Similar Search Results

Equity Term Structures without Dividend Strips Data

Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023

their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well …-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields … generated by the model match closely the equity yields from the traded dividend forwards reported in the literature. Our model …

Persistent link: https://www.econbiz.de/10014250137

Modeling Managers As EPS Maximizers

Ben-David, Itzhak; Chinco, Alexander M. - National Bureau of Economic Research - 2023

Textbook theory assumes that firm managers maximize the net present value of future cash flows. But when you ask them, real-world firm managers consistently say that they are maximizing something else entirely: earnings per share (EPS). Perhaps this is a mistake. No matter. We take firm managers...

Persistent link: https://www.econbiz.de/10014250143

Optimal Income Taxation

Kaplow, Louis - National Bureau of Economic Research - 2022

This article explores subjects in optimal income taxation characterized by recent research interest, practical importance in light of concerns about inequality, potential for misunderstanding, and prospects for advancement. Throughout, the analysis highlights paths for further investigation....

Persistent link: https://www.econbiz.de/10013334417

Supply and Demand and the Term Structure of Interest Rates

Greenwood, Robin; Hanson, Samuel G.; Vayanos, Dimitri - National Bureau of Economic Research - 2023

We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present in both discrete and...

Persistent link: https://www.econbiz.de/10014437010

What Do Impact Investors Do Differently?

Cole, Shawn; Jeng, Leslie A.; Lerner, Joshua; Rigol, Natalia - National Bureau of Economic Research - 2023

In recent years, impact investors - private investors who seek to generate simultaneously financial and social returns - have attracted intense interest and controversy. We analyze a novel, comprehensive data set of impact and traditional investors to assess how the non-financial characteristics...

Persistent link: https://www.econbiz.de/10014437029

The Rise of Factor Investing : "Passive" Security Design and Market Implications

Cong, Lin William; Huang, Shiyang; Xu, Douglas - National Bureau of Economic Research - 2024

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that facilitate trading the common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously chosen proportions,...

Persistent link: https://www.econbiz.de/10014468216

Monetary Policy Transmission under Financial Repression

Chen, Kaiji; Xiao, Yiqing; Zha, Tao - National Bureau of Economic Research - 2023

According to the conventional bank lending channel of monetary policy, wholesale funding in economies with well-developed financial markets moves negatively with retail deposits in response to changes in the monetary policy rate, thereby weakening the transmission of monetary policy. We present...

Persistent link: https://www.econbiz.de/10014322783

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

Cong, Lin William; Feng, Guanhao; He, Jingyu; Li, Junye - National Bureau of Economic Research - 2023

Sparse models, though long preferred and pursued by social scientists, can be ineffective or unstable relative to large models, for example, in economic predictions (Giannone et al., 2021). To achieve sparsity for economic interpretation while exploiting big data for superior empirical...

Persistent link: https://www.econbiz.de/10014322811

Asset Pricing with Optimal Under-Diversification

Elenev, Vadim; Landvoigt, Tim - National Bureau of Economic Research - 2023

We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain...

Persistent link: https://www.econbiz.de/10014250139

RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence

Cong, Lin William; George, Nathan Darden; Wang, Guojun - National Bureau of Economic Research - 2023

We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the...

Persistent link: https://www.econbiz.de/10014226164