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作者：Dahlquist, Magnus; Ibert, Markus
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; Copenhagen Business School; Danish Finance Institute
摘要：We study the equity, cash, and corporate bond risk premium expectations of asset managers, investment consultants, wealth advisors, public pension funds, and professional forecasters. Subjective risk premia vary one-to-one with objective risk premia that are available in real time and countercyclical. Despite their significant time-series variation, several subjective equity premia vary more in the cross-section of institutions than in the time series. This heterogeneity persists both over tim...
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作者：Altavilla, Carlo; Ellul, Andrew; Pagano, Marco; Polo, Andrea; Vlassopoulos, Thomas
作者单位：European Central Bank; Centre for Economic Policy Research - UK; Indiana University System; Indiana University Bloomington; European Corporate Governance Institute; University of Naples Federico II; Luiss Guido Carli University
摘要：Do banks extending government-guaranteed loans simultaneously reduce their risk exposure to firms? Using unique euro-area credit register data and the COVID-19 guarantee programs as a laboratory, we find that 1 euro of guaranteed lending was associated with a reduction of 28 cents in non-guaranteed credit, relative to other banks lending to the same firm. Substitution was highest for riskier and smaller firms in more affected sectors and for stronger banks. Nevertheless, banks offered cheaper ...
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作者：Jiao, Feng; Sarkissian, Sergei; Schumacher, David
作者单位：University of Lethbridge; McGill University; University of Edinburgh
摘要：Using global mutual fund and American Depositary Receipt (ADR) data, we test if funds strategically trade crosslisted firms' equity shares in the most liquid trading location. We find that especially funds that score high on traditional skill measures exhibit a liquidity-based trading venue preference. We identify an informed trading motive as the most likely driver for such behaviour rather than preference based on geographic, economic, cultural, or governance motives. Thus, liquidity picking...
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作者：Wang, Mengyu; Wurgler, Jeffrey; Zhang, Hong
作者单位：Singapore Management University; New York University; National Bureau of Economic Research
摘要：Policy uncertainty can undermine the power of government subsidies to stimulate environmentally friendly research and development. We show that Chinese firms' green R&D falls as the uncertainty of environmental subsidies rises: Exogenous, weather-driven air pollution variability induces subsidies to fluctuate, and firms in areas with high weather-driven subsidy variability undertake less green R&D and hire fewer technical employees, controlling for the average level of subsidies. Heavy emitter...
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作者：Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony
作者单位：Northwestern University; National Bureau of Economic Research; New York University; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe
摘要：Using an instrument for U.S. Treasury supply, we show that convenience yields on medium-and longterm Treasurys are much more sensitive to supply than those on short-term Treasurys, which respond little. Over the past two decades, fiscal expansion has substantially reduced medium-and long-term convenience yields, at times pushing them below zero, while short-term convenience yields have declined toward zero. Quantitatively, we estimate that increased Treasury supply explains a large share of th...
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作者：Hvide, Hans K.; Nielsen, Kasper Meisner
作者单位：University of Bergen; Copenhagen Business School
摘要：To enforce insider trading laws, financial regulators require top executives to make their own-company trades public. One implication of this regulatory focus is that executives below the top fly under the radar. We use administrative register data from Norway to examine whether executives below the top in listed companies earn abnormal returns on purchases in own-company stock. We find evidence of abnormal returns on such trades, about 50 to 100 basis points at the 1-month horizon. The abnorm...
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作者：Li, Yizhang; Sokolinski, Stanislav; Tamoni, Andrea
作者单位：Michigan State University; Michigan State University's Broad College of Business; University of Notre Dame
摘要：We decompose variation in anomaly returns across investor types and trading motives, linking returns to holdings within a demand system. Fundamental-based trading is the primary driver of anomalies, and both this channel and non-fundamental trading are driven disproportionately by small investors. Institution-led channels - flows and industry tilts - are secondary and concentrated in specific anomalies. These patterns favor theories with heterogeneous investors and distinct trading behaviors o...
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作者：Jansen, Mark; Nagel, Fabian; Yannelis, Constantine; Zhang, Anthony Lee
作者单位：Utah System of Higher Education; University of Utah; Stanford University; University of Cambridge; University of Chicago
摘要：We show how to measure the welfare effects arising from increased data availability. When lenders have more data on prospective borrower costs, they can charge prices that are more aligned with these costs. This increases total social welfare and transfers surplus across borrower types. We show that under certain assumptions the magnitudes of these welfare changes can be estimated using only quantity and price data. Applying our methodology to bankruptcy flag removal, we find that in a counter...
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作者：Hu, Danqi; Jones, Charles M.; Zhang, Xiaoyan; Zhang, Xinran
作者单位：Peking University; Columbia University; Tsinghua University; Central University of Finance & Economics
摘要：Using 2015-2019 intraday short sale data from CBOE, we show that shorting flows near the open, middle, and close all negatively predict future returns, but the shorting flows near the open and middle have stronger predictive power than shorting flows near the close. We relate our findings to three informed trading models with different predictions on the timing of the trades. The long term predictive power of shorting flows near the open and midday is consistent with Kyle's (1985) model of ste...
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作者：Bekaert, Geert; Bergbrant, Mikael; Kassa, Haimanot
作者单位：Columbia University; Centre for Economic Policy Research - UK; St. John's University; University System of Ohio; Miami University
摘要：We use close to 80 million daily returns for more than 19,000 CRSP listed firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from multiple models, we find that the popular martingale model performs worst. Using the root-mean-squared-error (RMSE) to judge model performance, ARMA(1,1) models perform the best for about 46 % of the firms in out-of-sample tests. The ARMA(1,1) model delivers an average RMSE that is statistically significantly lowe...
