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作者：Goldman, Eitan; Martel, Jordan; Schneemeier, Jan
作者单位：Indiana University System; Indiana University Bloomington
摘要：We present a model of media coverage of corporate announcements. Firms strategically use the media to communicate corporate announcements to a group of traders who observe announcements not directly but through media reports. Journalists strategically select which announcements to report to readers. Media coverage inadvertently incentivizes firms to manipulate the underlying announcements. In equilibrium, media coverage is tilted towards less manipulated negative news. The presence of financia...
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作者：Hitzemann, Steffen; Sokolinski, Stanislav; Tai, Mingzhu
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Hong Kong
摘要：We examine how investor demand for leverage shapes asset management fees. We show that in the sample of U.S. equity mutual funds: (1) fees increase in fund market beta pre-cisely for beta larger than one; (2) this relation becomes stronger and high-beta funds experience larger inflows when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results are consistent with a model in which asset managers compete for leverage-constrained investors ...
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作者：Fakos, Alexandros; Sakellaris, Plutarchos; Tavares, Tiago
作者单位：Instituto Tecnologico Autonomo de Mexico; Athens University of Economics & Business; Instituto Tecnologico Autonomo de Mexico
摘要：Using new census-type data and a dynamic structural model, we study the effect of credit supply on investment by manufacturing firms during the Greek depression. Real factors (profitability, uncertainty, and taxes) account for only a fraction of the substantial drop in investment observed in the data. The reduction in credit supply has significant real effects, explaining 11-32% of the investment slump. We also find that exporting firms, which reduce investment and deleverage despite their imp...
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作者：Bernstein, Shai; Colonnelli, Emanuele; Malacrino, Davide; McQuade, Tim
作者单位：Harvard University; University of Chicago; International Monetary Fund; University of Colorado System; University of Colorado Boulder
摘要：We examine the characteristics of the individuals who become entrepreneurs when local opportunities arise. We identify local demand shocks by linking fluctuations in global commodity prices to municipality-level agricultural endowments in Brazil. We find that the firm creation response is mostly driven by young and skilled individuals. The characteristics of these responsive entrepreneurs are significantly different from those of average entrepreneurs in the economy. By structurally estimating...
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作者：Kruttli, Mathias S.; Monin, Phillip J.; Watugala, Sumudu W.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Office of Financial Research; United States Department of the Treasury; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Using novel credit data, we show that hedge fund borrowing is significantly overcollateral-ized, primarily with rehypothecable securities. An idiosyncratic liquidity shock to a major prime broker significantly decreases credit to connected hedge funds. The dominant chan-nel behind this shock transmission is credit supply reduction rather than precautionary demand reduction. Funds posting more rehypothecable collateral are less affected because their collateral alleviates prime broker liquidity...
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作者：Li, Jiacui
作者单位：Utah System of Higher Education; University of Utah
摘要：Corporate bond prices are slow to respond to default risk and interest rate shocks, as proxied by firm-level stock returns and Treasury returns, respectively. Furthermore, the under-reaction is risk-specific: bonds with better credit quality underreact more to default risk, while those with worse quality underreact more to interest rates. The under-reactions imply substantial out-of-sample return predictability, and investors appear to be leaving too much money on the table. The results are co...
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作者：Aghamolla, Cyrus; Thakor, Richard T.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Massachusetts Institute of Technology (MIT)
摘要：This study investigates whether a private firm's decision to go public affects the IPO decisions of its competitors. Using detailed data from the drug development industry, we identify a private firm's direct competitors at a precise level through a novel approach using similarity in drug development projects based on disease targets. The analysis shows that a private firm is significantly more likely to go public after observing the recent IPO of a direct competitor, and this effect is distin...
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作者：Ai, Hengjie; Han, Leyla Jianyu; Pan, Xuhui Nick; Xu, Lai
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Wisconsin System; University of Wisconsin Madison; Boston University; University of Oklahoma System; University of Oklahoma - Norman; Syracuse University
摘要：Using the expected option-implied variance reduction to measure the sensitivity of stock returns to monetary policy announcement surprises, this paper shows monetary policy announcements require significant risk compensation in the cross section of equity returns. We develop a parsimonious equilibrium model in which FOMC announcements reveal the Federal Reserve's private information about its interest-rate target, which affects the private sector's expectation about the long-run growth-rate of...
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作者：Reher, Michael
作者单位：University of California System; University of California San Diego
摘要：I show how financial intermediaries affect rental housing quality and affordability by sup-plying real estate investors with financing for quality improvement projects (i.e., renova-tions). First, I document a historic surge in improvement activity since the Great Recession. Then, using exogenous variation generated by a 2015 change in regulatory capital require-ments, I find that a reallocation of bank credit toward improvement projects accounts for 24% of quality improvements since 2015. The...
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作者：Huang, Shiyang; Hwang, Byoung-Hyoun; Lou, Dong
作者单位：University of Hong Kong; Nanyang Technological University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We study the transmission of financial news and opinions through social interactions among retail investors in the United States. We identify a series of plausibly exogenous shocks, which cause treated investors to trade abnormally. We then trace the contagion of abnormal trading activity from the treated investors to their neighbors and their neighbors' neighbors. Coupled with methodology drawn from epidemiology, our setting allows us to estimate the rate of communication and how it varies wi...
