-
作者：Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Short-sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out-of-sample before accounting for short-sale costs, they cannot be exploited with long-short strategies due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long-short portfolio return is a significant 0.14% per month before short-sale costs, and the returns are due to the short leg. However, the average is -0.01% once returns are adjusted for borr...
-
作者：Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara
作者单位：University of Southern California; University of Missouri System; University of Missouri Columbia
摘要：A war-related factor model derived from textual analysis of media news reports explains the cross section of expected stock returns. Using a semisupervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section of returns across test assets derived from both traditional and machine learning construction techniques, and spanning 138 anomalies. Our findings are consistent with assets that are good hedges for war...
-
作者：Cakici, Nusret; Fieberg, Christian; Neumaier, Tobias; Poddig, Thorsten; Zaremba, Adam
作者单位：Fordham University; Bremen University of Applied Sciences; University of Luxembourg; Concordia University - Canada; University of Bremen; Poznan University of Economics & Business; Monash University
摘要：Farmer, Schmidt, and Timmermann (FST) document time-variation in market return predictability, identifying pockets of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one-sided kernel, which guarantees out-of-sample forecasts, they perform in-sample estimation with a two-sided kernel. As a result, future information leaks into the forecasting model...
-
作者：Kotidis, Antonis; Schreft, Stacey L.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Maryland; University of Maryland College Park
摘要：This article quantifies the effects of a multiday cyberattack that forced offline a technology service provider (TSP) to the banking sector. The attack impaired customers' ability to send payments through the TSP, but the business continuity plans of banks and the TSP reduced the effect by more than half. Large banks performed better. Through contagion, banks not directly exposed to the attack experienced a liquidity shortfall, causing them to borrow funds or tap reserves. The ability to send ...
-
作者：Faccio, Mara; McConnell, John J.
作者单位：Purdue University System; Purdue University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：We use newly assembled data overall encompassing up to 75 countries and starting circa 1910, to study impediments to the Schumpeterian process of creative destruction as it proceeds by competitively destroying old businesses. Political connections appear to represent an obstacle to the destructive part of the Schumpeterian process in the replacement of large firms. When accompanied by regulations that restrict entry, political connections can play a role in allowing large firms to remain large...
-
作者：Piazzesi, Monika
作者单位：Stanford University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：This paper documents new stylized facts about returns and cashflow growth rates on stocks and housing over decade-long holding periods. While cashflow growth rates on the two assets comove positively, their returns comove negatively until the Global Financial Crisis and positively thereafter. These facts present a puzzle for representative-agent models that imply positive return comovement for assets with similar cashflows. I consider a heterogeneous-agent model with segmented stock and housin...
-
作者：Greenwald, Daniel l.; Krainer, John; Paul, Pascal
作者单位：New York University; Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Aggregate U.S. bank lending to firms expanded following the outbreak of COVID-19. Using loan-level supervisory data, we show that this expansion was driven by draws on credit lines by large firms. Banks that experienced larger credit line drawdowns restricted term lending more, crowding out credit to smaller firms, which reacted by reducing investment. A structural model calibrated to match our empirical results shows that while credit lines increase total bank credit in bad times, they redist...
-
作者：Kremens, Lukas; Martin, Ian W. R.; Varela, Liliana
作者单位：University of Washington; University of Washington Seattle; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two-year horizon, both in and out of sample. Exchange rate expectations are also interpretable, in the sense that three macro-finance variables-the risk-neutral covariance between the exchange rate and equity market, the real exchange rate, and the current account relative to GDP-explain most of their variation. There is no secret sauce, however, in ex...
-
作者：Derrien, Francois; Kruger, Philipp; Landier, Augustin; Yao, Tianhao
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Geneva; European Corporate Governance Institute; Singapore Management University
摘要：We investigate the expected consequences of negative environmental, social, and governance (ESG) news on firms' future profits. After learning about negative ESG news, analysts significantly downgrade their forecasts at short and longer horizons. Negative ESG news affects forecasts more strongly at longer horizons than other types of negative corporate news. The negative revisions of earnings forecasts following negative ESG news largely reflect expectations of lower future sales, rather than ...
-
作者：Parise, Gianpaolo; Rubin, Mirco
作者单位：Tilburg University; Centre for Economic Policy Research - UK; Universite Catholique de Lille; EDHEC Business School
摘要：This paper establishes that mutual funds strategically time their trades in environmental, social, and governance (ESG) stocks around disclosure dates to inflate their sustainability ratings. This claim is supported by three empirical findings. First, we show that funds' ESG betas increase shortly before disclosure and decrease shortly afterwards. Second, we document that post-disclosure fund returns are higher but have lower ESG exposure than disclosed portfolios. Third, we provide evidence t...
