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作者：Jagolinzer, Alan D.; Larcker, David F.; Ormazabal, Gaizka; Taylor, Daniel J.
作者单位：University of Cambridge; Stanford University; University of Navarra; IESE Business School; University of Pennsylvania
摘要：We analyze the trading of corporate insiders at leading financial institutions during the 2007 to 2009 financial crisis. We find strong evidence of a relation between political connections and informed trading during the period in which Troubled Asset Relief Program (TARP) funds were disbursed, and that the relation is most pronounced among corporate insiders with recent direct connections. Notably, we find evidence of abnormal trading by politically connected insiders 30 days in advance of TA...
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作者：Bolandnazar, Mohammadreza; Jackson, Robert J., Jr.; Jiang, Wei; Mitts, Joshua
作者单位：Columbia University; Columbia University; U.S. Securities & Exchange Commission (SEC); U.S. Securities & Exchange Commission (SEC)
摘要：For years, the Securities and Exchange Commission (SEC) accidentally distributed securities disclosures to some investors before the public. We exploit this setting, which is unique because the delay until public disclosure was exogenous and the private information window was well defined, to study informed trading with a random stopping time. Trading intensity and the pace at which prices incorporate information decrease with the expected delay until public release, but the relation between t...
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作者：Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco; Landier, Augustin
作者单位：Hautes Etudes Commerciales (HEC) Paris
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作者：Schwert, Michael
作者单位：University of Pennsylvania
摘要：This paper investigates the pricing of bank loans relative to capital market debt. The analysis uses a novel sample of loans matched with bond spreads from the same firm on the same date. After accounting for seniority, lenders earn a large premium relative to the bond-implied credit spread. In a sample of secured term loans to noninvestment-grade firms, the average premium is 140 to 170 bps or about half of the all-in-drawn spread. This is the first direct evidence of firms' willingness to pa...
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作者：Nagel, Stefan
作者单位：University of Chicago
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作者：Mian, Atif; Sufi, Amir; Verner, Emil
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：Credit supply expansion can affect an economy by increasing productive capacity or by boosting household demand. In this study, we develop a test to determine if the household demand channel is present, and we implement the test using both a natural experiment in the United States in the 1980s and an international panel of 56 countries over the last several decades. Consistent with the importance of the household demand channel, we find that credit supply expansion boosts nontradable sector em...
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作者：Di Maggio, Marco; Kermani, Amir; Majlesi, Kaveh
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California Berkeley; Lund University; Monash University; Centre for Economic Policy Research - UK; Research Institute of Industrial Economics (IFN); IZA Institute Labor Economics
摘要：This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume of 23% for the bottom 50% of the wealth distribution and about 3% for the top 30% of the wealth distribution. Household consumption is significantly more responsive to dividend payouts across all parts of...
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作者：Song, Yang
作者单位：University of Washington; University of Washington Seattle
摘要：I demonstrate that skill and scale are mismatched among actively managed equity mutual funds. Many mutual fund investors confuse the effects of fund exposures to common systematic factors with managerial skill when allocating capital among funds. Active mutual funds with positive factor-related past returns thus accumulate assets to the point that they significantly underperform. I also show that the negative aggregate benchmark-adjusted performance of active equity mutual funds is driven main...
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作者：Hennessy, Christopher A.; Strebulaev, Ilya A.
作者单位：Centre for Economic Policy Research - UK; University of London; London Business School; University of London; London Business School; Stanford University; National Bureau of Economic Research
摘要：We derive analytical relationships between shock responses and theory-implied causal effects (comparative statics) in dynamic settings with linear profits and linear-quadratic stock accumulation costs. For permanent profitability shocks, responses can have incorrect signs, undershoot, or overshoot depending on the size and sign of realized changes. For profitability shocks that are i.i.d., uniformly distributed, binary, or unanticipated and temporary, there is attenuation bias, which exceeds 5...
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作者：Akbas, Ferhat; Jiang, Chao; Koch, Paul D.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of South Carolina System; University of South Carolina Columbia; Iowa State University
摘要：We examine the relation between insiders' investment horizon and the information content of their trades with respect to future stock returns. We conjecture that an insider's investment horizon establishes a benchmark for expected patterns of continued trading behavior and thus helps identify unexpected insider trades, which should be more informative in efficient markets. Consistent with this conjecture, the trades of short-horizon insiders are both more unexpected and more informed, on avera...
