-
作者：Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Cornell University
摘要：We find that socially connected fund managers have more similar holdings and trades. The overlap of funds whose managers reside in the same neighborhood is considerably higher than that of funds whose managers live in the same city but in different neighborhoods. These effects are larger when managers share a similar ethnic background, and are not explained by preferences. Valuable information is transmitted through these peer networks: a long-short strategy composed of stocks purchased minus ...
-
作者：Dougal, Casey; Parsons, Christopher A.; Titman, Sheridan
作者单位：Drexel University; University of California System; University of California San Diego; University of Texas System; University of Texas Austin
摘要：We find that a firm's investment is highly sensitive to the investments of other firms headquartered nearby, even those in very different industries. A firm's investment also responds to fluctuations in the cash flows and stock prices (q) of local firms outside its sector. These patterns do not appear to reflect exogenous area shocks such as local shocks to labor or real estate values, but rather suggest that local agglomeration economies are important determinants of firm investment and growth.
-
作者：Sockin, Michael; Xiong, Wei
作者单位：University of Texas System; University of Texas Austin; Princeton University; National Bureau of Economic Research
摘要：This paper develops a model with a tractable log-linear equilibrium to analyze the effects of informational frictions in commodity markets. By aggregating dispersed information about the strength of the global economy among goods producers whose production has complementarity, commodity prices serve as price signals to guide producers' production decisions and commodity demand. Our model highlights important feedback effects of informational noise originating from supply shocks and futures mar...
-
作者：Collin-Dufresne, Pierre; Fos, Vyacheslav
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Boston College
摘要：Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stock illiquidity are lower, even though prices are positively impacted. Two channels help explain this phenomenon: (1) activists select times of higher liquidity when they trade, and (2) activists use limit orders. We conclude that, when informe...
-
作者：Patton, Andrew J.; Ramadorai, Tarun; Streatfield, Michael
-
作者：Tsoutsoura, Margarita
摘要：This paper provides causal evidence on the impact of succession taxes on firm investment decisions and transfer of control. Using a 2002 policy change in Greece that substantially reduced the tax on intrafamily transfers of businesses, I show that succession taxes lead to a more than 40% decline in investment around family successions, slow sales growth, and a depletion of cash reserves. Furthermore, succession taxes strongly affect the decision to sell or retain the firm within the family. I ...
-
作者：Dasgupta, Amil; Piacentino, Giorgia
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); University of London; London Business School; Washington University (WUSTL)
摘要：Effective monitoring by equity blockholders is important for good corporate governance. A prominent theoretical literature argues that the threat of block sale (exit) can be an effective governance mechanism. Many blockholders are money managers. We show that, when money managers compete for investor capital, the threat of exit loses credibility, weakening its governance role. Money managers with more skin in the game will govern more successfully using exit. Allowing funds to engage in activi...
-
作者：Axelson, Ulf; Bond, Philip
作者单位：University of London; London School Economics & Political Science; University of Washington; University of Washington Seattle
摘要：Many finance jobs entail the risk of large losses, and hard-to-monitor effort. We analyze the equilibrium consequences of these features in a model with optimal dynamic contracting. We show that finance jobs feature high compensation, up-or-out promotion, and long work hours, and are more attractive than other jobs. Moral hazard problems are exacerbated in booms, even though pay increases. Employees whose talent would be more valuable elsewhere can be lured into finance jobs, while the most ta...
-
作者：Kung, Howard; Schmid, Lukas
作者单位：University of London; London Business School; Duke University; University of California System; University of California Los Angeles
摘要：We examine the asset pricing implications of a production economy whose long-term growth prospects are endogenously determined by innovation and R&D. In equilibrium, R&D endogenously drives a small, persistent component in productivity that generates long-run uncertainty about economic growth. With recursive preferences, households fear that persistent downturns in economic growth are accompanied by low asset valuations and command high-risk premia in asset markets. Empirically, we find substa...
-
作者：Bloomfield, Robert; O'Hara, Maureen; Saar, Gideon
作者单位：Cornell University
摘要：Using a laboratory market, we investigate how the ability to hide orders affects traders' strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different opacity regimes, however, most aggregate market outcomes (such as liquidity and informational efficien...
