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作者：An, Li; Engelberg, Joseph; Henriksson, Matthew; Wang, Baolian; Williams, Jared
作者单位：Tsinghua University; University of California System; University of California San Diego; University of Tennessee System; University of Tennessee Knoxville; State University System of Florida; University of Florida; State University System of Florida; University of South Florida
摘要：The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio-driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, portfolio rebalancing, tax considerations, or investor heterogeneity. Our evidence suggests that inves...
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作者：Fleckenstein, Matthias; Longstaff, Francis a.
作者单位：University of Delaware; National Bureau of Economic Research
摘要：We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time-series and cross-sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirica...
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作者：Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; Song, Dongho
作者单位：McGill University; University of California System; University of California Los Angeles; University of Southern California; Johns Hopkins University; McGill University
摘要：We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates risk-based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long-term CIP ...
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作者：Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School; University of North Carolina; University of North Carolina Chapel Hill
摘要：The psychology literature documents that individuals derive current utility from their beliefs about future events. We show that, as a result, investors in financial markets choose to disagree about both private information and price information. When objective price informativeness is low, each investor dismisses the private signals of others and ignores price information. In contrast, when prices are sufficiently informative, heterogeneous interpretations arise endogenously: most investors i...
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作者：Levit, Doron; Malenko, Nadya; Maug, Ernst
作者单位：University of Washington; University of Washington Seattle; European Corporate Governance Institute; Boston College; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of Mannheim; University of Mannheim
摘要：We study shareholder voting in a model in which trading affects the composition of the shareholder base. Trading and voting are complementary, which gives rise to self-fulfilling expectations about proposal acceptance and multiple equilibria. Prices and shareholder welfare can move in opposite directions, so the former may be an invalid proxy for the latter. Relaxing trading frictions can reduce welfare because it allows extreme shareholders to gain more weight in voting. Delegating decision-m...
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作者：Chen, Qi; Goldstein, Itay; Huang, Zeqiong; Vashishtha, Rahul
作者单位：Duke University; Yale University
摘要：Liquidity transformation, a key role of banks, is thought to increase fragility, as uninsured depositors face an incentive to withdraw money before others (a so-called panic run). Despite much theoretical work, however, there is little empirical evidence establishing this mechanism. In this paper, we provide the first large-scale evidence of this mechanism. Banks that engage in more liquidity transformation exhibit higher fragility, as captured by stronger sensitivities of uninsured deposit fl...
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作者：Bowles, Boone; Reed, Adam V.; Ringgenberg, Matthew C.; Thornock, Jacob R.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of North Carolina; University of North Carolina Chapel Hill; Utah System of Higher Education; University of Utah; Brigham Young University
摘要：We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, ...
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作者：Hanley, Kathleen
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作者：Gargano, Antonio; Rossi, Alberto G.
作者单位：University of Houston System; University of Houston; Georgetown University; University of Houston System; University of Houston
摘要：We study the effectiveness of saving goals in increasing individuals' savings using data from a Fintech app. Using a difference-in-differences identification strategy that randomly assigns users into a group of beta testers who can set goals and a group of users who cannot, we find that setting goals increases individuals' savings rate. The increased savings within the app do not reduce savings outside the app. Moreover, goal setting helps those individuals previously identified as having the ...
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作者：Chen, Hui; Dou, Winston wei; Kogan, Leonid
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We formalize the concept of dark matter in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark-matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark-matter measure indicates that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out-of-sample fit). The measur...
