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作者：Engelberg, Joseph E.; Parsons, Christopher A.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Disentangling the causal impact of media reporting from the impact of the events being reported is challenging. We solve this problem by comparing the behaviors of investors with access to different media coverage of the same information event. We use zip codes to identify 19 mutually exclusive trading regions corresponding with large U.S. cities. For all earnings announcements of S&P 500 Index firms, we find that local media coverage strongly predicts local trading, after controlling for earn...
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作者：Hendershott, Terrence; Jones, Charles M.; Menkveld, Albert J.
作者单位：University of California System; University of California Berkeley; Columbia University; Vrije Universiteit Amsterdam
摘要：Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The New York Stock Exchange automated quote dissemination in 2003, and we use this change in market structure that increases AT as an exogenous instrument to measure the causal effect of AT on liquidity. For large stocks in particular, AT narrows spreads, reduces adverse selection, and reduces trade-related price disco...
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作者：Doskeland, Trond M.; Hvide, Hans K.
作者单位：Norwegian School of Economics (NHH); Centre for Economic Policy Research - UK; University of Aberdeen; Norwegian School of Economics (NHH)
摘要：Using a novel data set covering all individual investors' stock market transactions in Norway over 10 years, we analyze whether individual investors have a preference for professionally close stocks, and whether they make excess returns on such investments. After excluding own-company stock holdings, investors hold 11% of their portfolio in stocks within their two-digit industry of employment. Given the poor hedging properties of such investments, one would expect abnormally high returns. In c...
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作者：Giroud, Xavier; Mueller, Holger M.
作者单位：New York University; National Bureau of Economic Research
摘要：This paper examines whether firms in noncompetitive industries benefit more from good governance than do firms in competitive industries. We find that weak governance firms have lower equity returns, worse operating performance, and lower firm value, but only in noncompetitive industries. When exploring the causes of the inefficiency, we find that weak governance firms have lower labor productivity and higher input costs, and make more value-destroying acquisitions, but, again, only in noncomp...
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作者：Guo, Shourun; Hotchkiss, Edith S.; Song, Weihong
作者单位：Duke University; Boston College; University System of Ohio; University of Cincinnati
摘要：We examine how leveraged buyouts from the most recent wave of public to private transactions created value. Buyouts completed between 1990 and 2006 are more conservatively priced and less levered than their predecessors from the 1980s. For deals with post-buyout data available, median market- and risk-adjusted returns to pre- (post-) buyout capital invested are 72.5% (40.9%). In contrast, gains in operating performance are either comparable to or slightly exceed those observed for benchmark fi...
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作者：Garlappi, Lorenzo; Yan, Hong
作者单位：University of British Columbia; University of South Carolina System; University of South Carolina Columbia; Shanghai Jiao Tong University
摘要：We explicitly consider financial leverage in a simple equity valuation model and study the cross-sectional implications of potential shareholder recovery upon resolution of financial distress. Our model is capable of simultaneously explaining lower returns for financially distressed stocks, stronger book-to-market effects for firms with high default likelihood, and the concentration of momentum profits among low credit quality firms. The model further predicts (i) a hump-shaped relationship be...
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作者：Bollerslev, Tim; Todorov, Viktor
作者单位：Duke University; Northwestern University
摘要：We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high-frequency intraday data for estimating the expected jump tails under the statistical ...
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作者：Cochrane, John H.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Discount-rate variation is the central organizing question of current asset-pricing research. I survey facts, theories, and applications. Previously, we thought returns were unpredictable, with variation in price-dividend ratios due to variation in expected cashflows. Now it seems all price-dividend variation corresponds to discount-rate variation. We also thought that the cross-section of expected returns came from the CAPM. Now we have a zoo of new factors. I categorize discount-rate theorie...
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作者：Wagner, Wolf
作者单位：Tilburg University; Tilburg University
摘要：This paper proposes a portfolio choice model in which investors are subject to liquidation risk and (endogenously) face higher costs in the event of joint liquidation (as was observed during the crisis of 2008 to 2009). The risk of joint liquidation creates an incentive for investors to choose heterogeneous portfolios and to rationally forgo diversification benefits. Joint liquidation risk is also reflected in asset prices, resulting in (1) assets with high idiosyncratic risk having low expect...
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作者：Shivdasani, Anil; Wang, Yihui
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Chinese University of Hong Kong
摘要：The leveraged buyout (LBO) boom of 2004 to 2007 was fueled by growth in collateralized debt obligations (CDOs) and other forms of securitization. Banks active in structured credit underwriting lent more for LBOs, indicating that bank lending policies linked LBO and CDO markets. LBO loans originated by large CDO underwriters were associated with lower spreads, weaker covenants, and greater use of bank debt in deal financing. Loans financed through structured credit markets did not lead to worse...
