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作者：Jeon, Yoontae; McCurdy, Thomas H.; Zhao, Xiaofei
作者单位：Toronto Metropolitan University; University of Toronto; Georgetown University
摘要：Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of ...
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作者：Busaba, Walid Y.; Restrepo, Felipe
作者单位：Western University (University of Western Ontario)
摘要：We investigate the effect of the 7% solution-the fact that underwriters in the U.S. charge a 7% spread to most IPOs between $20 million and $100 million in size-on the ensuing pricing of the offerings. Our identification exploits the variation in spreads that is due to distinct kinks in the relation between spread and offer size at these two thresholds. We find the spread positively influences underpricing but also the offer-price adjustment from the filing range's midpoint. Our evidence indic...
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作者：Hu, Zhongchen
作者单位：The Chinese University of Hong Kong, Shenzhen
摘要：Flooding is the most costly natural disaster faced by US households, yet policymakers are puzzled by the low take-up rates for flood insurance. Leveraging novel transaction-level data, this paper studies the influence of social interactions on households' insurance de-cisions. I show that households increase flood insurance purchases by 1-5 percent when their geographically distant friends are exposed to flooding events or to campaigns for flood insurance. These exogenous shocks to far-away fr...
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作者：Zhang, Anthony Lee
作者单位：University of Chicago
摘要：This paper studies manipulation in derivative contract markets. When traders hedge factor risk using derivative contracts, traders can manipulate settlement prices by trading the underlying spot goods. In equilibrium, manipulation can make all agents worse off. The model illustrates how contract market manipulation can be defined in a manner distinct from other forms of strategic trading behavior, and how the structure of contract and spot markets affect the size of manipulation-induced market...
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作者：Aggarwal, Dhruv; Eldar, Ofer; Hochberg, Yael, V; Litov, Lubomir P.
作者单位：Yale University; Duke University; Rice University; National Bureau of Economic Research; University of Oklahoma System; University of Oklahoma - Norman
摘要：We create a novel dataset to examine the recent rise in dual-class IPOs. We document that dual-class firms have different types of controlling shareholders and wedges between voting and economic rights, and that the increasing popularity of dual-class structures is driven by founder-controlled firms. We find that founders' wedge is greater when founders have stronger bargaining power. The increase in founder control over time is due to greater availability of private capital and technological ...
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作者：Ioannidou, Vasso; Pavanini, Nicola; Peng, Yushi
作者单位：University of London; Centre for Economic Policy Research - UK; Tilburg University; Hunan University
摘要：We study the benefits and costs of collateral requirements in bank lending markets with asymmetric information. We estimate a structural model of firms' credit demand for secured and unsecured loans, banks' contract offering and pricing, and firm default using credit registry data in a setting where asymmetric information problems are pervasive. We provide evidence that collateral mitigates adverse selection and moral hazard. With counterfactual experiments, we quantify how an adverse shock to...
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作者：Schmeling, Maik; Schrimpf, Andreas; Steffensen, Sigurd A. M.
作者单位：Goethe University Frankfurt; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK
摘要：How are financial markets pricing the monetary policy outlook? We use surveys to decom-pose excess returns on money market instruments into expectation errors and term pre-mia. Excess returns are primarily driven by expectation errors, whereas term premia are negligible. Investors face challenges when learning about the Federal Reserve's response to large, but infrequent, negative shocks in real-time. Rather than reflecting risk compen-sation, excess returns stem from investors underestimating...
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作者：Cohn, Jonathan B.; Liu, Zack; Wardlaw, Malcolm I.
作者单位：University of Texas System; University of Texas Austin; University of Houston System; University of Houston; University System of Georgia; University of Georgia
摘要：This paper assesses different econometric approaches to working with count-based out-come variables and other outcomes with similar distributions, which are increasingly com-mon in corporate finance applications. We demonstrate that the common practice of es-timating linear regressions of the log of 1 plus the outcome produces estimates with no natural interpretation that can have the wrong sign in expectation. In contrast, a simple fixed-effects Poisson model produces consistent and reasonabl...
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作者：Bernhardt, Dan; Koufopoulos, Kostas; Trigilia, Giulio
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of York - UK; University of Rochester
摘要：Classical security design papers equate competitive capital markets to securities being fairly priced in expectation. We revisit Nachman and Noe's (1994) adverse selection set-ting, modeling capital market competition as free entry of investors and allowing firms to propose prices for their securities, as happens in private securities placements and bank lending. We identify equilibria in which high types issue underpriced debt, which yields positive expected profits to uninformed lenders, whi...
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作者：Boudoukh, Jacob; Israel, Ronen; Richardson, Matthew
作者单位：New York University; National Bureau of Economic Research
摘要：Analogous to Stambaugh (1999) , this paper derives the small sample bias of estimators in J-horizon predictive regressions, providing a closed-form solution in terms of the sample size, horizon and persistence of the predictive variable. For large J , the bias is linear in J T with a slope that depends on the predictive variable's persistence. The paper offers a num-ber of other useful results, including (i) important extensions to the original Stambaugh (1999) setting, (ii) closed-form bias f...
