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作者：Hirshleifer, David; Sheng, Jinfei
作者单位：University of Southern California; University of California System; University of California Irvine
摘要：We study how the arrival of macro-news affects the stock market's ability to incorpo-rate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings an-nouncements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drif...
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作者：Chen, Hailiang; Hwang, Byoung-Hyoun
作者单位：University of Hong Kong; Nanyang Technological University
摘要：A large literature in neuroscience and social psychology shows that humans are wired to be meticulous about how they are perceived by others. In this paper, we propose that impression management considerations can also end up guiding the content that investors transmit via word of mouth and inadvertently lead to the propagation of noise. We analyze server log data from one of the largest investment-related websites in the United States. Consistent with our proposition, we find that investors m...
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作者：Choi, Jaewon; Kronlund, Mathias; Oh, Ji Yeol Jimmy
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; Tulane University; Hanyang University
摘要：We find evidence of widespread stale pricing in bond mutual funds and the resulting risks of dilution and fragility. A principal driver of this phenomenon is the high illiquidity of funds' holdings, which makes accurate pricing difficult and provides funds with greater discretion over valuation. Consequently, net asset values (NAVs) are extremely stale and fund returns are predictable over several days and weeks, particularly during market crises. Opportunistic traders withdraw capital from ov...
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作者：Huang, Shiyang; Lee, Charles M. C.; Song, Yang; Xiang, Hong
作者单位：University of Hong Kong; Stanford University; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
摘要：We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the aefrog in the pang(FIP) momentum effect is pervasive in co-...
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作者：Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Mannheim; University of Neuchatel
摘要：This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of ex-pected stock returns. We derive an extended linear model with a positive premium for MCRASH, and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures, or stoc...
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作者：Martin, Ian W. R.; Nagel, Stefan
作者单位：University of London; London School Economics & Political Science; University of Chicago
摘要：Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our equilibrium model, N assets have cash flows that are linear in J characteristics, with unknown coefficients. Risk-neutral Bayesian investors learn these coefficients and determine market prices. If J and N are comparable in size, returns are cross-sectionally predictable ex...
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作者：Diamond, Douglas W.; Hu, Yunzhi; Rajan, Raghuram G.
作者单位：University of Chicago; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We develop a theory of how corporate lending and financial intermediation change based on the fundamentals of the firm and its environment. We focus on the interaction be-tween the prospective net worth or liquidity of an industry and the firm's internal gover-nance or pledgeability. Variations in prospective liquidity can induce changes in the nature, covenants, and quantity of loans that are made, the identity of the lender, and the extent to which the lender is leveraged. We offer predictio...
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作者：Dahlquist, Magnus; Penasse, Julien
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Luxembourg
摘要：We use a present-value model of the real exchange rate to impose structure on the cur-rency risk premium. We allow the currency risk premium to depend on both the inter-est rate differential and a latent component: the missing risk premium. Consistent with the data, our present-value model implies that the real exchange rate should predict cur-rency returns. We find that the missing risk premium, not the interest rate differential, explains most of the variation in the real exchange rate. More...
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作者：Biswas, Sonny; Koufopoulos, Kostas
作者单位：University of Bristol; University of York - UK
摘要：We study bank regulation under optimal contracting, absent exogenous distortions. In equilibrium, banks offer a senior claim (deposits) to external investors and retain equity; the return on equity is higher than the return on deposits due to a scarcity of skilled bankers. Inefficient equilibria emerge under asymmetric information. Optimally designed regulation restores efficiency. Our main result is that disclosure requirements by themselves can be endogenously costly because they may push th...
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作者：Bottero, Margherita; Minoiu, Camelia; Peydro, Jose-Luis; Polo, Andrea; Presbitero, Andrea F.; Sette, Enrico
作者单位：European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve System Board of Governors; Imperial College London; Centre for Economic Policy Research - UK; Luiss Guido Carli University; International Monetary Fund; Centre for Economic Policy Research - UK
摘要：We show that negative interest rate policy (NIRP) has expansionary effects on credit supply through a portfolio rebalancing channel. By shifting down and flattening the yield curve, NIRP differs from rate cuts just above the zero-lower-bound and has effects similar to QE. For identification, we exploit ECB's NIRP and the Italian credit register and, for external validity, European and U.S. datasets. NIRP affects more banks with higher ex-ante liquid assets, including net interbank positions. M...
