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作者：Andersen, Torben G.; Benzoni, Luca
作者单位：Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We propose using model-free yield quadratic variation measures computed from intraday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield curve fails to span realized yield volatility in the U.S. Treasury market, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, quadratic Gaussian, and affine jump-diffusive models cannot accommodate the observ...
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作者：Comerton-Forde, Carole; Hendershott, Terrence; Jones, Charles M.; Moulton, Pamela C.; Seasholes, Mark S.
作者单位：University of Sydney; University of California System; University of California Berkeley; Hong Kong University of Science & Technology
摘要：We show that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market-level and specialist firm-level spreads widen when specialists have large positions or lose money. The effects are nonlinear and most prominent when inventories are big or trading results have been particularly poor. These s...
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作者：Linnainmaa, Juhani T.
作者单位：University of Chicago
摘要：Individual investors lose money around earnings announcements, experience poor posttrade returns, exhibit the disposition effect, and make contrarian trades. Using simulations and trading records of all individual investors in Finland, I find that these trading patterns can be explained in large part by investors' use of limit orders. These patterns arise mechanically because limit orders are price-contingent and suffer from adverse selection. Reverse causality from behavioral biases to order ...
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作者：Jensen, Michael C.
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作者：Duchin, Ran
作者单位：University of Michigan System; University of Michigan
摘要：This paper studies the relation between corporate liquidity and diversification. The key finding is that multidivision firms hold significantly less cash than stand-alone firms because they are diversified in their investment opportunities. Lower cross-divisional correlations in investment opportunity and higher correlations between investment opportunity and cash flow correspond to lower cash holdings, even after controlling for cash flow volatility. The effects are strongest in financially c...
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作者：Hochberg, Yael V.; Ljungqvist, Alexander; Lu, Yang
作者单位：Northwestern University; New York University
摘要：We examine whether strong networks among incumbent venture capitalists (VCs) in local markets help restrict entry by outside VCs, thus improving incumbents' bargaining power over entrepreneurs. More densely networked markets experience less entry, with a one-standard deviation increase in network ties among incumbents reducing entry by approximately one-third. Entrants with established ties to target-market incumbents appear able to overcome this barrier to entry; in turn, incumbents react str...
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作者：Karpoff, Jonathan M.; Lou, Xiaoxia
作者单位：University of Washington; University of Washington Seattle; University of Delaware
摘要：We examine whether short sellers detect firms that misrepresent their financial statements, and whether their trading conveys external costs or benefits to other investors. Abnormal short interest increases steadily in the 19 months before the misrepresentation is publicly revealed, particularly when the misconduct is severe. Short selling is associated with a faster time-to-discovery, and it dampens the share price inflation that occurs when firms misstate their earnings. These results indica...
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作者：Cohen, Lauren; Frazzini, Andrea; Malloy, Christopher
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago
摘要：We study the impact of social networks on agents' ability to gather superior information about firms. Exploiting novel data on the educational background of sell-side analysts and senior corporate officers, we find that analysts outperform by up to 6.60% per year on their stock recommendations when they have an educational link to the company. Pre-Reg FD, this school-tie return premium is 9.36% per year, while post-Reg FD it is nearly zero. In contrast, in an environment that did not change se...
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作者：Benmelech, Efraim; Moskowitz, Tobias J.
作者单位：Harvard University; University of Chicago; National Bureau of Economic Research
摘要：Financial regulation was as hotly debated a political issue in the 19th century as it is today. We study the political economy of state usury laws in 19th century America. Exploiting the wide variation in regulation, enforcement, and economic conditions across states and time, we find that usury laws when binding reduce credit and economic activity, especially for smaller firms. We examine the motives of regulation and find that usury laws coincide with other economic and political policies fa...
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作者：Iliev, Peter
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper exploits a natural quasi-experiment to isolate the effects that were uniquely due to the Sarbanes-Oxley Act (SOX): U.S. firms with a public float under $75 million could delay Section 404 compliance, and foreign firms under $700 million could delay the auditor's attestation requirement. As designed, Section 404 led to conservative reported earnings, but also imposed real costs. On net, SOX compliance reduced the market value of small firms.
