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作者：Restrepo, Felipe; Cardona-Sosa, Lina; Strahan, Philip E.
作者单位：Western University (University of Western Ontario); Banco de la Republica Colombia; Boston College; National Bureau of Economic Research
摘要：In 2011, Colombia instituted a tax on repayment of bank loans, which increased the cost of short-term bank credit more than long-term credit. Firms responded by cutting short-term loans for liquidity management purposes and increasing the use of cash and trade credit. In industries in which trade credit is more accessible (based on U.S. Compustat firms), we find substitution into accounts payable and little effect on cash and investment. Where trade credit is less available, firms increase cas...
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作者：Ma, Linlin; Tang, Yuehua; Gomez, Juan-Pedro
作者单位：Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; State University System of Florida; University of Florida; IE University
摘要：We study compensation contracts of individual portfolio managers using hand-collected data of over 4,500 U.S. mutual funds. Variations in the compensation structures are broadly consistent with an optimal contracting equilibrium. The likelihood of explicit performance-based incentives is positively correlated with the intensity of agency conflicts, as proxied by the advisor's clientele dispersion, its affiliations in the financial industry, and its ownership structure. Investor sophistication ...
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作者：Golubov, Andrey; Konstantinidi, Theodosia
作者单位：University of Toronto; City St Georges, University of London
摘要：We study the value premium using the multiples-based market-to-book decomposition of Rhodes-Kropf, Robinson, and Viswanathan (2005). The market-to-value component drives all of the value strategy return, while the value-to-book component exhibits no return predictability in either portfolio sorts or firm-level regressions. Existing results linking market-to-book to operating leverage, duration, exposure to investment-specific technology shocks, and analysts' risk ratings derive from the unpric...
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作者：Andrikogiannopoulou, Angie; Papakonstantinou, Filippos
作者单位：University of London; King's College London
摘要：Barras, Scaillet, and Wermers propose the false discovery rate (FDR) to separate skill (alpha) from luck in fund performance. Using simulations with parameters informed by the data, we find that this methodology is conservative and underestimates the proportion of nonzero-alpha funds. For example, 65% of funds with economically large alphas of +/- 2% are misclassified as zero alpha. This bias arises from the low signal-to-noise ratio in fund returns and the resulting low statistical power. Our...
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作者：Bae, Joon Woo; Elkamhi, Redouane; Simutin, Mikhail
作者单位：University System of Ohio; Case Western Reserve University; University of Toronto
摘要：A growing body of evidence suggests that the benefits of international diversification via developed markets have declined dramatically. While emerging markets still offer diversification opportunities, their public equity indices capture only a fraction of emerging countries' economic activity. We propose a diversification approach that exploits the global connectedness of developed countries to gain exposure to emerging countries' overall economies rather than their shallow equity markets. I...
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作者：Cieslak, Anna; Morse, Adair; Vissing-Jorgensen, Annette
作者单位：Duke University; Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：We document that since 1994, the equity premium is earned entirely in weeks 0, 2, 4, and 6 in Federal Open Market Committee (FOMC) cycle time, that is, even weeks starting from the last FOMC meeting. We causally tie this fact to the Fed by studying intermeeting target changes, Fed funds futures, and internal Board of Governors meetings. The Fed has affected the stock market via unexpectedly accommodating policy, leading to large reductions in the equity premium. Evidence suggests systematic in...
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作者：Alti, Aydogan; Titman, Sheridan
作者单位：University of Texas System; University of Texas Austin
摘要：We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of systematic risk for portfolios of firms sorted on value, profitability, and asset growth. If investors are overconfident about their ability to evaluate the disruption climate, these characteristic-sorte...
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作者：Badoer, Dominique C.; Demiroglu, Cem; James, Christopher M.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Koc University; State University System of Florida; University of Florida
摘要：Past studies document that incentive conflicts may lead issuer-paid credit rating agencies to provide optimistically biased ratings. In this paper, we present evidence that investors question the quality of issuer-paid ratings and raise corporate bond yields where the issuer-paid rating is more positive than benchmark investor-paid ratings. We also find that some firms with favorable issuer-paid ratings substitute public bonds with borrowings from informed intermediaries to mitigate the lemons...
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作者：Gupta, Arpit
作者单位：New York University
摘要：In this paper, I identify shocks to interest rates resulting from two administrative details in adjustable-rate mortgage contract terms: the choice of financial index and the choice of lookback period. I find that a 1 percentage point increase in interest rate at the time of adjustable-rate mortgage (ARM) reset results in a 2.5 percentage increase in the probability of foreclosure in the following year, and that each foreclosure filing leads to an additional 0.3 to 0.6 completed foreclosures w...
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作者：Weisbrod, Eric
作者单位：University of Miami
摘要：Using both investor- and stock-level data, I examine the relation between stockholders' unrealized returns since purchase and the market response to earnings announcements. I demonstrate that stockholders' unrealized gain/loss position moderates their trading behavior in response to earnings announcements. I also find that this behavior generates a short-window return underreaction to earnings news. My results are generally consistent with predictions from prospect theory regarding the manner ...
