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作者：Giacoletti, Marco; Parsons, Christopher A.
作者单位：University of Southern California
摘要：Landlords appear to use stale information when setting rents. Among over 43,0 0 0 California rental houses in 2018-2019, those last purchased during 20 05-20 07 (the peak) rent for 2-3% more than those purchased during 2008-2010 (bust). Neither house nor landlord characteristics explain this peak-bust rental spread. To clarify the mechanism, we test cross-sectional predictions from a simple theory of rent-setting. We find empirical support for both reference dependence and distorted beliefs. I...
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作者：Novy-Marx, Robert; Velikov, Mihail
作者单位：University of Rochester; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Frazzini and Pedersen's (2014) Betting Against Beta (BAB) factor is based on the same basic idea as Blacks'(1972) beta-arbitrage, but its astonishing performance has generated academic interest and made it highly influential with practitioners. This performance is driven by non-standard procedures used in its construction that effectively, but non-transparently, equal weight stock returns. For each dollar invested in BAB, the strategy commits on average $1.05 to stocks in the bottom 1% of tota...
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作者：Hajda, Jakub; Nikolov, Boris
作者单位：Universite de Montreal; HEC Montreal; University of Lausanne; European Corporate Governance Institute
摘要：We examine how product life cycle affects investment and financing by estimating an industry equilibrium model that embeds product portfolio characteristics. In the model, firms trade off higher profitability of newer products versus product introduction costs. Using product-level data, we find that the product dimension is critical in quantitatively explaining cash flow dynamics, corporate policies, and industry structure. We show that product introductions and capital investment are compleme...
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作者：Li, Teng; Qian, Wenlan; Xiong, Wei A.; Zou, Xin
作者单位：Sun Yat Sen University; Sun Yat Sen University; National University of Singapore; University of Hong Kong; Shenzhen Stock Exchange (SZSE); Hong Kong Baptist University
摘要：This paper uses individual-level data linking stock investments with work performance to examine how changes in stock market wealth affect worker output. We document that a 10% increase in monthly income from stock market investments is associated with a decrease of 3.8% in the same investor's next-month work output. The negative output re-sponse is not driven by concurrent economic conditions and is unexplained by investor -specific liquidity needs. Consistent with the reference dependence in...
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作者：DeFusco, Anthony A.; Tang, Huan; Yannelis, Constantine
作者单位：Northwestern University; University of London; London School Economics & Political Science; University of Chicago; National Bureau of Economic Research
摘要：Information asymmetries are known in theory to lead to inefficiently low credit provi-sion, yet empirical estimates of the resulting welfare losses are scarce. This paper leverages a randomized experiment conducted by a large fintech lender to estimate welfare losses arising from asymmetric information in the market for online consumer credit. Building on methods from the insurance literature, we show how exogenous variation in interest rates can be used to estimate borrower demand and lender ...
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作者：Chen, Yong; Da, Zhi; Huang, Dayong
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Notre Dame; University of North Carolina; University of North Carolina Greensboro
摘要：Short selling efficiency (SSE), measured each month by the slope coefficient of cross sectionally regressing abnormal short interest on a mispricing score, significantly and negatively predicts stock market returns both in-sample and out-of-sample, suggesting that mispricing gets corrected after short sales are executed on the right stocks. We show conceptually and empirically that SSE has favorable predictive ability over aggregate short interest, as SSE reduces the effect of noises in short ...
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作者：Chang, Jeffery (Jinfan); Du, Huancheng; Lou, Dong; Polk, Christopher
作者单位：The Chinese University of Hong Kong, Shenzhen; Central University of Finance & Economics; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We exploit information in sovereign CDS spreads and the international trade network to provide causal evidence of the propagation of global economic shocks. We show that trade links are an important source of shock transmission using the natural experiments of the Japanese tsunami and the COVID-19 lockdown in China. We then confirm more general and gradual information flows along the trade network by showing extensive country-level credit/equity cross-sectional return predictability. News abou...
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作者：Brav, Alon; Cain, Matthew; Zytnick, Jonathon
作者单位：Duke University; University of California System; University of California Berkeley
摘要：We study retail shareholder voting using a nearly comprehensive sample of U.S. ownership and voting records. Analyzing turnout within a rational-choice framework, we find participation increases with ownership and expected benefits from winning and decreases with higher costs of participation. Even shareholders with a negligible likelihood of affecting the outcome have non zero turnout, consistent with consumption benefits from voting. Conditional on participation, retail shareholders punish t...
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作者：Grieser, William; Hadlock, Charles; LeSage, James; Zekhnini, Morad
作者单位：Texas Christian University; Michigan State University; Texas State University System; Texas State University San Marcos
摘要：We present a spatial econometrics framework for estimating peer effects in capital struc-ture. This approach exploits the heterogeneous and intransitive nature of peer networks to identify economically informative structural coefficients. In models of leverage levels, we detect significant peer-effect leverage coefficients that are on the order of 0.20, indicating a moderate but substantive level of strategic complementarity in capital structure decisions. We argue that prior estimates in the ...
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作者：Campbell, John Y.; Sigalov, Roman
作者单位：Harvard University; National Bureau of Economic Research
摘要：We show that reaching for yield-a tendency to take more risk when the real interest rate declines while the risk premium remains constant-results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is initially low, reaching for yield intensifies. The sustainable spend-ing constraint also affects the response of risk-taking to a change in the risk premium, which can even change sign. In a variant of the m...
