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作者：Jiang, Hao; Li, Yi; Sun, Zheng; Wang, Ashley
作者单位：Michigan State University; Michigan State University's Broad College of Business; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Irvine
摘要：Open-end corporate bond mutual funds invest in illiquid assets while providing liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond. We find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the peri...
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作者：Kilic, Mete; Yang, Louis; Zhang, Miao Ben
作者单位：University of Southern California
摘要：Asset pricing predictions from the investment CAPM depend on the cross-sectional relation between investment and profitability. In samples of U.S. stocks featuring high cross-sectional investment-profitability correlation, both investment and profitability premiums are weak. Consistent with the conditional predictions from the investment CAPM, triple sorts on size, investment, and profitability as in Hou et al. (2015)'s q-factors resurrect the premiums in the high-correlation samples. We find ...
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作者：Avramov, Doron; Cheng, Si; Lioui, Abraham; Tarelli, Andrea
作者单位：Reichman University; Chinese University of Hong Kong; Universite Catholique de Lille; EDHEC Business School; Catholic University of the Sacred Heart
摘要：This paper analyzes the asset pricing and portfolio implications of an important barrier to sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market premium increases and demand for stocks declines under ESG uncertainty. In addition, the CAPM alpha and effective beta both rise with ESG uncertainty and the negative ESG-alpha relation weakens. Employing the standard deviation of ESG ratings from six major providers as a proxy for ESG uncertainty, we provide ...
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作者：Chan, Kam Fong; Marsh, Terry
作者单位：University of Western Australia; University of California System; University of California Berkeley
摘要：Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days, defined as leading earnings announcement days (LEADs), are times when an aggregate of influential S&P 500 firms disclose quarterly earnings news early in the earnings season. The positive return-to-beta relation holds for various test portfolios, individual stocks, and Treasuries; and is robust to different data frequencies and testing procedures. On days other than LE...
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作者：Hennessy, Christopher A.; Chemla, Gilles
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Imperial College London; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Building parable economies embedding econometricians, we view alternative estimators (Instrumental variables, fuzzy regression discontinuity, natural experiments, OLS, event studies) from the perspective of privately informed decision-makers, e.g., CFOs. Instrumental variable estimates can be misleading since randomization through observable instruments eliminates signal content arising from discretion. If the goal is informing discretionary decisions, rather than predicting outcomes after for...
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作者：Merkoulova, Yulia; Veld, Chris
作者单位：Monash University; Monash University
摘要：Optimal stock investment decisions rely on assessments of the distribution of expected returns. Using a representative sample, we find over half the US population cannot answer simple questions on expected stock returns. Respondents who are unable to make any return prediction, who cannot answer questions on the distribution of expected returns, or who reveal unlikely distributional beliefs participate less in the stock market and have smaller stock investments. However, overoptimistic investo...
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作者：Clarke, Charles
作者单位：University of Kentucky
摘要：I develop a method to extract only the priced factors from stock returns. The first step estimates expected returns based on firm characteristics. The second step uses the estimated expected returns to form portfolios. The last step uses principal component analysis to extract factors from the portfolio returns. The procedure isolates and emphasizes the comovement across assets that is related to expected returns as opposed to firm characteristics. It produces three factors-level, slope, and c...
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作者：Benmelech, Efraim; Kumar, Nitish; Rajan, Raghuram
作者单位：Northwestern University; National Bureau of Economic Research; State University System of Florida; University of Florida; University of Chicago; National Bureau of Economic Research
摘要：Credit spreads for secured debt are lower than for unsecured debt, especially when a firm's credit quality deteriorates, the economy slows, or average credit spreads widen. Yet investment-grade firms tend to be reluctant to issue secured debt at all times. In contrast, we find that for firms that are rated below investment grade, the likelihood of secured debt issuance increases as firm credit quality deteriorates, the economy slows, or average credit spreads widen. This differential pattern o...
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作者：Akbas, Ferhat; Boehmer, Ekkehart; Jiang, Chao; Koch, Paul D.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Singapore Management University; University of South Carolina System; University of South Carolina Columbia; Iowa State University
摘要：A higher frequency of positive overnight returns followed by negative trading day rever-sals during a month suggests a more intense daily tug of war between opposing investor clienteles, who are likely composed of noise traders overnight and arbitrageurs during the day. We show that a more intense daily tug of war predicts higher future returns in the cross section. Additional tests support the conclusion that, in a more intense tug of war, daytime arbitrageurs are more likely to discount the ...
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作者：Glode, Vincent; Opp, Christian C.; Sverchkov, Ruslan
作者单位：University of Pennsylvania; University of Rochester; National Bureau of Economic Research; University of Warwick
摘要：We study security issuers' decisions on whether to pool assets when facing counter-parties endowed with market power, as is common in over-the-counter markets. Our analysis reveals how buyers' market power may render the pooling of assets suboptimal - both privately and socially - in particular, when the potential gains from trade are large. Pooling assets then reduces the elasticity of trade volume in the relevant part of the payoff distribution, exacerbating the inefficient rationing associa...
