-
作者：Barardehi, Yashar H.; Bogousslavsky, Vincent; Muravyev, Dmitriy
作者单位：Virginia Polytechnic Institute & State University; Boston College; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We study how intraday and overnight components of past returns predict future stock returns from 1926 to 2019. Portfolios formed on past intraday returns display momentum without long-term reversal, whereas portfolios formed on past overnight returns display no momentum. We link this asymmetric day-night pattern to the fact that most trading occurs intraday, which has remained stable over time. Evidence from international stock markets, intraday intervals, and analyst expectations suggests tha...
-
作者：Hu, Yunzhi; Varas, Felipe; Ying, Chao
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Hong Kong University of Science & Technology; University of Texas System; University of Texas Dallas; Chinese University of Hong Kong
摘要：This paper studies how a borrower issues long- and short-term debt in response to shocks to the fundamental value. Short-term debt protects creditors from future dilution and incentivizes the borrower to reduce leverage after small negative shocks. Long-term debt postpones default and allows the borrower time to recover after large negative shocks. When borrowers are in distress, they rely on short-term debt; however, they issue both types of debt during more normal periods. Our model generate...
-
作者：Drechsel-Grau, Moritz; Greimel, Fabian
作者单位：University of Munich; University of Vienna
摘要：This paper studies whether the interplay of social comparisons in housing and rising income inequality contributed to the household debt boom in the United States between 1980 and 2007. We develop a tractable macroeconomic model with general social comparisons in housing to show that changes in the distribution of income affect aggregate housing demand, aggregate debt, and house prices if (and only if) social comparisons are asymmetric. In the empirically relevant case of upward-looking compar...
-
作者：Biais, Bruno; Landier, Augustin
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We study the interaction between firms, which can invest in green technologies, and a government, which can impose emission caps but has limited commitment power. Investment in green technologies generates innovation spillovers, reducing the cost of further investments. Spillovers generate intertemporal strategic complementarities between firms and government, and equilibrium multiplicity. In a green equilibrium, firms, anticipating caps, invest in green technologies, which reduces the cost of...
-
作者：Howell, Sabrina T.; Jang, Yeejin; Kim, Hyeik; Weisbach, Michael S.
作者单位：Harvard University; National Bureau of Economic Research; University of New South Wales Sydney; University of California System; University of California Riverside; University System of Ohio; Ohio State University
摘要：We study privatization and corporate ownership in transportation infrastructure, focusing on global airports. Privatization in general does not improve performance. However, private equity (PE) ownership has strong and persistent positive effects on efficiency, volume, and quality, with positive externalities for the local economy. We address selection using close auctions where PE and non-PE firms bid. PE funds expand physical capacity and encourage larger planes while adding low-cost carrier...
-
作者：Segura, Anatoli; Vicente, Sergio
作者单位：European Central Bank; Bank of Italy; Centre for Economic Policy Research - UK; University of Luxembourg
摘要：We analyze optimal cross-country risk sharing and bank capital requirements amid collective moral hazard by governments and banks. Transfers provide insurance but weaken fiscal discipline. Since lenient fiscal policies amplify banks' risk-shifting, optimal support must be contingent on banking system health. For fiscally weak countries, support is larger in sovereign crises with solvent banks. For fiscally strong countries, support is larger in joint sovereign and bank crises, requiring deposi...
-
作者：Huang, Shiyang; Lu, Xu; Song, Yang; Xiang, Hong
作者单位：University of Hong Kong; University of Washington Seattle; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
摘要：We show that scale in active equity portfolios is understated by at least 65 because the majority of mutual funds have twin institutional vehicles (IVs) managed under the same strategies. Omitting these IVs can severely skew crucial estimates in asset management research: by including IV assets, diminishing returns to scale of active investments is significantly reduced, and dollar value added of active strategies is more substantial and persistent than previously suggested. We further show th...
-
作者：Cespedes, Jacelly; Parra, Carlos; Sialm, Clemens
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Pontificia Universidad Catolica de Chile; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Mortgage cramdown enabled bankruptcy judges to discharge the underwater portion of a mortgage in a chapter 13 bankruptcy until the Supreme Court disallowed this practice in 1993. We investigate the impact of mortgage cramdown on household distress exploiting the random assignment of cases to judges. The impact of bankruptcy protection on foreclosures is reduced by more than half after the Supreme Court disallowed cramdown. Our results suggest that large principal reductions considerably decrea...
-
作者：Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School
摘要：Stock prices aggregate investor information about investment opportunities and reflect managerial performance. These dual roles may be in tension: when prices are more informative about investment opportunities, they may be less effective at incentivizing managerial effort. This tradeoff has novel consequences. Lower information costs can lead to both more efficient investment but lower firm value. The principal may strictly prefer to delegate investment to a manager who has no informational a...
-
作者：Fang, Xiang; Liu, Yang; Roussanov, Nikolai
作者单位：University of Hong Kong; University of Pennsylvania; National Bureau of Economic Research
摘要：Do real assets protect against inflation? Stocks' core inflation betas are negative, while their energy betas are positive. Currencies, commodities, and real estate mostly hedge against energy inflation, but not core inflation. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent within and across asset classes, uniquely among macroeconomic risk factors. Energy inflation has become more pro...
