AFA2019会议论文(28):New Perspectives on Risk金融经济学 昨天
1、Firm-Level Political Risk: Measurement and Effects
Tarek Hassan, Boston University Stephan Hollander, Tilburg University Ahmed Tahoun, London Business School Laurence van Lent, Frankfurt School of Finance and Management
Abstract We adapt simple tools from computational linguistics to construct a new measure of political risk faced by individual US firms: the share of their quarterly earnings conference calls that they devote to political risks. We validate our measure by showing it correctly identifies calls containing extensive conversations on risks that are political in nature, that it varies intuitively over time and across sectors, and that it correlates with the firm’s actions and stock market volatility in a manner that is highly indicative of political risk. Firms exposed to political risk retrench hiring and investment and actively lobby and donate to politicians. Interestingly, the vast majority of the variation in our measure is at the firm level rather than at the aggregate or sector level, in the sense that it is neither captured by time fixed effects and the interaction of sector and time fixed effects, nor by heterogeneous exposure of individual firms to aggregate political risk. The dispersion of this firm-level political risk increases significantly at times with high aggregate political risk. Decomposing our measure of political risk by topic, we find that firms that devote more time to discussing risks associated with a given political topic tend to increase lobbying on that topic, but not on other topics, in the following quarter.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1154
2、Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets
Kelly Shue, Yale University Richard Townsend, University of California, San Diego
Abstract When pricing financial assets, rational agents should think in terms of proportional price changes, i.e., returns. However, stock price movements are often reported in dollar rather than percentage units, which may cause investors to think that news should correspond to a dollar change in price rather than a percentage change in price. Non-proportional thinking in financial markets can lead to return underreaction for high-priced stocks and overreaction for low-priced stocks. Consistent with a simple model of non-proportional thinking, we find that total volatility, idiosyncratic volatility, and absolute market beta are significantly higher for stocks with low share prices, controlling for size. To identify a causal effect of price, we show that volatility increases sharply following stock splits and drops following reverse stock splits. The economic magnitudes are large: non-proportional thinking can explain a significant portion of the “leverage effect” puzzle, in which volatility is negatively related to past returns, as well as the volatility-size and beta-size relations in the data. We also show that non-proportional thinking biases reactions to news that is itself reported in nominal rather than scaled units. Investors react to nominal earnings per share surprises, after controlling for the earnings surprise scaled by share price. The reaction to the nominal earnings surprise reverses in the long run, consistent with correction of mispricing.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=2088
3、Conditional Risk
Niels Gormsen, Copenhagen Business School Christian Skov Jensen, Copenhagen Business School
Abstract We present a new direct methodology to study conditional risk, that is, the extra return compensation for time-variation in risk. We show theoretically that the conditional part of the CAPM can be captured by augmenting the standard market model with a conditional-risk factor, which is a specific market timing strategy. Both in the U.S. and global sample covering 23 countries, all major equity risk factors load on our conditional-risk factor, implying that each factor has a higher conditional market beta when the market risk premium is high or the market variance is low. Accordingly, these factor returns can be partly explained by conditional risk. Studying the economic drivers of these results, we find evidence that conditional risk arises from variation in discount rate betas (not cash flow betas) due to the endogenous effects of arbitrage trading.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1076
4、Foreseen Risks
Joao Gomes, University of Pennsylvania Marco Grotteria, University of Pennsylvania Jessica Wachter, University of Pennsylvania
Abstract Financial crises tend to follow rapid credit expansions. In this paper we show that this phenomenon arises naturally when financial intermediaries benefit from, and optimally exploit, economic rents that drive their franchise value. Specifically, we explore rents arising from government subsidies in the form of underpriced insurance on deposits. We show that the economic value of these rents varies with the business cycle, which in turn drives bank’s incentives to engage in riskier lending as risk increases, and safer investment strategies as risk vanishes. We use the model to evaluate the effects of recent government subsidies to banking sectors in US and EU. We argue that bank lending responded little to these interventions because government subsidies enhanced franchise value and thus made the value of safe investments relatively higher.
原文链接: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1403
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