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作者：O'Malley, Terry
作者单位：European Central Bank; Central Bank of Ireland
摘要：I study the effect of removing repossession risk on a mortgagor's decision to default. Reducing default costs may result in strategic default, particularly during crises when homeowners can be substantially underwater. I analyze difference-in-differences variation in repossession risk generated by an unexpected legal ruling in Ireland that prohibited collateral enforcement on delinquent residential mortgages originated before a particular date. I estimate that borrowers defaulted by 0.3 percen...
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作者：Liu, Tingjun; Bernhardt, Dan
作者单位：University of Hong Kong; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Warwick
摘要：In our target-initiated theory of takeovers, a target approaches potential acquirers that privately know their standalone values and merger synergies, where higher synergy acquirers tend to have larger standalone values. Despite their information disadvantage, targets can extract all surplus when synergies and standalone values are concavely related by offering payment choices that are combinations of cash and equity. Targets exploit the reluctance of high-valuation acquirers to cede equity cl...
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作者：Ungeheuer, Michael; Weber, Martin
作者单位：Aalto University; University of Mannheim; Centre for Economic Policy Research - UK
摘要：How do investors perceive dependence between stock returns; and how does their perception of dependence affect investments and stock prices? We show experimentally that investors understand differences in dependence, but not in terms of correlation. Participants invest as if applying a simple counting heuristic for the frequency of comovement. They diversify more when the frequency of comovement is lower even if correlation is higher due to dependence in the tails. Building on our experimental...
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作者：Akey, Pat; Appel, Ian
作者单位：University of Toronto; Boston College
摘要：We study how parent liability for subsidiaries' environmental cleanup costs affects industrial pollution and production. Our empirical setting exploits a Supreme Court decision that strengthened parent limited liability protection for some subsidiaries. Using a difference-in-differences framework, we find that stronger liability protection for parents leads to a 5% to 9% increase in toxic emissions by subsidiaries. Evidence suggests the increase in pollution is driven by lower investment in ab...
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作者：Dimmock, Stephen G.; Gerken, William C.; Van Alfen, Tyson
作者单位：National University of Singapore; University of Kentucky; Southern Illinois University System; Southern Illinois University
摘要：We test whether personal real estate shocks affect professional misconduct by financial advisors. We use a panel of advisors' home addresses and examine within-advisor variation relative to other advisors who work at the same firm and live in the same ZIP code. We find a negative relation between housing returns and misconduct. We show that advisors' housing returns explain misconduct against out-of-state customers, breaking the link between customer and advisor housing shocks. Furthermore, th...
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作者：Barberis, Nicholas; Jin, Lawrence J.; Wang, Baolian
作者单位：Yale University; California Institute of Technology; State University System of Florida; University of Florida
摘要：We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all of the elements of prospect theory, accounts for investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of the asset's return volatility, return skewness, and past capital gain. We find that the model can help explain a ma...
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作者：Lu, Zhongjin; Qin, Zhongling
作者单位：University System of Georgia; University of Georgia; Auburn University System; Auburn University
摘要：Using the most comprehensive data set of leveraged funds known to the literature, we measure the market-wide shadow cost of leverage constraints and examine its pricing implications. The shadow cost averages 0.53% per annum from 2006 to 2016, spikes upon quarter-ends when banks face tighter capital requirements, positively predicts future betting-against-beta (BAB) returns, and negatively correlates with contemporaneous BAB returns. Stocks that experience lower returns when the shadow cost inc...
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作者：Duarte, Fernando; Eisenbach, Thomas M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm-specific measures of s...
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作者：Ben-Rephael, Azi; Carlin, Bruce I.; Da, Zhi; Israelsen, Ryan D.
作者单位：Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Rice University; University of Notre Dame; Michigan State University; Michigan State University's Broad College of Business
摘要：We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information spillovers, affected stocks earn a significant return premium (5% annualized) and the capital a...
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作者：Kempf, Elisabeth; Tsoutsoura, Margarita
作者单位：Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research; Cornell University
摘要：Partisan perception affects the actions of professionals in the financial sector. Linking credit rating analysts to party affiliations from voter records, we show that analysts not affiliated with the U.S. president's party downward-adjust corporate credit ratings more frequently. Since we compare analysts with different party affiliations covering the same firm in the same quarter, differences in firm fundamentals cannot explain the results. We also find a sharp divergence in the rating actio...
