5期

最新文章

• Dividend Momentum and Stock Return Predictability: A Bayesian Approach AI翻译
  作者：Antolin-Diaz, Juan; Petrella, Ivan; Rubio-Ramirez, Juan
  作者单位：Massachusetts Institute of Technology (MIT); Collegio Carlo Alberto; University of Turin; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
  摘要：A long tradition in macro-finance studies the dynamics of aggregate stock returns and dividends using vector autoregressions, imposing the restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We develop Bayesian methods that encode a priori skepticism about return predictability while imposing the restrictions. We highlight that persistence in dividend growth induces dividend momentum, a previously overlooked channel for return predictability. By combining Bayesian ...
• Bond Market Resiliency: The Role of Insurers AI翻译
  作者：O'Hara, Maureen; Rapp, Andreas C.; Zhou, Xing (Alex)
  作者单位：Cornell University; Federal Reserve System - USA; Southern Methodist University
  摘要：We examine the role of insurance companies in supporting resiliency in the corporate bond market. We show that during the COVID-19 liquidity crisis, insurers increased their corporate bond positions, particularly in bonds facing fire sales by mutual funds. Insurers with more stable funding were more likely to buy, and they bought more from dealers with whom they had prior trading relationships. Dealers improved their bond liquidity provision when they had trading relationships with insurers wi...
• Fragility of Safe Asset Markets AI翻译
  作者：Eisenbach, Thomas M.; Phelan, Gregory
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Williams College
  摘要：In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can form a symbiotic relationship with offsetting trades during times of stress, strategic interactions among liquidity investors harbor the potential for self-fulfilling fragility. When th...
• Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases( vol 36, pg 2361, 2023) AI翻译
  作者：van Binsbergen, Jules H.; Han, Xiao; Lopez-Lira, Alejandro