-
作者：Cassella, Stefano; Rizzo, A. Emanuele; Spalt, Oliver G.; Zimmerer, Leah
作者单位：Tilburg University; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); University of Mannheim
摘要：We study the equity market implications of a reform in the fiduciary laws that govern trust investments (prudent man laws), implemented in a staggered fashion across U.S. states from 1985 to 2006. As trusts account for a substantial fraction of institutional equity holdings in our sample period, and since the reform does not pertain to other investors, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative pr...
-
作者：D'amico, Stefania; Klausmann, Johannes; Pancost, N. Aaron
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Houston System; University of Houston; University of Texas System; University of Texas Austin
摘要：Exploiting the twin structure of German government green and conventional securities, we use a dynamic term structure model to estimate a time-varying greenium stemming solely from investors' green values and not their cash flow expectations. This greenium is distinct from the yield spread between the twin securities (the green spread), as the model purifies it from pecuniary and non-pecuniary factors unrelated to environmental concerns. While the green spread correlates with stock market pric...
-
作者：Baker, Scott R.; Bloom, Nicholas; Davis, Steven J.; Kost, Kyle
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We use newspapers to create Equity Market Volatility (EMV) trackers at daily and monthly frequencies. Our headline EMV tracker moves closely with the VIX and the S&P500 returns volatility in and out of sample. We exploit the volume of newspaper text to construct forty category-specific EMV trackers. News about commodity markets, interest rates, real estate markets, aggregate activity, and inflation figure prominently in EMV articles. Policy news is another major source of market volatility: 30...
-
作者：Baker, Scott R.; Balthrop, Justin; Johnson, Mark J.; Kotter, Jason; Pisciotta, Kevin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Nebraska System; University of Nebraska Lincoln; Brigham Young University; University of Kansas
摘要：We estimate the causal effect of online sports betting on households' investment, spending, and debt management decisions using household transaction data and a staggered difference-in-differences framework. Following legalization, sports betting spreads quickly, with both the number of participants and frequency of bets increasing over time. This increase does not displace other gambling or consumption but significantly reduces savings, as risky bets crowd out positive expected value investme...
-
作者：Schroth, Josef
作者单位：Bank of Canada
摘要：Are banks safer when they hold more safe assets? This paper builds a model in which banks supply liquidity services through uninsured deposits. Define a safe asset as an asset with both low payoff risk and high pledgeability. Banks consider equity costly and because of safe assets' low payoff risk prefer to fund them largely with deposits. High pledgeability makes this feasible. The rise in banks' deposit supply increases deposit rates and forces banks to deviate from socially desirable levels...
-
作者：Sikorskaya, Taisiya
作者单位：University of Chicago
摘要：Institutions facilitate short-selling by lending from their holdings, but what they hold is endogenous. This paper examines how institutional demand, driven by investment mandates (benchmarking), affects short-selling. In a model where benchmarked managers lend from their holdings, both lending supply and equilibrium price are higher for the benchmark asset, and so is shorting demand (due to inflated price). A quasi-experiment using Russell index reconstitution shows that stocks with more benc...
-
作者：Cohn, Jonathan B.; Johnson, Travis L.; Liu, Zack; Wardlaw, Malcolm I.
作者单位：University of Texas System; University of Texas Austin; University of Houston System; University of Houston; University System of Georgia; University of Georgia
摘要：Confounding events can cause false positives when testing the relationship between short-term returns around a quasi-experimental event and firm characteristics. We show that this risk is severe in practice - return characteristic relationships are often statistically significant at the 1% level on over 30% of all trading days. Benchmarking a relationship against the distribution of the same relationship on pre-event days is effective at addressing the problem. We introduce a novel GLS variati...
-
作者：Avramov, Doron; Ge, Shuyi; Li, Shaoran; Linton, Oliver
作者单位：Reichman University; Nankai University; Peking University; University of Cambridge
摘要：This paper introduces a Peer Index (PI) constructed from economically motivated peer networks that summarizes (i) the strength of a firm's peers and (ii) the firm's position within its peer group. PI predicts stock returns and earnings surprises over short and long horizons. Machine-learning models based solely on firm-level characteristics do not subsume PI's predictive power, supporting the interpretation that it captures genuine cross-stock information. Lag-augmented local projections show ...
-
作者：Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F.
作者单位：New York University; University of Hong Kong; National Bureau of Economic Research
摘要：We propose a new approach to modeling bond risk and risk premia, inspired by the equity risk-return literature, which does not impose the tight restrictions found in models that generate closed-form bond prices. We estimate the joint dynamics of the volatility and Sharpe ratio of principal-component bond-factor portfolios for the US and China. Predictors include yield curve variables and, for the US, VIX. We document complex time-varying relations between the price and quantity of interest rat...
-
作者：Fuchs, Maximilian; Stroebel, Johannes; Terstegge, Julian
作者单位：Copenhagen Business School; New York University; National Bureau of Economic Research; University of Michigan System; University of Michigan
摘要：We study the effects of carbon price uncertainty on firms' decisions to decarbonize their operations. We first use information on the pricing of options on emission allowances in the European Emissions Trading System to create the Carbon VIX, a market-based high-frequency measure of carbon price uncertainty. Carbon price uncertainty is high, varies substantially over time, and experiences persistent shocks around major climate policy events. To explore the effects of carbon price uncertainty o...
