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作者：Adelino, Manuel; Schoar, Antoinette; Severino, Felipe
作者单位：Duke University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Dartmouth College
摘要：We show the importance of the collateral lending channel for small business employment over the past decade. Small businesses in areas with greater increases in house prices experienced stronger growth in employment than large firms in the same areas and industries. To identify the role of the collateral lending channel separately from aggregate changes in demand, we show that this effect is more pronounced in industries that need little start-up capital and in which housing collateral is more...
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作者：Hendershott, Terrence; Livdan, Dmitry; Schuerhoff, Norman
作者单位：University of California System; University of California Berkeley; University of Lausanne
摘要：This paper combines daily buy and sell institutional trading volume with all news announcements from Reuters. Using institutional order flow (buy volume minus sell volume) we find a variety of evidence that institutions are informed. Institutional trading volume predicts the occurrence of news announcements. Institutional order flow predicts (i) the sentiment of the news; (ii) the stock market reaction on news announcement days; (iii) the stock market reaction on crisis news days; and (iv) ear...
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作者：Tate, Geoffrey; Yang, Liu
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Maryland; University of Maryland College Park
摘要：We use unique worker-plant matched panel data to measure differences in wage changes experienced by workers displaced from closing plants. We observe larger losses among women than men, comparing workers who move from the same closing plant to the same new firm. However, we find a significantly smaller gap in hiring firms with female leadership. The results are strongest among women who are displaced from male-led plants and from less competitive industries. Our results suggest an important ex...
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作者：Jordan, Bradford D.; Riley, Timothy B.
作者单位：University of Kentucky; U.S. Securities & Exchange Commission (SEC)
摘要：In a standard four-factor framework, mutual fund return volatility is a reliable, persistent, and powerful predictor of future abnormal returns. However, the abnormal returns are eliminated by the addition of a vol anomaly factor contrasting returns on portfolios of low and high volatility stocks. Consistent with Novy-Marx (2014) and Fama and French (2014), the Fama and French (2015) profitability and investment factors are equally effective at eliminating the abnormal returns. Failure to acco...
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作者：Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
作者单位：Northwestern University; Johns Hopkins University
摘要：We study the dynamic relation between market risks and risk premia using time series of index option surfaces. We find that priced left tail risk cannot be spanned by market volatility (and its components) and introduce a new tail factor. This tail factor has no incremental predictive power for future volatility and jump risks, beyond current and past volatility, but is critical in predicting future market equity and variance risk premia. Our findings suggest a wide wedge between the dynamics ...
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作者：Boone, Audra L.; White, Joshua T.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University System of Georgia; University of Georgia
摘要：We examine the effects of institutional ownership on firms' information and trading environments using the annual Russell 1000/2000 index reconstitution. Characteristics of firms near the index cutoffs are similar, except that firms in the top of the Russell 2000 have discontinuously higher proportional institutional ownership than firms in the bottom of the Russell 1000 primarily due to indexing and benchmarking strategies. We find that higher institutional ownership is associated with greate...
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作者：Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani T.; Nikolaev, Valeri V.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Gross profit scaled by book value of total assets predicts the cross section of average returns. Novy-Marx (2013) concludes that it outperforms other measures of profitability such as bottom line net income, cash flows, and dividends. One potential explanation for the measure's predictive ability is that its numerator (gross profit) is a cleaner measure of economic profitability. An alternative explanation lies in the measure's deflator. We find that net income equals gross profit in predictiv...
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作者：Golubov, Andrey; Yawson, Alfred; Zhang, Huizhong
作者单位：City St Georges, University of London; University of Adelaide
摘要：Firm fixed effects alone explain as much of the variation in acquirer returns as all the firm- and deal-specific characteristics combined. An interquartile range of acquirer fixed effects is over 6%, comparable to the interquartile range of acquirer returns. Acquirer returns persist over time, but mainly at the top end of the distribution. Persistence continues under different chief executive officers (CEOs), and attributes of the broader management team do not explain the fixed effect. Firm-s...
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作者：Bond, Philip; Leitner, Yaron
作者单位：University of Washington; University of Washington Seattle; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We study trade between an informed seller and an uninformed buyer who have existing inventories of assets similar to those being traded. We show that these inventories could induce the buyer to increase the price (a run-up) but could also make trade impossible (a freeze) and hamper information dissemination. Competition can amplify the run-up by inducing buyers to purchase assets at a loss to prevent competitors from purchasing at lower prices and releasing bad news about inventories. In a dyn...
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作者：Allen, Franklin; Carletti, Elena; Marquez, Robert
作者单位：Imperial College London; University of Pennsylvania; Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; University of California System; University of California Davis
摘要：In a model with bankruptcy costs and segmented deposit and equity markets, we endogenize the cost of equity and deposit finance for banks. Despite risk neutrality, equity capital earns a higher expected return than direct investment in risky assets. Banks hold positive capital to reduce bankruptcy costs, but there is a role for capital regulation when deposits are insured. Banks could no longer use capital when they lend to firms instead of investing directly in risky assets. This depends on w...
