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作者：Clementi, Gian Luca; Palazzo, Berardino
作者单位：New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The data show that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets, reducing the risk faced by shareholders and the returns that they are likely to demand. In the one-factor production-based asset pricing model, when the frictions to capital adjustment are shaped to respect the evidence on investment, the model-generated cross-sectional dispersion of returns is only a small fraction of that documented in the data. ...
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作者：Addoum, Jawad M.; Delikouras, Stefanos; Korniotis, George M.; Kumar, Alok
作者单位：Cornell University; University of Miami
摘要：We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value factor and first demonstrate that our demand estimates are correlated with the actual demands of retail and mutual fund investors. We then show that the aggregate high-minus-low (HML) demand predicts HML returns. Exploiting the state-level variation in income risk, we demonstrate that state-level hedging demands predict state-level HML returns. A long-short portfolio that expl...
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作者：van Kervel, Vincent; Menkveld, Albert J.
作者单位：Pontificia Universidad Catolica de Chile; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategi...
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作者：Jagannathan, Ravi; Ma, Tongshu; Zhang, Jiaqi
作者单位：Northwestern University; National Bureau of Economic Research; Northwestern University; State University of New York (SUNY) System; Binghamton University, SUNY
摘要：This note corrects an error in the proof of Proposition 2 of Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraint Helps that appeared in the Journal of Finance, August 2003.
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作者：Lee, Jung Hoon; Trzcinka, Charles; Venkatesan, Shyam
作者单位：Tulane University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Western University (University of Western Ontario)
摘要：Most mutual fund managers have performance-based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid-year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk-shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow-performance relation, suggesting that ris...
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作者：Rantala, Ville
作者单位：University of Miami
摘要：A unique data set from a large Ponzi scheme allows me to study word-of-mouth diffusion of investment information. Investors could join the scheme only by invitation from an existing member, which allows me to observe how the idea spreads from one person to the next based on inviter-invitee relationships. I find that the observed social network has a scale-free connectivity structure, which significantly facilitates the diffusion of the investment idea and contributes to the growth and survival...
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作者：Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco; Landier, Augustin
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Harvard University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：Using trade-level data, we study whether brokers play a role in spreading order flow information in the stock market. We focus on large portfolio liquidations that result in temporary price drops, and identify the brokers who intermediate these trades. These brokers' clients are more likely to predate on the liquidating funds than to provide liquidity. Predation leads to profits of about 25 basis points over 10 days and increases the liquidation costs of the distressed fund by 40%. This eviden...
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作者：Donaldson, Jason Roderick; Piacentino, Giorgia; Thakor, Anjan
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We use a labor-search model to explain why the worst employment slumps often follow expansions of household debt. We find that households protected by limited liability suffer from a household-debt-overhang problem that leads them to require high wages to work. Firms respond by posting high wages but few vacancies. This vacancy posting effect implies that high household debt leads to high unemployment. Even though households borrow from banks via bilaterally optimal contracts, the equilibrium ...
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作者：Murfin, Justin; Pratt, Ryan
作者单位：Brigham Young University
摘要：We propose that, by financing their own product sales through captive finance subsidiaries, durable goods manufacturers commit to higher resale values for their products in future periods. Using data on captive financing by the manufacturers of heavy equipment, we find that captive-backed models have lower price depreciation. The evidence is consistent with captive finance helping manufacturers commit to ex-post actions that support used machine prices. This, in turn, conveys higher pledgeabil...
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作者：Charness, Gary; Neugebauer, Tibor
作者单位：University of Luxembourg; University of California System; University of California Santa Barbara
摘要：Modigliani and Miller show that the total market value of a firm is unaffected by a repackaging of asset return streams to equity and debt if pricing is arbitrage-free. We investigate this invariance theorem in experimental asset markets, finding value-invariance for assets of identical risks when returns are perfectly correlated. However, exploiting price discrepancies has risk when returns have the same expected value but are uncorrelated, in which case the law of one price is violated. Disc...
