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作者：Cao, Jie; Han, Bing
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Austin; Peking University
摘要：This paper presents a robust new finding that delta-hedged equity option return decreases monotonically with an increase in the idiosyncratic volatility of the underlying stock. This result cannot be explained by standard risk factors. It is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with market imperfections and constrained financial intermediaries. Dealers charge a higher premium for options on high idiosyncratic volatility ...
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作者：Hirshleifer, David; Hsu, Po-Hsuan; Li, Dongmei
作者单位：University of California System; University of California Irvine; University of Hong Kong; University of Hong Kong; University of California System; University of California San Diego
摘要：We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited ...
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作者：Hirshleifer, David; Schwert, G. William; Singleton, Kenneth J.
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作者：Custodio, Claudia; Ferreira, Miguel A.; Laureano, Luis
作者单位：Arizona State University; Arizona State University-Tempe; Universidade Nova de Lisboa; Instituto Universitario de Lisboa
摘要：We show that corporate use of long-term debt has decreased in the US over the past three decades and that this trend is heterogeneous across firms. The median percentage of debt maturing in more than 3 years decreased from 53% in 1976 to 6% in 2008 for the smallest firms but did not decrease for the largest firms. The decrease in debt maturity was generated by firms with higher information asymmetry and new firms issuing public equity in the 1980s and 1990s. Finally, we show that demand-side f...
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作者：Bonaparte, Yosef; Kumar, Alok
作者单位：University of British Columbia; University of British Columbia Okanagan; University of Miami
摘要：This paper examines whether political activism increases people's propensity to participate in the stock market. Our key conjecture is that politically active people follow political news more actively, which increases their chance of being exposed to financial news. Consequently, their information gathering costs are likely to be lower and the propensity to participate in the market would be higher. We find support for this hypothesis using multiple micro-level data sets, state-level data fro...
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作者：Morrison, Alan D.; White, Lucy
作者单位：University of Oxford; Harvard University
摘要：Existing studies suggest that systemic crises may arise because banks either hold correlated assets, or are connected by interbank lending. This paper shows that common regulation is also a conduit for interbank contagion. One bank's failure may undermine confidence in the banking regulator's competence, and, hence, in other banks chartered by the same regulator. As a result, depositors withdraw funds from otherwise unconnected banks. The optimal regulatory response to this behavior can be pri...
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作者：Kahle, Kathleen M.; Stulz, Rene M.
作者单位：University of Arizona; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：During the recent financial crisis, corporate borrowing and capital expenditures fall sharply. Most existing research links the two phenomena by arguing that a shock to bank lending (or, more generally, to the corporate credit supply) caused a reduction in capital expenditures. The economic significance of this causal link is tenuous, as we find that (1) bank-dependent firms do not decrease capital expenditures more than matching firms in the first year of the crisis or in the two quarters aft...
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作者：Li, Yan; Ng, David T.; Swaminathan, Bhaskaran
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Cornell University
摘要：Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and out-of-sample, and is robust to alternative implementations. We also find that ICCs of size and book-to-market portfolios predict corresponding p...
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作者：He, Jie (Jack); Tian, Xuan
作者单位：University System of Georgia; University of Georgia; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We examine the effects of financial analysts on the real economy in the case of innovation. Our baseline results show that firms covered by a larger number of analysts generate fewer patents and patents with lower impact. To establish causality, we use a difference-indifferences approach that relies on the variation generated by multiple exogenous shocks to analyst coverage, as well as an instrumental variable approach. Our identification strategies suggest a negative causal effect of analyst ...
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作者：Parsons, Christopher A.; Van Wesep, Edward D.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
摘要：There exists large and persistent variation in not only how, but when employees are paid, a fact unexplained by existing theory. This paper develops a simple model of optimal pay timing for firms. When workers have self-control problems, they under-save and experience volatile consumption between paychecks. Thus, pay whose delivery matches the timing of workers' consumption needs will reduce wage costs. The model also explains why pay timing should be regulated (as it is in practice): although...
