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Does costly reversibility matter for U.S. public firms?

Bai, Hang; Li, Erica X. N.; Xue, Chen; Zhang, Lu - 2019

Yes, most likely. The firm-level evidence on costly reversibility is even stronger than the prior evidence at the plant level. The firm-level investment rate distribution is highly skewed to the right, with a small fraction of negative investments, 5.79%, a tiny fraction of inactive investments,...

Persistent link: https://www.econbiz.de/10012120359

Expectations during the U.S. housing boom : inferring beliefs from actions

Ben-David, Itzhak; Towbin, Pascal; Weber, Sebastian - 2019

We infer the role of price expectations in forming the U.S. housing boom in the early-2000s from examining housing inventories. We use a reduced form model to show that agents invest in vacant homes when they anticipate prices will increase. Empirically, vacancy can discriminate between price...

Persistent link: https://www.econbiz.de/10012104647

Exchange traded funds (ETFs)

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017

due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as … noise to the market: prices of underlying securities have higher volatility, greater price reversals, and higher correlation … underlying securities. During turbulent market episodes, however, arbitrage is limited and ETF prices diverge from those of the …

Persistent link: https://www.econbiz.de/10011620013

The CAPM strikes back? : an investment model with disasters

Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2015

Embedding disasters into a general equilibrium production economy with heterogeneous firms induces strong nonlinearity in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model reproduces the failure of the CAPM in explaining the value...

Persistent link: https://www.econbiz.de/10010531874

Are firms in "boring" industries worth less?

Chen, Jia; Hou, Kewei; Stulz, René M. - 2015

have high industry-level dispersion of profitability have on average higher market-to-book ratios than firms in low … dispersion industries. This positive relation between market-to-book ratios and industry profitability dispersion is economically …

Persistent link: https://www.econbiz.de/10010531875

The rise and fall of demand for securitizations

Chernenko, Sergey; Hanson, Samuel G.; Sunderam, Adi - 2014

Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on...

Persistent link: https://www.econbiz.de/10010532196

The U.S. listing gap

Doidge, Craig; Karolyi, G. Andrew; Stulz, René M. - 2016

Relative to other countries, the U.S. now has abnormally few listed firms. This “U.S. listing gap” is consistent with a decrease in the net benefit of a listing for U.S. firms. Since the listing peak in 1996, the propensity to be listed is lower for all firm size categories and industries,...

Persistent link: https://www.econbiz.de/10011772166

Banks' internal capital markets and deposit rates

Ben-David, Itzhak; Palvia, Ajay; Spatt, Chester S. - 2016

risky banks, thereby creating market discipline. An alternative perspective is that market discipline is limited (e.g., due …. Using branch-level deposit rate data, we find little evidence for market discipline as rates are similar across bank …

Persistent link: https://www.econbiz.de/10011772352

Why does fast loan growth predict poor performance for banks?

Fahlenbrach, Rüdiger; Prilmeier, Robert; Stulz, René M. - 2016

From 1973 to 2014, the common stock of U.S. banks with loan growth in the top quartile of banks over a three-year period significantly underperforms the common stock of banks with loan growth in the bottom quartile over the next three years. The benchmark-adjusted cumulative difference in...

Persistent link: https://www.econbiz.de/10011516043

Municipal bond liquidity and default risk

Schwert, Michael - 2016

This paper examines the pricing of bonds issued by states and local governments. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, finding that default risk accounts for 74% to 84% of the average municipal bond spread after...

Persistent link: https://www.econbiz.de/10011962175

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