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作者：Kirchler, Michael; Lindner, Florian; Weitzel, Utz
作者单位：University of Innsbruck; University of Gothenburg; Max Planck Society; Utrecht University; Radboud University Nijmegen
摘要：Rankings are omnipresent in the finance industry, yet the literature is silent on how they impact financial professionals' behavior. Using lab-in-the-field experiments with 657 professionals and lab experiments with 432 students, we investigate how rank incentives affect investment decisions. We find that both rank and tournament incentives increase risk-taking among underperforming professionals, while only tournament incentives affect students. This rank effect is robust to the experimental ...
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作者：Parsons, Christopher A.; Sulaeman, Johan; Titman, Sheridan
作者单位：University of Southern California; National University of Singapore; University of Texas System; University of Texas Austin
摘要：Financial misconduct (FM) rates differ widely between major U.S. cities, up to a factor of 3. Although spatial differences in enforcement and firm characteristics do not account for these patterns, city-level norms appear to be very important. For example, FM rates are strongly related to other unethical behavior, involving politicians, doctors, and (potentially unfaithful) spouses, in the city.
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作者：Aretz, Kevin; Pope, Peter F.
作者单位：University of Manchester; Alliance Manchester Business School; University of London; London School Economics & Political Science; Bocconi University
摘要：We use a stochastic frontier model to obtain a stock-level estimate of thedifferencebetweenafirm's installed production capacity and its optimal capacity. We show that this capacity overhang estimate relates significantly negatively to the cross section of stock returns, even when controlling for popular pricing factors. The negative relation persists among small and largestocks,stockswith more or less reversible investments, and in good and bad economic states. Capacity overhang helps explain...
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作者：Bessembinder, Hendrik; Jacobsen, Stacey; Maxwell, William; Venkataraman, Kumar
作者单位：Arizona State University; Arizona State University-Tempe; Southern Methodist University
摘要：We study trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016. Despite a temporary spike during the financial crisis, average trade execution costs have not increased notably over time. However, dealer capital commitment, turnover, block trade frequency, and average trade size decreased during the financial crisis and thereafter. These declines are attributable to bank-affiliated dealers, as nonbank dealers have increased their market commitment. Our evidence indi...
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作者：Gromb, Denis; Vayanos, Dimitri
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of London; London School Economics & Political Science
摘要：We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns increase, which allows capital to be gradually replenished. Spreads increase more for trades with volatile fundamentals or more time to convergence. Arbitrageurs cut their positions more in those trades, except when volatility concerns the hedgeable component. F...
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作者：Herskovic, Bernard
作者单位：University of California System; University of California Los Angeles
摘要：In this paper, I examine asset pricing in a multisector model with sectors connected through an input-output network. Changes in the network are sources of systematic risk reflected in equilibrium asset prices. Two characteristics of the network matter for asset prices: network concentration and network sparsity. These two production-based asset pricing factors are determined by the structure of the network and are computed from input-output data. Consistent with the model predictions, I find ...
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作者：Scharfstein, David S.
作者单位：Harvard University; National Bureau of Economic Research
摘要：In this paper, I examine the effect of pension policy on the structure of financial systems around the world. In particular, I explore the hypothesis that policies that promote pension savings also promote the development of capital markets. I present a model that endogenizes the extent to which savings are intermediated through banks or capital markets, and derive implications for corporate finance, household finance, banking, and the size of the financial sector. I then present a number of f...
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作者：Stein, Jeremy C.; Sunderam, Adi
作者单位：Harvard University; Harvard University
摘要：We develop a model of monetary policy with two key features: the central bank has private information about its long-run target rate and is averse to bond market volatility. In this setting, the central bank gradually impounds changes in its target into the policy rate. Such gradualism represents an attempt to not spook the bond market. However, this effort is partially undone in equilibrium, as markets rationally react more to a given move when the central bank moves more gradually. This time...
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作者：Jones, Christopher S.; Shemesh, Joshua
作者单位：University of Southern California
摘要：We find that option returns are significantly lower over nontrading periods, the vast majority of which are weekends. Our evidence suggests that nontrading returns cannot be explained by risk, but rather are the result of widespread and highly persistent option mispricing driven by the incorrect treatment of stock return variance during periods of market closure. The size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading eff...
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作者：Jiang, Hao; Verardo, Michela
作者单位：Michigan State University; University of London; London School Economics & Political Science
摘要：We uncover a negative relation between herding behavior and skill in the mutual fund industry. Our new, dynamic measure of fund-level herding captures the tendency of fund managers to follow the trades of the institutional crowd. We find that herding funds underperform their antiherding peers by over 2% per year. Differences in skill drive this performance gap: Antiherding funds make superior investment decisions even on stocks not heavily traded by institutions, and can anticipate the trades ...
