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作者：Liberman, Andres; Paravisini, Daniel; Pathania, Vikram
摘要：We show that high-cost debt exacerbates financial constraints by affecting lenders' per-ception of credit risk. Using data from a high-cost lender in the UK, we show that high-cost credit reduces applicants' credit score and future bank credit even though it does not affect future debt repayment. These effects are not present among borrowers who are al -ready tagged as high risk at application, consistent with high-cost credit affecting lenders' beliefs about borrowers' creditworthiness. The r...
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作者：Liu, Claire; Masulis, Ronald W.; Stanfield, Jared
作者单位：University of Sydney; University of New South Wales Sydney; University of Oklahoma System; University of Oklahoma - Norman
摘要：We study how the existence of important production contracts affects the choice of chief executive officer (CEO) compensation contracts. We hypothesize that having major cus-tomers raises the costs associated with CEO risk-taking incentives and leads to lower option-based compensation. Using industry-level import tariff reductions as exogenous shocks to customer relationships, we find that firms with major customers subsequently reduce CEO option-based compensation significantly. We also show ...
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作者：Anagol, Santosh; Balasubramaniam, Vimal; Ramadorai, Tarun
作者单位：University of Pennsylvania; University of London; Queen Mary University London; Imperial College London; Centre for Economic Policy Research - UK
摘要：We study a natural experiment in which 1.5 million investors participate in allocation lot-teries for Indian IPO stocks. Investors who win the lottery and obtain IPO stocks that rise in value increase portfolio trading volume in non-IPO stocks relative to lottery losers; the effects are negative for lottery winners obtaining IPO stocks that fall in value. A model in which agents learn from random experience about their ability to operate in the mar-ket environment best explains the results. In...
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作者：Barroso, Pedro; Detzel, Andrew
作者单位：University of New South Wales Sydney; Universidade Catolica Portuguesa; University of Denver
摘要：We investigate whether transaction costs, arbitrage risk, and short-sale impediments ex-plain the abnormal returns of volatility-managed equity portfolios. Even using six cost-mitigation strategies, after transaction costs, volatility management of asset-pricing factors besides the market return generally produces zero abnormal returns and significantly re -duces Sharpe ratios. In contrast, abnormal returns of the volatility-managed market port-folio are robust to transaction costs and concent...
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作者：Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth
作者单位：Yale University; Arizona State University; Arizona State University-Tempe
摘要：Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation. We formalize this argument with a conditional factor pricing model. Using instrumented principal components analysis, we estimate latent factors with time-varying factor loadings that depend on observable firm characteristics. We show that factor loadings vary significantly over time, e...
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作者：Eaton, Gregory W.; Irvine, Paul J.; Liu, Tingting
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; Texas Christian University; Iowa State University
摘要：Using proprietary institutional trade data, we construct a price impact measure that represents the costs faced by institutional investors. We show that many widely used liquidity measures do not adequately capture institutional trading costs. We then find that institutional trading costs are not dramatically impacted by decimalization, casting doubt on the widely used identification strategy that employs decimalization as an exogenous shock to liquidity, particularly institutional liquidity. ...
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作者：Moshirian, Fariborz; Tian, Xuan; Zhang, Bohui; Zhang, Wenrui
作者单位：University of New South Wales Sydney; University of New South Wales Sydney; Tsinghua University; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen; Chinese University of Hong Kong
摘要：We investigate the effect of stock market liberalization on technological innovation. Using a sample of 20 economies that experience stock market liberalization, we find that these economies exhibit a higher level of innovation output after liberalization and that this effect is disproportionately stronger in more innovative industries. The relaxation of financial constraints, enhanced risk sharing between domestic and foreign investors, and improved corporate governance are three plausible ch...
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作者：Akey, Pat; Heimer, Rawley Z.; Lewellen, Stefan
作者单位：University of Toronto; Boston College; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Powerful politicians can interfere with the enforcement of regulations. As such, expected political interference can affect constituents' behavior. Using rotations of Senate committee chairs to identify variation in political power and expected regulatory relief, we study powerful politicians' effect on consumer lending to communities protected by fair-lending regulations. We find a 7.5% reduction in credit access to minority neighborhoods in states with new committee chairs. Larger reductions...
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作者：Barahona, Ricardo; Driessen, Joost; Frehen, Rik
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tilburg University
摘要：We study the link between beta predictability and the price of risk. An investor who desires exposure to a certain risk factor needs to predict what next period's beta will be. We use a simple model to show that an ambiguity averse agent's demand is lower when betas are hard to predict, leading to a reduction in risk premiums. We test the implications for downside betas and VIX betas. We find that they have economically and statistically small prices of risk once we account for the fact that a...
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作者：Michaely, Roni; Rossi, Stefano; Weber, Michael
作者单位：University of Geneva; Bocconi University; University of Chicago; National Bureau of Economic Research
摘要：Contrary to signaling models' central predictions, changes in the level of cash flows do not empirically follow changes in dividends. We use the Campbell (1991) decomposition to construct cash-flow and discount-rate news from returns and find the following: (1) both dividend changes and repurchase announcements signal changes in cash-flow volatility (in opposite directions); (2) larger cash-flow volatility changes come with larger announcement returns; and (3) neither discount-rate news, nor t...
