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作者：Ying, Jie
作者单位：Southern Illinois University System; Southern Illinois University Edwardsville; University of Iowa
摘要：This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross -predictability in monthly stock returns, leading to a CIO -based peer momentum strategy that outperforms Ali and Hirshleifer's (2020) sh...
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作者：Wang, Pingle
作者单位：University of Texas System; University of Texas Dallas
摘要：This paper investigates portfolio pumping at the fund family level, where non -star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter -end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show strong reversals at the quarter end. Moreover, despite a minor underperformance stemming from...
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作者：Bahaj, Saleem; Malherbe, Frederic
作者单位：University of London; University College London; Bank of England; Centre for Economic Policy Research - UK
摘要：We study the international coordination of bank capital requirements under a host-country rule: the requirement depends on where the borrower, not the bank, is located. In such a regime, countries compete for scarce bank equity capital. Raising a country's requirement may generate bank capital outflows as well as inflows. We pin down the condition for the sign of the capital flow and the associated externality, and highlight the policy implications. Absent collaboration, overshooting is likely...
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作者：Friberg, Richard; Goldstein, Itay; Hankins, Kristine W.
作者单位：Stockholm School of Economics; Norwegian School of Economics (NHH); Centre for Economic Policy Research - UK; University of Pennsylvania; National Bureau of Economic Research; University of Kentucky
摘要：This study shows that firms regard stock price fragility - exposure to non -fundamental demand shocks stemming from the composition of equity ownership - as a salient corporate risk. We model ex ante corporate responses to higher potential for future stock market misvaluation and then empirically document that within firm variation in equity fragility has effects in line with the model: higher fragility raises cash holdings and lowers investment. Multiple natural experiments support a causal i...
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作者：Bai, Jennie; Bali, Turan G.; Wen, Quan
作者单位：Georgetown University
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作者：Du, Wenxin; Hebert, Benjamin; Li, Wenhao
作者单位：National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Stanford University; National Bureau of Economic Research; University of Southern California
摘要：We document a regime change in the Treasury market post-Global Financial Crisis (GFC): dealers switched from net short to net long Treasury bonds. We construct net-long and net-short curves that account for balance sheet and financing costs, and show that actual yields moved from the net short curve pre-GFC to the net long curve post-GFC. Our theory shows the regime shift caused negative swap spreads and co-movement among swap spreads, dealer positions, and covered-interest-parity violations. ...
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作者：Araujo, Aloisio; Ferreira, Rafael; Lagaras, Spyridon; Moraes, Flavio; Ponticelli, Jacopo; Tsoutsoura, Margarita
作者单位：Getulio Vargas Foundation; Instituto Nacional de Matematica Pura e Aplicada (IMPA); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Universidade Federal do Rio de Janeiro; Northwestern University; National Bureau of Economic Research; Washington University (WUSTL); Centre for Economic Policy Research - UK
摘要：We study the effect of judicial bias favoring firm continuation in bankruptcy on the labor market outcomes of employees by exploiting the random assignment of cases across courts in the State of Sa similar to o Paulo in Brazil. Employees of firms assigned to courts that favor firm continuation are more likely to stay with their employer, but they earn, on average, lower wages three to five years after bankruptcy. We discuss several potential mechanisms that can rationalize this result, and pro...
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作者：Choy, Siu Kai; Lewis, Craig; Tan, Yongxian
作者单位：University of London; King's College London; Vanderbilt University; Curtin University
摘要：The existing literature attributes the recent decay of stock market anomalies to increased arbitrage activities (e.g., Chordia, Subrahmanyam, and Tong, 2014; McLean and Pontiff, 2016; Green, Hand, and Zhang, 2017). In this paper, we present evidence that the appar-ent demise of several prominent classes of stock market anomalies is better explained by changes in underlying fundamentals. The attenuation of anomalies in the Momentum, In-vestment, and Profitability categories are accompanied by a...
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作者：Fedyk, Anastassia; Hodson, James
作者单位：University of California System; University of California Berkeley; Slovenian Academy of Sciences & Arts (SASA); Jozef Stefan Institute
摘要：What drives the puzzle of market reactions to old news? Motivated by theories of cor-relation neglect, we conduct an experiment on finance professionals and show that even sophisticated investors have difficulty identifying old information that recombines content from multiple sources. We evaluate the market implications of this mechanism using a unique dataset of 17 million news articles from the Bloomberg terminal. Recombination of old information prompts larger price moves and subsequent re...
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作者：Herskovic, Bernard; Kind, Thilo; Kung, Howard
作者单位：University of California System; University of California Los Angeles; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Size and value premia comove strongly with one another at low frequencies, but they are both negatively related to long-run movements in the equity premium. We explain these patterns in an investment-based asset pricing model featuring persistent micro and macro uncertainty. Micro uncertainty generates size and value premia waves, while macroeco-nomic uncertainty produces equity premium waves. The negative correlation between mi-cro and macro uncertainty at low frequencies explains why the equ...
