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作者：Mangrum, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper estimates the impact of requiring high school students to complete personal finance education on federal student loan repayment behavior after college. I merge student loan borrowing and repayment data from the College Scorecard with data from the Integrated Postsecondary Education Data System on counts of high school graduates enrolling in college from different states. I estimate the causal effect of personal finance education mandates by relating the change in the share of univer...
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作者：Bialkowski, Jedrzej; Dang, Huong Dieu; Wei, Xiaopeng
作者单位：University of Canterbury
摘要：Motivated by the extremely low level of the CBOE VIX accompanied by the high level of U.S. economic policy uncertainty in the period of late 2016 to the end of 2017, we exam-ine the factors affecting the relationship between market volatility and economic policy uncertainty in the United States and the United Kingdom. Our analysis shows that low-quality political signals, higher opinion divergence among investors, and exceptional equity market performance consistently weaken the positive relat...
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作者：Anton, Miguel; Azar, Jose; Gine, Mireia; Lin, Luca X.
作者单位：University of Navarra; IESE Business School; University of Navarra; IESE Business School; University of Navarra; Universite de Montreal; HEC Montreal
摘要：Diversified acquirer shareholders can profit from value-destroying acquisitions not only through their target stakes, but also through stakes in non-merging rival firms. Announcement losses are largely mitigated for the average acquirer shareholder when accounting for wealth effects on their rival stakes. Ownership by acquirer shareholders in non-merging rivals is negatively associated with deal quality and positively associated with deal completion. Funds with more rival ownership are more li...
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作者：Jegadeesh, Narasimhan; Wu, Yanbin
作者单位：Emory University; State University System of Florida; University of Florida
摘要：Closing auction volume steadily increased over the last decade, and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in Nasdaq and the NYSE. The NYSE offers more depth. In both exchanges, it takes about 3-5 days for the temporary component of the price impact to fully dissipate. Trading strategies that exploit this price impact and its reversals are significantly profitab...
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作者：Lerner, Josh; Mao, Jason; Schoar, Antoinette; Zhang, Nan R.
作者单位：Harvard University; National Bureau of Economic Research; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Massachusetts Institute of Technology (MIT)
摘要：Using previously unexplored custodial data, we examine alternative investment vehicles (AVs) in private equity (PE) funds over the last four decades. By 2017, AVs reached 40% of all PE commitments. Average AV performance matches the PE market, but underperforms the main funds of the partnerships sponsoring the AVs. Limited partners (LPs) with better past performance invest in AVs with better average performance, even after conditioning on the general partners' (GPs') past records. This result ...
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作者：Birru, Justin; Young, Trevor
作者单位：University System of Ohio; Ohio State University; Tulane University
摘要：Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Accordingly, we show that a one-standard-deviation increase in ag-gregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. For the cross-section of returns, the predictive ability of sentiment for assets expected to be most sensitive to sentiment, including existing measures of both risk and mi...
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作者：Coles, Jeffrey L.; Heath, Davidson; Ringgenberg, Matthew C.
作者单位：Utah System of Higher Education; University of Utah
摘要：We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower in-formation production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged. These findings are consistent with an equi-librium in which investors choose to gather private information whenever it is profitable. As index investing increases, there are fewer privately-i...
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作者：Smith, Simon C.; Timmermann, Allan
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California San Diego
摘要：We apply a new methodology for identifying pervasive and discrete changes (breaks) in cross-sectional risk premia. Size, value, and investment risk premia have fallen offto the point where they are insignificantly different from zero at the end of the sample period. The market risk premium has also declined systematically over time but remains significant and positive as do the momentum and profitability risk premium. We construct a new instability risk factor from cross-sectional differences ...
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作者：Cvijanovic, Dragana; Dasgupta, Amil; Zachariadis, Konstantinos E.
作者单位：Cornell University; University of London; London School Economics & Political Science; University of London; Queen Mary University London
摘要：The growth of the asset management industry has made it commonplace for firms to have multiple institutional blockholders. In such firms, the strength of governance via exit depends on how blockholders react to each other's exit. We present a model to show that open-ended institutional investors such as mutual funds react strongly to an informed blockholder's exit, leading to correlated exits that enhance corporate governance. Our analysis points to a new role for mutual funds in corporate gov...
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作者：Kim, Donghyun; Wang, Qinghai; Wang, Xiaoqiong
作者单位：Chung Ang University; State University System of Florida; University of Central Florida; Indiana University System; Indiana University Kokomo
摘要：The U.S. money management industry is geographically concentrated and diverges from the geographic clustering of public firms. We find that firms located in states with strong institutional investor presence have high valuation. These firms invest more and their investments are less dependent on internal cash flow. They are more likely to issue equity than debt for financing needs, and local institutions hold more of the newly issued equity. The results show the geographic dislocation between ...
