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作者：Baker, Malcolm; Wurgler, Jeffrey; Yuan, Yu
作者单位：New York University; National Bureau of Economic Research; Harvard University; National Bureau of Economic Research; University of Pennsylvania
摘要：We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of country-level returns. Both global and local sentiment are contrarian predictors of the time-series of cross-sectional returns within markets: When sentiment is high, future returns are low on relatively dif...
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作者：Michalski, Tomasz; Ors, Evren
作者单位：Hautes Etudes Commerciales (HEC) Paris; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
摘要：We conjecture that banks present in two regions charge the appropriate risk premiums for trade-related projects between these markets, whereas higher rates are charged for projects involving shipments to markets where they are absent. These differences affect regional trade flows. US interstate banking deregulation serves as a natural experiment to test our model's implication with the Commodity Flow Survey data. Difference-indifferences estimates suggest that the trade share of state-pairs th...
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作者：Chu, Yongqiang
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：This paper studies the relationship between firm leverage and supplier market structure. We find that firm leverage decreases with the degree of competition between suppliers. Specifically, leverage decreases with the elasticity of substitution between suppliers. Leverage also decreases with the number of suppliers when the elasticity of substitution is high, and increases with the number of suppliers when the elasticity is low. We also provide empirical evidence that is consistent with the mo...
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作者：Cohen, Lauren; Lou, Dong
作者单位：Harvard University; National Bureau of Economic Research; University of London; London School Economics & Political Science
摘要：We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to update prices, while the other set requires more complicated analyses to incorporate the same piece of information into prices. We document substantial return predictability from the set of easy-to-analyze firms to their more complicated peers. Specifically, a simple portfolio strategy that takes advantage of this straightforward vs. complicated i...
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作者：Ertimur, Yonca; Ferri, Fabrizio; Maber, David A.
作者单位：Columbia University; Duke University; University of Southern California
摘要：We study whether outside directors are held accountable for poor monitoring of executive compensation by examining the reputation penalties to directors of firms involved in the option backdating (BD) scandal of 2006-2007. We find that, at firms involved in BD, significant penalties accrued to compensation committee members (particularly those who served during the BD period) both in terms of votes withheld when up for election and in terms of turnover, especially in more severe cases of BD. H...
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作者：Boone, Audra L.; Ivanov, Vladimir I.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; U.S. Securities & Exchange Commission (SEC)
摘要：This paper examines whether a party to a strategic alliance or joint venture suffers from spillover effects when the other partner files for bankruptcy. We find that the non-bankrupt strategic alliance partners, on average, experience a negative stock price reaction around their partner firm's bankruptcy filing announcement. This negative effect is strongest for longer partnerships and those with higher returns at the announcement of the initial alliance formation. Furthermore, horizontal alli...
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作者：Paye, Bradley S.
作者单位：University System of Georgia; University of Georgia
摘要：Aggregate stock return volatility is both persistent and countercyclical. This paper tests whether it is possible to improve volatility forecasts at monthly and quarterly horizons by conditioning on additional macroeconomic variables. I find that several variables related to macroeconomic uncertainty, time-varying expected stock returns, and credit conditions Granger cause volatility. It is more difficult to find evidence that forecasts exploiting macroeconomic variables outperform a univariat...
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作者：Agarwal, Sumit; Chang, Yan; Yavas, Abdullah
作者单位：National University of Singapore; Freddie Mac; University of Wisconsin System; University of Wisconsin Madison
摘要：Using several large data sets of mortgage loans originated between 2004 and 2007, we find that in the prime mortgage market, banks generally sold low-default-risk loans into the secondary market while retaining higher-default-risk loans in their portfolios. In contrast, these lenders retained loans with lower prepayment risk relative to loans they sold. Securitization strategy of lenders changed dramatically in 2007 as the crisis set in with most unwilling to retain higher-default-risk loans i...
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作者：Betermier, Sebastien; Jansson, Thomas; Parlour, Christine; Walden, Johan
作者单位：McGill University; University of California System; University of California Berkeley
摘要：We use a detailed panel data set of Swedish households to investigate the relation between their labor income risk and financial investment decisions. In particular, we relate changes in wage volatility to changes in the portfolio holdings for households that switched industries between 1999 and 2002. We find that households do adjust their portfolio holdings when switching jobs, which is consistent with the idea that households hedge their human capital risk in the stock market. The results a...
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作者：Garleanu, Nicolae; Kogan, Leonid; Panageas, Stavros
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of Chicago
摘要：We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on existing firms and workers, reducing the profits of existing firms and eroding the human capital of older workers. Due to the lack of inter-generational risk sharing, innovation creates a systematic risk factor, which we call displacement risk This risk helps explain several empirical patterns, including the existence of the growth-value f...
