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作者：Lee, Jiyoon
作者单位：Yonsei University
摘要：I examine the effects of information asymmetry-driven mispricing on security issuance. Using predisclosure changes in purchase obligations as a proxy for information asymmetry-driven mispricing, I find that managers avoid (prefer) issuing securities when they perceive their firms to be undervalued (overvalued). The effects of information asymmetry-driven mispricing are stronger on equity issuance than debt issuance. Consequently, undervaluation (overvaluation) causes an increase (decrease) in ...
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作者：Barber, Brad M.; Jiang, Wei; Morse, Adair; Puri, Manju; Tookes, Heather; Werner, Ingrid M.
作者单位：University of California System; University of California Davis; National Bureau of Economic Research; University of California System; University of California Berkeley; United States Department of the Treasury; Duke University; National Bureau of Economic Research; Yale University; University System of Ohio; Ohio State University
摘要：Based on a survey of American Finance Association members, we analyze how demographics, time allocation, production mechanisms, and institutional factors affect research production during the pandemic. Consistent with the literature, research productivity falls more for women and faculty with young children. Independently, and novel, extra time spent on teaching (much more likely for women) negatively affects research productivity. Also novel, concerns about feedback, isolation, and health hav...
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作者：Chen, Yong; Han, Bing; Pan, Jing
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Toronto; Southern Methodist University
摘要：In the presence of sentiment fluctuations, arbitrageurs may engage in different strategies leading to dispersed sentiment exposures. We find that hedge funds in the top decile ranked by sentiment beta outperform those in the bottom decile by 0.59% per month on a risk-adjusted basis, with the spread being larger among skilled funds. We also find that about 10% of hedge funds have sentiment timing skill that positively correlates with fund sentiment beta and contributes to fund performance. Our ...
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作者：Nagel, Stefan
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作者：Illeditsch, Philipp K.; Ganguli, Jayant V.; Condie, Scott
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Essex; Brigham Young University
摘要：We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk-neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e.g., after ear...
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作者：Clifford, Christopher P.; Gerken, William C.
作者单位：University of Kentucky
摘要：We study the effect of a change in property rights on employee behavior in the financial advice industry. Our identification comes from staggered firm-level entry into the Protocol for Broker Recruiting, which waived nonsolicitation clauses for advisor transitions among member firms, effectively transferring ownership of client relationships from the firm to the advisor. After the shock, advisors appear to tend to client relationships more by investing in client-facing industry licenses, shift...
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作者：Kacperczyk, Marcin; Perignon, Christophe; Vuillemey, Guillaume
作者单位：Imperial College London; Hautes Etudes Commerciales (HEC) Paris
摘要：Using high-frequency, granular panel data on short-term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets' safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit from a safety premium. The supply of such CDs responds positively to excess safety demand. During periods of stress, this relation vanishes for all issuers of private securities, even though their aggreg...
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作者：Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei
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作者：Argyle, Bronson; Nadauld, Taylor; Palmer, Christopher; Pratt, Ryan
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Using loan-level data on millions of used-car transactions across hundreds of lenders, we study the consumer response to exogenous variation in credit terms. Borrowers offered shorter maturity decrease expenditures enough to offset 60% to 90% of the monthly payment increase. Most of this is driven by shifting toward lower-quality cars, but affected borrowers offset 20% to 30% of a monthly payment shock by negotiating lower prices for equivalent cars. Our results suggest that durable goods pric...
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作者：Demiroglu, Cem; Ozbas, Oguzhan; Silva, Rui C.; Ulu, Mehmet Fatih
作者单位：Koc University; University of Southern California; Universidade Nova de Lisboa
摘要：We examine the effects of physiology and spiritual sentiment on economic decision-making in the context of Ramadan, an entire lunar month of daily fasting and increased spiritual reflection in the Muslim faith. Using an administrative data set of bank loans originated in Turkey during 2003 to 2013, we find that small business loans originated during Ramadan are 15% more likely to default within two years of origination. Loans originated in hot Ramadans, when adverse physiological effects of fa...
