; Zeng, Yao
作者单位：Columbia University; National Bureau of Economic Research; University of Pennsylvania
摘要：Liquidity provision is often attributed to debt-issuing intermediaries like banks. We develop a unified theoretical framework and empirically show that mutual funds issuing demandable equity also provide an economically significant amount of liquidity by insuring against idiosyncratic liquidity shocks. Quantitatively, bond funds provide 12.5% of the liquidity that banks provide per dollar. Our model further shows that when equity values incorporate the liquidation cost from redemptions, as in ...
