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作者：Koudijs, Peter
作者单位：Stanford University; National Bureau of Economic Research
摘要：What explains short-term fluctuations of stock prices? This paper exploits a natural experiment from the 18th century in which information flows were regularly interrupted for exogenous reasons. English shares were traded on the Amsterdam exchange and news came in on sailboats that were often delayed because of adverse weather conditions. The paper documents that prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence suggests that...
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作者：Koijen, Ralph S. J.; Van Nieuwerburgh, Stijn; Yogo, Motohiro
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research; Princeton University
摘要：We develop a pair of risk measures, health and mortality delta, for the universe of life and health insurance products. A life-cycle model of insurance choice simplifies to replicating the optimal health and mortality delta through a portfolio of insurance products. We estimate the model to explain the observed variation in health and mortality delta implied by the ownership of life insurance, annuities including private pensions, and long-term care insurance in the Health and Retirement Study...
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作者：Giannetti, Mariassunta; Wang, Tracy Yue
作者单位：Stockholm School of Economics; University of Minnesota System; University of Minnesota Twin Cities
摘要：We show that, after the revelation of corporate fraud in a state, household stock market participation in that state decreases. Households decrease holdings in fraudulent as well as nonfraudulent firms, even if they do not hold stocks in fraudulent firms. Within a state, households with more lifetime experience of corporate fraud hold less equity. Following the exogenous increase in fraud revelation due to Arthur Andersen's demise, states with more Arthur Andersen clients experience a larger d...
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作者：Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Center for Economic & Policy Research (CEPR); Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of California System; University of California San Diego
摘要：We propose a quantile-based measure of conditional skewness, particularly suitable for handling recalcitrant emerging market (EM) returns. The skewness of international stock market returns varies significantly across countries over time, and persists at long horizons. In EMs, skewness is mostly positive and idiosyncratic, and significantly relates to a country's financial and trade openness and balance of payments. In an international portfolio setting, return asymmetry leads to sizeable cert...
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作者：Fang, Vivian W.; Huang, Allen H.; Karpoff, Jonathan M.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Hong Kong University of Science & Technology; University of Washington; University of Washington Seattle
摘要：During 2005 to 2007, the SEC ordered a pilot program in which one-third of the Russell 3000 index were arbitrarily chosen as pilot stocks and exempted from shortsale price tests. Pilot firms' discretionary accruals and likelihood of marginally beating earnings targets decrease during this period, and revert to pre-experiment levelswhen the program ends. After the program starts, pilot firms are more likely to be caught for fraud initiated before the program, and their stock returns better inco...
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作者：Behn, Markus; Haselmann, Rainer; Wachtel, Paul
作者单位：European Central Bank; Goethe University Frankfurt; New York University
摘要：We use a quasi-experimental research design to examine the effect of model-based capital regulation on the procyclicality of bank lending and firms' access to funds. In response to an exogenous shock to credit risk in the German economy, capital charges for loans under model-based regulation increased by 0.5percentage points. As a consequence, banks reduced the amount of these loans by 2.1 to 3.9percentage points more than for loans under the traditional approach with fixed capital charges. We...
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作者：Gilje, Erik P.; Loutskina, Elena; Strahan, Philip E.
作者单位：University of Pennsylvania; University of Virginia; Boston College; National Bureau of Economic Research
摘要：Using exogenous liquidity windfalls from oil and natural gas shale discoveries, we demonstrate that bank branch networks help integrate U.S. lending markets. Banks exposed to shale booms enjoy liquidity inflows, which increase their capacity to originate and hold new loans. Exposed banks increase mortgage lending in nonboom counties, but only where they have branches and only for hard-to-securitize mortgages. Our findings suggest that contracting frictions limit the ability of arm's length fin...
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作者：Gurun, Umit G.; Matvos, Gregor; Seru, Amit
作者单位：University of Texas System; University of Texas Dallas; University of Chicago; National Bureau of Economic Research
摘要：Using information on advertising and mortgages originated by subprime lenders, we study whether advertising helped consumers find cheaper mortgages. Lenders that advertise more within a region sell more expensive mortgages, measured as the excess rate of a mortgage after accounting for borrower, contract, and regional characteristics. These effects are stronger for mortgages sold to less sophisticated consumers. We exploit regional variation in mortgage advertising induced by the entry of Crai...
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作者：Jenkinson, Tim; Jones, Howard; Martinez, Jose Vicente
作者单位：University of Oxford; Center for Economic & Policy Research (CEPR); University of Connecticut
摘要：Investment consultants advise institutional investors on their choice of fund manager. Focusing on U.S. actively managed equity funds, we analyze the factors that drive consultants' recommendations, what impact these recommendations have on flows, and how well the recommended funds perform. We find that investment consultants' recommendations of funds are driven largely by soft factors, rather than the funds' past performance, and that their recommendations have a significant effect on fund fl...
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作者：Lim, Jongha; Sensoy, Berk A.; Weisbach, Michael S.
作者单位：California State University System; California State University Fullerton; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Indirect incentives exist in the money management industry when good current performance increases future inflows of capital, leading to higher future fees. For the average hedge fund, indirect incentives are at least 1.4 times as large as direct incentives from incentive fees and managers' personal stakes in the fund. Combining direct and indirect incentives,manager wealth increases by at least $0.39 for a $1 increase in investor wealth. Younger and more scalable hedge funds have stronger flo...
