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作者：George, Thomas J.; Hwang, Chuan-Yang; Li, Yuan
作者单位：University of Houston System; University of Houston; Nanyang Technological University; Aarhus University; Danish Finance Institute
摘要：The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price leve...
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作者：Broer, Tobias
作者单位：Stockholm University; Centre for Economic Policy Research - UK
摘要：An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists' demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors valu...
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作者：Jaremski, Matthew
作者单位：Colgate University; National Bureau of Economic Research
摘要：Operating in individual cities, US clearinghouses were the closest thing to a central bank before 1914, but they only assisted banks that chose to join the association. Using an annual bank-level database for seven states between 1880 and 1910, this paper shows that after the entry of a clearinghouse member banks were less likely and nonmember banks in the same city were more likely to close. The results are driven by the fact that the presence of clearinghouses led all banks to become more ex...
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作者：Asness, Clifford; Frazzini, Andrea; Israel, Ronen; Moskowitz, Tobias J.; Pedersen, Lasse H.
作者单位：Yale University; National Bureau of Economic Research; Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
摘要：The size premium has been accused of having a weak historical record, being meager relative to other factors, varying significantly over time, weakening after its discovery, being concentrated among microcap stocks, residing predominantly in January, relying on price based measures, and being weak internationally. We find, however, that these challenges disappear when controlling for the quality, or its inverse, junk, of a firm. A significant size premium emerges, which is stable through time,...
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作者：Donaldson, Jason Roderick; Piacentino, Giorgia; Thakor, Anjan
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; Columbia University; European Corporate Governance Institute
摘要：We develop a theory of banking that explains why banks started out as commodities warehouses. We show that warehouses become banks because their superior storage technology allows them to enforce the repayment of loans most effectively. Further, interbank markets emerge endogenously to support this enforcement mechanism. Even though warehouses store deposits of real goods, they make loans by writing new fake warehouse receipts, rather than by taking deposits out of storage. Our theory helps to...
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作者：Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.; Stucke, Ruediger
作者单位：University of Virginia; University of Oxford; University of Chicago
摘要：This paper focuses on funds of funds (FOFs) as a form of financial intermediation in private equity (both buyout and venture capital). After accounting for fees, FOFs provide returns equal to or above public market indices for both buyout and venture capital. While FOFs focusing on buyouts outperform public markets, they underperform direct fund investment strategies in buyout. In contrast, the average performance of FOFs in venture capital is on a par with results from direct venture fund inv...
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作者：Badarinza, Cristian; Ramadorai, Tarun
作者单位：National University of Singapore; Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：Identifying the effects of flights to safety on asset prices using pure time-series methods is difficult because crises are infrequent. We develop a new cross-sectional identification approach, motivated by the insight that investors may differ in their preferred habitats within a broad asset class. We apply the method to the question of whether foreign capital is responsible for residential real estate price movements in global cities such as London and New York, especially during crises. Usi...
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作者：Lin, Chen; Schmid, Thomas; Xuan, Yuhai
作者单位：University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We analyze how direct employee voice affects financial leverage. German law mandates that firms' supervisory boards consist of an equal number of employees' and owners' representatives. This requirement, however, applies only to firms with more than two thousand domestic employees. We exploit this discontinuity and the law's introduction in 1976 for identification and find that direct employee power increases financial leverage. This is explained by a supply side effect: as banks' interests ar...
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作者：Deng, Yongheng; Liu, Xin; Wei, Shang-Jin
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; Australian National University; Columbia University; Columbia University; National Bureau of Economic Research
摘要：We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges, binding capital controls, and different timing of changes in transaction costs), we obtain a control group that has identical corporate fundamentals as the treatment group. We apply the research design to Chin...
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作者：Gao, Lei; Han, Yufeng; Li, Sophia Zhengzi; Zhou, Guofu
作者单位：Iowa State University; University of North Carolina; University of North Carolina Charlotte; Rutgers University System; Rutgers University New Brunswick; Washington University (WUSTL); Shanghai Jiao Tong University
摘要：Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993-2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day's market close predicts the last half-hour return. This predictability, which is both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. Intraday momentum also exists for ten other most a...
