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作者：Froot, Kenneth; Kang, Namho; Ozik, Gideon; Sadka, Ronnie
作者单位：Harvard University; University of Connecticut; Universite Catholique de Lille; EDHEC Business School; Boston College
摘要：We develop real-time proxies of retail corporate sales from multiple sources, including similar to 50 million mobile devices. These measures contain information from both the earnings quarter (within quarter) and the period between the quarter-end and the earnings announcement date (post quarter). Our within-quarter measure is powerful in explaining quarterly sales growth, revenue surprises, and earnings surprises, generating average excess announcement returns of 3.4%. However, our post-quart...
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作者：Brown, David C.; Cederburg, Scott; O'Doherty, Michael S.
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：We investigate the optimal savings decisions for investors with access to pre-tax (traditional) and post-tax (Roth) versions of tax-advantaged retirement accounts. The model features a progressive tax schedule and uncertainty over future tax rates. Traditional accounts are valuable for hedging retirement account performance and managing current income near tax-bracket cutoffs, whereas Roth accounts allow investors to mitigate uncertainty over future tax schedules. The optimal asset location po...
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作者：Subrahmanyam, Marti G.; Tang, Dragon Yongjun; Wang, Sarah Qian
作者单位：New York University; University of Hong Kong; University of Warwick
摘要：We investigate the liquidity management of firms following the inception of credit default swaps (CDS) markets on their debt, which allow hedging and speculative trading on credit risk to be carried out by creditors and other parties. We find that reference firms hold more cash after CDS trading commences on their debt. The increase in cash holdings is more pronounced for CDS firms that do not pay dividends and have a higher marginal value of liquidity. For CDS firms with higher cash flow vola...
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作者：Prilmeier, Robert
作者单位：Tulane University
摘要：Despite the importance of banks' role as delegated monitors, little is known about how non-price terms of loan contracts are structured to optimize information production in a lending relationship. Using a large sample of corporate loans, this paper examines the effect of relationship lending on covenant choice. Consistent with information asymmetry theories, covenant tightness is relaxed over the duration of a relationship, especially for opaque borrowers. In contrast, the effect of lending r...
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作者：Wang, Huijun; Yan, Jinghua; Yu, Jianfeng
作者单位：University of Delaware; University of Minnesota System; University of Minnesota Twin Cities; Tsinghua University
摘要：This paper studies the cross-sectional risk-return trade-off in the stock market. A fundamental principle in finance is the positive relation between risk and expected return. However, recent empirical evidence suggests the opposite. Using several intuitive risk measures, we show that the negative risk-return relation is much more pronounced among firms in which investors face prior losses, but the risk-return relation is positive among firms in which investors face prior gains. We consider a ...
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作者：Chernykh, Lucy; Mityakov, Sergey
作者单位：Clemson University; Clemson University
摘要：We use mandatory Russian banks' reports to the Central Bank to construct a novel measure of offshore-banking. Individual bank involvement in offshore operations is calculated as a fraction of total transactions with foreign countries that go through offshore financial centers. We find that offshore-active banks perform less financial intermediation and focus more on international wire transfers. We show a positive relation between banks' offshore activities and tax evasion of companies doing b...
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作者：Hoberg, Gerard; Moon, S. Katie
作者单位：University of Southern California; University of Colorado System; University of Colorado Boulder
摘要：A key question is why many multinational firms forgo foreign exchange derivative (FX) hedging and instead use operational hedging. We propose an explanation based on illiquidity and the unique advantages of operational hedges. We use 10-K filings to construct dynamically updated text-based measures of the offshore sale of output, purchase of input, and ownership of assets. We find that firms use FX derivatives when they are liquid and generally available. Otherwise, they often favor purchasing...
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作者：Landier, Augustin; Sraer, David; Thesmar, David
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT)
摘要：The correlation in house price growth across US states increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and show that house price growth correlation is strongly related to this measure of financial integration. Our instrumental var...
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作者：Dew-Becker, Ian; Giglio, Stefano; Le, Anh; Rodriguez, Marius
作者单位：Northwestern University; University of Chicago; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Federal Reserve System - USA; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Between 1996 and 2014, it was costless on average to hedge news about future variance at horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance was significantly priced. These results present a challenge to many structural models of the variance risk premium, such as the intertemporal CAPM and recent models with Epstein-Zin preferences and long-run risks. The results are also difficult to reconcile with macro models in which volatility affects investment dec...
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作者：Bena, Jan; Ferreira, Miguel A.; Matos, Pedro; Pires, Pedro
作者单位：University of British Columbia; Universidade Nova de Lisboa; University of Virginia
摘要：This paper challenges the view that foreign investors lead firms to adopt a short-term orientation and forgo long-term investment. Using a comprehensive sample of publicly listed firms in 30 countries over the period 2001-2010, we find instead that greater foreign institutional ownership fosters long-term investment in tangible, intangible, and human capital. Foreign institutional ownership also leads to significant increases in innovation output. We identify these effects by exploiting the ex...
