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作者：Hu, Danqi; Jones, Charles M.; Zhang, Xiaoyan; Zhang, Xinran
作者单位：Peking University; Columbia University; Tsinghua University; Central University of Finance & Economics
摘要：Using 2015-2019 intraday short sale data from CBOE, we show that shorting flows near the open, middle, and close all negatively predict future returns, but the shorting flows near the open and middle have stronger predictive power than shorting flows near the close. We relate our findings to three informed trading models with different predictions on the timing of the trades. The long term predictive power of shorting flows near the open and midday is consistent with Kyle's (1985) model of ste...
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作者：Bekaert, Geert; Bergbrant, Mikael; Kassa, Haimanot
作者单位：Columbia University; Centre for Economic Policy Research - UK; St. John's University; University System of Ohio; Miami University
摘要：We use close to 80 million daily returns for more than 19,000 CRSP listed firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from multiple models, we find that the popular martingale model performs worst. Using the root-mean-squared-error (RMSE) to judge model performance, ARMA(1,1) models perform the best for about 46 % of the firms in out-of-sample tests. The ARMA(1,1) model delivers an average RMSE that is statistically significantly lowe...
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作者：Beshears, John; Choi, James J.; Clayton, Christopher; Harris, Christopher; Laibson, David; Madrian, Brigitte C.
作者单位：National Bureau of Economic Research; Yale University
摘要：We study the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias with naive beliefs. The government chooses mandatory contributions to accounts, each with a different pre-retirement withdrawal penalty. Collected penalties are rebated lump sum. When households have homogeneous present bias, beta, the social optimum is well approximated by a single account with an early-withdrawal penalty of 1 - beta. When households have heterogeneous p...
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作者：Golez, Benjamin; Matthies, Ben
作者单位：University of Notre Dame; University of Notre Dame
摘要：Do investors interpret central bank target rate decisions as signals about the current state of the economy? We study this question using a short-term equity asset that entitles the owner to the near-term dividends of the aggregate stock market. We develop a stylized model of monetary policy and the equity term structure and derive tests of Fed information effects using the short-term asset announcement return. Consistent with the existence of information effects, we find that the short-term a...
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作者：Xu, Nancy R.; You, Yang
作者单位：Boston College; University of Hong Kong
摘要：We propose a fiscal policy expectations mechanism. When bad macro news arrives (in our study, when initial jobless claims (IJC) are higher than expected), investors may expect more generous government spending and drive up aggregate stock prices through the expected cash flow channel. Using a time-series sample from January 2013 to March 2021, we find that this phenomenon emerges when newspapers mention fiscal policy more. In the cross section, firms expected to receive more government spendin...
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作者：Cosemans, Mathijs; Frehen, Rik
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University
摘要：This paper uses hand-collected historical data to provide empirical evidence on the strategic trading behavior of insiders and its consequences for outsiders. Specifically, we collect all equity trades of all insiders and outsiders in an era without legal restrictions on insider trading and a market where trading is non-anonymous. We find that access to private information creates a significant gap between the post-trade returns of insiders and outsiders. Consistent with theory, insiders capit...
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作者：Goldstein, Itay; Xiong, Yan; Yang, Liyan
作者单位：University of Pennsylvania; University of Hong Kong; University of Toronto
摘要：We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidi...
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作者：Inderst, Roman; Opp, Marcus M.
作者单位：Goethe University Frankfurt; Stockholm School of Economics; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：Our paper analyzes whether a planner should design a taxonomy for sustainable investment products when conventional tools for environmental regulation can also be used to address externalities arising from firm production. We first show that the private market provision of ESG funds marketed to retail investors involves greenwashing, so that a mandatory taxonomy is necessary to generate real effects of sustainable finance. However, the introduction of such a taxonomy can only improve welfare, ...
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作者：Jiang, Wei; Tang, Yuehua; Xiao, Rachel J.; Yao, Vincent
作者单位：National Bureau of Economic Research; Emory University; State University System of Florida; University of Florida; Fordham University; University System of Georgia; Georgia State University
摘要：We examine the impact of fintech on firm labor demand, job turnover, and firm performance. Occupations with higher exposure to fintech experience a net decline in job postings and employment, though both complementary and substitutive effects emerge across different sectors. Fintech blurs traditional industry boundaries, creating demand for workers with a combination of finance and technology skills. In response, firms upskill through hiring, reallocate talent internally, and pivot innovation ...
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作者：Acharya, Viral V.; Banerjee, Ryan; Crosignani, Matteo; Eisert, Tim; Spigt, Renee
作者单位：New York University; Bank for International Settlements (BIS); Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels - risky firms just above the IG cutoff - enjoyed subsidized bond financing in 2009-19. This effect is driven by Fed purchases of securities inducing long-duration IGfocused investors to rebalance their portfolios towards higher-yielding IG bonds. The benefiting firms (i) exploited the sluggish downward adjustment of credit ratings after M&A to...
