Ditapis dengan
Preventing Zombie Lending
Because of limited liability, insolvent banks have an incentive to continue lending to insolvent borrowers, in order to hide losses and gamble for resurrection, even though this is socially inefficient. We suggest a scheme that regulators could use to solve this problem. The scheme would induce banks to reveal their bad loans, which can then be dealt with. Bank participation in the scheme would…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Speculation and Hedging in Segmented Markets
We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market—some trade for speculation and others for hedging—and thus they may respond to the same information in opposite directions. This implies that addin…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Optimal Portfolio Choice with Predictability in House Prices and Transaction …
We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing portfolio share immediately after moving to a …
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Bond Supply and Excess Bond Returns
We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the mo…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Cash-Flow Sensitivities and the Allocation of Internal Cash Flow
We study how firms allocate cash flow by estimating the cash-flow sensitivities of various uses of cash flow. We decompose cash flow into a transitory and a permanent component and focus on the allocation of the transitory component, which by construction contains little information about future growth opportunities. We find that more financially constrained firms allocate more transitory cash …
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3628
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Strategic Complementarity, Fragility, and Regulation
The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure (precisions of public and private information), and the level of stress indicators in the market impin…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3547
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Opacity in Financial Markets
This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g. mutual funds) and opaque funds (e.g. hedge funds) trade transparent assets (e.g. plain-vanilla products) and opaque assets (e.g. structured products). Investors can observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with empir…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3502
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
No News Is News: Do Markets Underreact to Nothing?
As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3389
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Asset Prices with Heterogeneity in Preferences and Beliefs
In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium endowment economy in which agents have "catching up with the Joneses" utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2702
Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Reg…
We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis t…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expect…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Communication and Decision-Making in Corporate Boards
Time constraints, managerial power, and reputational concerns can impede board communication. This paper develops a model where board decisions depend on directors' effort in communicating their information to others. I show that directors communicate more effectively when pressure for conformity is stronger—that is, when directors are more reluctant to disagree with each other. Hence, open b…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Liquidity Shocks and Stock Market Reactions
We find that the stock market underreacts to stock-level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative shock measures and after co…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Household Debt and Social Interactions
Can concern with relative standing, which has been shown to influence consumption and labor supply, also increase borrowing and the likelihood of financial distress? We find that perceived peer income contributes to debt and the likelihood of financial distress among those who consider themselves poorer than their peers. We use unique responses describing perceived peer characteristics from a D…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media
Social media has become a popular venue for individuals to share the results of their own analysis on financial securities. This paper investigates the extent to which investor opinions transmitted through social media predict future stock returns and earnings surprises. We conduct textual analysis of articles published on one of the most popular social media platforms for investors in the Unit…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Investor Networks in the Stock Market
We study the trading behavior of investors in an entire stock market. Using an account level dataset of all trades on the Istanbul Stock Exchange in 2005, we identify investors with similar trading behavior as linked in an empirical investor network (EIN). Consistent with the theory of information networks, we find that central investors earn higher returns and trade earlier than peripheral inv…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Advance Disclosure of Insider Trading
Using a strategic rational expectations equilibrium framework, we show that forcing a well-informed insider to disclose her trades in advance tends to increase welfare for both the insider and less-informed outsiders. Advance disclosure generates price risk for the insider, and to mitigate this risk, the insider trades less aggressively on her private information. Consequently, outsiders face l…
- Edisi
- Vol. 27 No. 8, Aug 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 2537 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2708
The Three worlds : culture and world development
Includes bibliography, index and tables
- Edisi
- -
- ISBN/ISSN
- 226907554
- Deskripsi Fisik
- ix, 395 p. ; 23 cm.
- Judul Seri
- -
- No. Panggil
- 306.091724 WOR t
Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelev…
We show that in misspecified models with useless factors (for example, factors that are independent of the returns on the test assets), the standard inference procedures tend to erroneously conclude, with high probability, that these irrelevant factors are priced and the restrictions of the model hold. Our proposed model selection procedure, which is robust to useless factors and potential mode…
- Edisi
- Vol. 27 No. 7, Jul 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 2266 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2707
Microprudential Regulation in a Dynamic Model of Banking
This paper studies the quantitative impact of microprudential bank regulations on bank lending and value metrics of efficiency and welfare in a dynamic model of banks that are financed by debt and equity, undertake maturity transformation, are exposed to credit and liquidity risks, and face financing frictions. We show that: (a) there exists an inverted U?shaped relationship between bank lendin…
- Edisi
- Vol. 27 No. 7, Jul 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 2266 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2707
Karya Umum 
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Kesenian, Hiburan, dan Olahraga 
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