Narrow search
Showing 1 - 10 of 7,029
Cover Image
Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022
We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …
Persistent link: https://www.econbiz.de/10013210100
Cover Image
The Rest of the World's Dollar-Weighted Return on U.S. Treasurys
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022
Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...
Persistent link: https://www.econbiz.de/10013210117
Cover Image
Creative Destruction, Distance to Frontier, and Economic Development
Peters, Michael; Zilibotti, Fabrizio - National Bureau of Economic Research - 2021
We construct a model of creative destruction with endogenous firm dynamics. We integrate the theory into a general equilibrium multi-country model of technological convergence where countries interact via international spillovers. We derive implications for both firm dynamics and aggregate...
Persistent link: https://www.econbiz.de/10012660011
Cover Image
Innovative Originality, Profitability, and Stock Returns
Hirshleifer, David - 2017
We propose that innovative originality (InnOrig) is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, firms with greater InnOrig are undervalued. We find that firms' InnOrig strongly predicts higher, more persistent, and less volatile...
Persistent link: https://www.econbiz.de/10012455249
Cover Image
Shrinking the Term Structure
Filipović, Damir; Pelger, Markus; Ye, Ye - National Bureau of Economic Research - 2024
method unifies non-parametric curve estimation with cross-sectional factor modeling. We identify smoothness as a fundamental …
Persistent link: https://www.econbiz.de/10014544750
Cover Image
Creative Destruction, Stock Return Volatility, and the Number of Listed Firms
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - National Bureau of Economic Research - 2024
Average idiosyncratic volatility and firm idiosyncratic volatility increase with the number of listed firms. Average industry idiosyncratic volatility increases with the number of listed firms in the industry. We ex-plain the relation between idiosyncratic volatility and the number of listed...
Persistent link: https://www.econbiz.de/10014576597
Cover Image
A Monetary Policy Asset Pricing Model
Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2022
We propose a model where monetary policy is the key determinant of aggregate asset prices (financial conditions). Spending decisions are made by a group of agents ("households") that respond to aggregate asset prices, but with noise, delays, and inertia. Asset pricing is determined by a...
Persistent link: https://www.econbiz.de/10013334351
Cover Image
The Effect of New Information Technologies on Asset Pricing Anomalies
Hirshleifer, David; Ma, Liang - National Bureau of Economic Research - 2024
We test and compare the effects of introduction of two new financial information technologies, EDGAR and XBRL, on well-known asset pricing anomalies often attributed to mispricing. EDGAR facilitates easier access to public accounting information about public firms; XBRL reduces the cost of...
Persistent link: https://www.econbiz.de/10015056093
Cover Image
Quantitative Tightening with Slow-Moving Capital
Jiang, Zhengyang; Sun, Jialu - National Bureau of Economic Research - 2024
We document shifts in investor composition during quantitative tightening, which suggest that investors adjust their portfolios at different speeds. To understand its implications for bond valuation, we develop a general equilibrium model which highlights the dynamic interaction between...
Persistent link: https://www.econbiz.de/10014635720
Cover Image
Franchise Value, Tobin's Q, and Markups
Chiu, Wan-Chien; Jagannathan, Ravi; Tseng, Kevin - National Bureau of Economic Research - 2023
We decompose the difference between a firm's market value and book value into two components: reproducible intangible assets that can be created by competing firms through SG&A/R&D expenditures, and the residual denoted as franchise value which includes the value of transient-rents from...
Persistent link: https://www.econbiz.de/10013537723