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作者：Comerton-Forde, Carole; Malinova, Katya; Park, Andreas
作者单位：University of Toronto; University of Toronto; University Toronto Mississauga; University of Toronto
摘要：We examine the impact of a rule in the Canadian equities market that requires dark orders to offer price improvement over displayed orders. We show that this rule eliminated intermediation of retail orders in the dark and shifted retail orders onto the lit market with the lowest trading fee. Intermediaries shifted liquidity supply to this market leading to increased displayed liquidity. We conclude that reducing retail order segmentation enhances lit liquidity. Despite the improvement in liqui...
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作者：Farago, Adam; Tedongap, Romeo
作者单位：University of Gothenburg; ESSEC Business School
摘要：In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent ...
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作者：Ewens, Michael; Nanda, Ramana; Rhodes-Kropf, Matthew
作者单位：California Institute of Technology; Harvard University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：We study how technological shocks to the cost of starting new businesses have led the venture capital model to adapt in fundamental ways over the prior decade. We both document and provide a framework to understand the changes in the investment strategy of venture capitalists (VCs) in recent years - an increased prevalence of a spray and pray investment approach - where investors provide a little funding and limited governance to an increased number of startups that they are more likely to aba...
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作者：Bird, Andrew
作者单位：Carnegie Mellon University
摘要：Understanding the effects of taxes on executive compensation provides insight into the process determining this compensation and is a key input to top income tax rate policy. A 2010 tax reform in Canada, which greatly increased the effective tax rate on stock option compensation for a subset of firms, provides a natural experiment with which to address this issue. Difference-in-differences estimates suggest that this tax increase resulted in an immediate reduction in both stock option grants a...
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作者：Baranchuk, Nina; Rebello, Michael J.
作者单位：University of Texas System; University of Texas Dallas
摘要：We model debt restructurings that could endogenously end in bankruptcy, and study spillovers to competitors' operating decisions, profits, restructuring outcomes and security prices. We show that while bankruptcy could cause the firm's share price to drop, bankruptcy always signals good news about the firm. We identify the conditions under which a bankruptcy also signals good news about competitors. We demonstrate that when a firm's bankruptcy costs are relatively small, bankruptcy raises its ...
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作者：Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei
作者单位：Yale University; Harvard University; California Institute of Technology; Harvard University
摘要：We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals-an average of the asset's past price changes and the asset's degree of overvaluation-and waver over time in the relative weight they put on them. The model predicts that good news about fundamentals can trigger large price bubbles, that bubbles will be accompanied by high trading volume, and that volume increases with past asset returns. We present empirical ev...
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作者：Song, Zhaogang; Zhu, Haoxiang
作者单位：Johns Hopkins University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The Federal Reserve uses (reverse) auctions to implement its purchases of Treasury bonds in quantitative easing (QE). To evaluate dealers' offers across multiple bonds, the Fed relies on its internal yield curve model, fitted to secondary market bond prices. From November 2010 to September 2011, a one standard deviation increase in the cheapness of a Treasury bond (how much the market price of the bond is below a model-implied value) increases the Fed's purchase quantity of that bond by 276 mi...
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作者：Brav, Alon; Jiang, Wei; Ma, Song; Tian, Xuan
作者单位：Duke University; National Bureau of Economic Research; Columbia University; Yale University; Tsinghua University
摘要：This paper studies how hedge fund activism impacts corporate innovation. Firms targeted by activists improve their innovation efficiency over the five-year period following hedge fund intervention. Despite a tightening in research and development (R&D) expenditures, target firms increase innovation output, as measured by both patent counts and citations, with stronger effects among firms with more diversified innovation portfolios. Reallocation of innovative resources, redeployment of human ca...
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作者：Cookson, J. Anthony
作者单位：University of Colorado System; University of Colorado Boulder
摘要：Prize-linked savings (PLS) accounts, which allocate interest using lottery payments rather than fixed interest, encourage savings by appealing to households' gambling preferences. I introduce new data on casino cash withdrawals to measure gambling, and examine how individual gambling expenditures respond to the introduction of PLS in Nebraska using a difference-in-differences design. After PLS is introduced, individuals who live in counties that offer PLS reduce gambling by at least 3% more th...
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作者：Kolasinski, Adam C.; Yang, Nan
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Hong Kong Polytechnic University
摘要：Prominent policy makers assert that managerial short-termism was at the root of the sub-prime crisis of 2007-2009. Prior scholarly research, however, largely rejects this assertion. Using a more comprehensive measure of Chief Executive Officer (CEO) incentives for short-termism, we uncover evidence that short-termism indeed played a role. Firms whose CEOs were contractually allowed to sell or exercise more of their stock and options holdings sooner had more subprime exposure, a higher probabil...
