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作者：Driessen, Joost; Van Hemert, Otto
作者单位：Tilburg University
摘要：We study the relative and absolute pricing of CMBX contracts (commercial real estate derivatives) during the recent financial crisis. Using a structural CMBX pricing model, we find little systematic mispricing relative to REIT equity and options. We do find short-term deviations from this relative pricing relationship that are statistically and economically significant. In particular, the CMBX market temporarily overreacts to news announcements. We provide evidence that this temporary misprici...
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作者：Billio, Monica; Getmansky, Mila; Lo, Andrew W.; Pelizzon, Loriana
作者单位：Massachusetts Institute of Technology (MIT); Universita Ca Foscari Venezia; University of Massachusetts System; University of Massachusetts Amherst
摘要：We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can also identify and q...
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作者：Barberis, Nicholas; Xiong, Wei
作者单位：Yale University; Princeton University
摘要：A number of authors have suggested that investors derive utility from realizing gains and losses on assets that they own. We present a model of this realization utility, analyze its predictions, and show that it can shed light on a number of puzzling facts. These include the disposition effect, the poor trading performance of individual investors, the higher volume of trade in rising markets, the effect of historical highs on the propensity to sell, the individual investor preference for volat...
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作者：Hong, Harrison; Yogo, Motohiro
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Princeton University; National Bureau of Economic Research
摘要：Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset prices. Movements in commodity market interest predict commodity returns, bond ...
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作者：Hong, Harrison; Kubik, Jeffrey D.; Fishman, Tal
作者单位：Princeton University; Syracuse University
摘要：We test the hypothesis that arbitrageurs amplify economic shocks in equity markets. The ability of speculators to hold short positions depends on asset values. Shorts are often reduced following good news about a stock. Therefore, the prices of highly shorted stocks are excessively sensitive to shocks compared with stocks with little short interest. We confirm this hypothesis using several empirical strategies including two quasi-experiments. In particular, we establish that the price of highl...
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作者：Kaniel, Ron; Ozoguz, Arzu; Starks, Laura
作者单位：University of Texas System; University of Texas Austin; University of Rochester; University of Texas System; University of Texas Dallas; Centre for Economic Policy Research - UK
摘要：We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-s...
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作者：Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago
摘要：We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is ex...
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作者：Hazarika, Sonali; Karpoff, Jonathan M.; Nahata, Rajarishi
作者单位：University of Washington; University of Washington Seattle; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：The likelihood and speed of forced CEO turnover - but not voluntary turnover - are positively related to a firm's earnings management. These patterns persist in tests that consider the effects of earnings restatements, regulatory enforcement actions, and the possible endogeneity of CEO turnover and earnings management. The relation between earnings management and forced turnover occurs both in firms with good and bad performance, and when the accruals work to inflate or deflate reported earnin...
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作者：Caggese, Andrea
作者单位：Pompeu Fabra University
摘要：I estimate the effect of uncertainty on risky innovation using a panel of 11,417 manufacturing firms. I find that an increase in uncertainty has a large negative effect on the risky innovation of entrepreneurial firms, while it does not have any significant impact on other firms. This negative effect is stronger for the less diversified entrepreneurial firms in the sample. The estimation results are consistent with the innovation dynamics generated in a model in which entrepreneurs are risk av...
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作者：Khanna, Naveen; Mathews, Richmond D.
作者单位：University System of Maryland; University of Maryland College Park; Michigan State University; Michigan State University's Broad College of Business
摘要：If short sellers can destroy firm value by manipulating prices down, an informed blockholder has a powerful natural incentive to protect the value of his stake by trading against them. However, he also has a potentially conflicting incentive to use his information to generate trading profits. We show that a speculator can exploit this conflict and force the blockholder to buy a disproportionately large amount to prevent value destruction. This is costly for the blockholder because the trades m...
