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作者：Bonaime, Alice; Wang, Ye (emma)
作者单位：University of Arizona; Stevens Institute of Technology
摘要：Using novel data from the pharmaceutical industry, we study product prices and innovation around mergers. Exploiting within-deal variation in product market consolidation, we show that prices increase more for drugs in consolidating markets than for matched control drugs. Estimates indicate a 2% average price effect that persists for about one year. Price increases expand with acquirer-target product similarity and are more pronounced within less competitive product markets with fewer players ...
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作者：Gourier, Elise; Phalippou, Ludovic; Westerfield, Mark M.
作者单位：ESSEC Business School; Centre for Economic Policy Research - UK; University of Oxford; University of Washington; University of Washington Seattle
摘要：Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and li...
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作者：Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian
作者单位：University System of Georgia; Georgia State University; University of Mannheim; University of Neuchatel
摘要：We investigate hedge fund firms' unobserved performance (UP), measured as the risk-adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long-equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk-adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with intraquarter trading in equity positions, derivatives usage, short selling, and confidential h...
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作者：Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh
作者单位：Central Bank of Chile; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Yale University
摘要：We study noisy aggregation of dispersed information in financial markets without imposing parametric restrictions on preferences, information, and return distributions. We provide a general characterization of asset returns by means of a risk-neutral probability measure that features excess weight on tail risks. Moreover, we link excess weight on tail risks to observable moments such as forecast dispersion and accuracy, and argue that it provides a unified explanation for several prominent cro...
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作者：Catherine, Sylvain; Sodini, Paolo; Zhang, Yapei
作者单位：University of Pennsylvania; Stockholm School of Economics; ShanghaiTech University; ShanghaiTech University
摘要：Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hed...
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作者：Fournier, Mathieu; Jacobs, Kris; Orlowski, Piotr
作者单位：University of Houston System; University of Houston; Universite de Montreal; HEC Montreal; University of New South Wales Sydney
摘要：We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure s...
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作者：Daley, Brendan; Geelen, Thomas; Green, Brett
作者单位：Johns Hopkins University; Copenhagen Business School; Washington University (WUSTL); Copenhagen Business School
摘要：We propose a model of due diligence and analyze its effect on prices, payoffs, and deal completion. In our model, if the seller accepts an offer, the winning bidder (or acquirer) can gather information and chooses when to complete the transaction. In equilibrium, the acquirer engages in too much due diligence. Our quantitative results suggest that the magnitude of the distortion is economically significant. Nevertheless, allowing for due diligence can improve both total surplus and the seller'...
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作者：Allen, Franklin; Qian, Jun (Qj); Shan, Chenyu; Zhu, Julie Lei
作者单位：Imperial College London; Fudan University; Shanghai University of Finance & Economics
摘要：Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. I...
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作者：Banerjee, Snehal; Marinovic, Ivan; Smith, Kevin
作者单位：University of California System; University of California San Diego; Stanford University; Stanford University
摘要：We develop a model in which a firm's manager can voluntarily disclose to privately informed investors. In equilibrium, the manager only discloses sufficiently favorable news. If the manager is known to be informed but disclosure is costly, the probability of disclosure increases with market liquidity and the stock trades at a discount relative to expected cash flows. However, when investors are uncertain about whether the manager is informed, disclosure can decrease with market liquidity and t...
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作者：Bauer, Michael; Chernov, Mikhail
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness signals upside risk to interest rates during periods of accommodative monetary policy and an upward-sloping yield curve, and vice versa. Skewness has substantial predictive power for future bond excess returns, high-frequency interest rate changes around Federal Open Market Committee announcements, and survey forecast errors for interest rates. The estimated expectatio...
