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作者：Livdan, Dmitry; Nezlobin, Alexander
作者单位：University of California System; University of California Berkeley; University of London; London School Economics & Political Science
摘要：This paper extends the Q-theory of investment to capital goods with arbitrary efficiency profiles. When efficiency is non-geometric, the firm's capital stock and the replacement cost of its assets are fundamentally different aggregates of the firm's investment history. If capital goods have constant efficiency over a finite useful life, simple proxies are readily available for both the replacement cost of assets in place and capital stock. Under this assumption, we decompose the total investme...
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作者：O'Hara, Maureen; Zhou, Xing (Alex)
作者单位：Cornell University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two weeks leading up to Federal Reserve System interventions, volume shifted to liquid securities, transaction costs soared, trade-size pricing inverted, and dealers, particularly non-primary dealers, shifted from buying to selling, causing dealers' inventories to plummet. Liquidity provisions in electronic customer-to-customer trading increased, though at prohibitively high costs. ...
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作者：Kleiner, Kristoph; Stoffman, Noah; Yonker, Scott E.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Cornell University
摘要：We show information spillovers limit the effectiveness of targeted debt relief programs. We study individuals who learn about the likelihood of debt relief from the recent experiences of workplace peers filing for bankruptcy protection. Peers granted bankruptcy can discharge debts, while peers facing dismissal lose all protections. Exploiting the random assignment of judges to bankruptcy cases, we determine that individuals with a dismissed peer are significantly less likely to file for bankru...
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作者：Koch, Andrew; Panayides, Marios; Thomas, Shawn
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Cyprus
摘要：We investigate the relation between common institutional ownership of the firms in an industry and product market competition. We find that common ownership is neither robustly positively related with industry profitability or output prices nor is it robustly negatively related with measures of nonprice competition, as would be expected if common ownership reduces competition. This conclusion holds regardless of industry classification choice, common ownership measure, profitability measure, n...
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作者：Duffie, Darrell; Dworczak, Piotr
作者单位：Stanford University; National Bureau of Economic Research; Northwestern University
摘要：A B S T R A C T We model the design of a benchmark fixing as an estimator of fair market value. The fixing data are the transactions of agents whose profits depend on the fixing, implying incentives for manipulation. We derive the optimal linear fixing under an assumption that transaction weights are unidimensional. We also axiomatically characterize the unique linear fixing that is robust to a certain form of collusion among traders. Our analysis provides a foundation for the commonly used vo...
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作者：Gopalan, Radhakrishnan; Gormley, Todd A.; Kalda, Ankit
作者单位：Washington University (WUSTL); Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We show that firms take more (but not necessarily excessive) risks when one of their di-rectors experiences a corporate bankruptcy at another firm where they concurrently serve as a director. This increase in risk-taking is concentrated among firms where the director experiences a shorter, less-costly bankruptcy and where the affected director likely exerts greater influence and serves in an advisory role. The findings show that individual direc-tors, not just CEOs, can influence a wide range ...
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作者：Sharifkhani, Ali; Simutin, Mikhail
作者单位：Northeastern University; University of Toronto
摘要：Industries are economically linked through customer-supplier trade flows. We show that industry shocks propagating along this intersectoral trade network can feed back to the originating industry, causing an echo-intermediate-term autocorrelation in returns. Adopting techniques from graph theory, we find that the strength of the trade network feedback is a crucial determinant of the echo effect in industry returns. Returns of the echo strategy implemented within high-feedback strength industri...
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作者：Chen, Hui; Xu, Yu; Yang, Jun
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Delaware; Bank of Canada
摘要：We document several facts about corporate debt maturity: (1) debt maturity is pro-cyclical, (2) higher-beta firms tend to have longer maturity, and (3) shorter maturity amplifies the sensitivity of credit spreads to aggregate shocks. We present a dynamic capital structure model that explains these facts. In the model, leverage and maturity choices are interdependent, which reflect the tradeoffs of liquidity discounts of long-term debt, repayment risks of short-term debt, and the benefit of sho...
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作者：Bansal, Ravi; Miller, Shane; Song, Dongho; Yaron, Amir
作者单位：Duke University; National Bureau of Economic Research; Duke University; University of Michigan System; University of Michigan; Johns Hopkins University; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel
摘要：We estimate a regime-switching model for the equity term structure with Bayesian methods. Our approach accounts for the data sample being unrepresentative of the population distribution of regimes. We find that (i) the term structure of expected equity dividend strip returns is downward sloping in recessions and upward sloping in expansions, and (ii ) the unconditional term structure of expected equity returns is positively sloped. Our estimation shows that the sample unrepresentativeness indu...
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作者：Li, Jennifer (Jie); Massa, Massimo; Zhang, Hong; Zhang, Jian
作者单位：Shanghai Jiao Tong University; INSEAD Business School; Tsinghua University; University of Hong Kong
摘要：Inspired by the recent health science findings that air pollution affects mental health and cognition, we examine whether air pollution can intensify the cognitive bias observed in the financial markets. Based on a proprietary data set obtained from a large Chinese mutual fund family consisting of complete trading information for more than 773,198 ac-counts in 247 cities, we find that air pollution significantly increases investors' disposition effects. Analysis based on two plausible exogenou...
