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作者：Berg, Tobias; Reisinger, Markus; Streitz, Daniel
作者单位：Frankfurt School Finance & Management; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Friedrich Schiller University of Jena; Copenhagen Business School
摘要：Despite their importance, the discussion of spillover effects in empirical research often misses the rigor dedicated to endogeneity concerns. We analyze a broad set of workhorse models of firm interactions and show that spillovers naturally arise in many corporate finance settings. This has important implications for the estimation of treatment effects: (i) even with random treatment, spillovers lead to a complicated bias; (ii) fixed effects can exacerbate the spillover-induced bias. We propos...
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作者：Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu
作者单位：Bank of England; University of Hong Kong; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Tsinghua University
摘要：Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information on each transaction, including the identities of both counterparties. We find that hedge funds' daily trading positively forecasts gilt returns in the following one to five days, which is then fully reversed in the following month. A part of this short-term return predi...
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作者：Bloomfield, Matthew J.
作者单位：University of Pennsylvania
摘要：A 2006 rule change in the United States mandated that publicly traded firms provide more detailed disclosures about executives' compensation plans. In response to the new disclosure requirements, Cournot firms with large market shares add revenue-based pay to their CEOs' pay packages. This change in pay practices coincides with a shift towards more aggressive product market equilibria, characterized by greater production expenditures and lower margins. Jointly, these patterns are consistent wi...
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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：This study attests to the important role of US midterm elections in asset pricing, even more important than presidential elections. In months following the midterms, equity premiums, mutual fund flows, and real investment growth rates are significantly higher and Treasury premiums are lower. This is consistent with theoretical models relating higher asset prices to lower future discount rates when post-election political uncertainty decreases. The results are robust to different measures of un...
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作者：Favara, Giovanni; Gao, Janet; Giannetti, Mariassunta
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Indiana University System; Indiana University Bloomington; Stockholm School of Economics; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：Better access to debt markets mitigates the effects of uncertainty on corporate policies. We establish this result using the staggered introduction of anti-recharacterization laws in US states. These laws enhanced firms' ability to borrow by strengthening creditors' rights to repossess collateral pledged in special purpose vehicles. After the passage of the laws, firms that face more uncertainty hoard less cash and increase payouts, leverage, and investment in intangible assets. Our findings s...
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作者：Kronlund, Mathias; Pool, Veronika K.; Sialm, Clemens; Stefanescu, Irina
作者单位：Tulane University; Vanderbilt University; University of Texas System; University of Texas Austin; National Bureau of Economic Research; Federal Reserve System - USA
摘要：We examine the effects of a 2012 regulatory reform that mandated fee and performance disclosures for the investment options in 401(k) plans. We show that participants became significantly more attentive to expense ratios and short-term performance after the reform. The disclosure effects are stronger among plans with large average contributions per participant and are weaker for plans with many investment options. Additionally, these results are not driven by secular changes in investor behavi...
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作者：Schlag, Christian; Thimme, Julian; Weber, Ruediger
作者单位：Goethe University Frankfurt; Helmholtz Association; Karlsruhe Institute of Technology; Vienna University of Economics & Business
摘要：We introduce implied volatility duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand, on average, more than 5% return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that late stocks can only have higher expected returns than early stocks if the investor exhibits a preference for early r...
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作者：Xu, Nancy R.
作者单位：Boston College
摘要：Duffee (2005) shows that the amount of consumption risk (i.e., the conditional covariance between market returns and consumption growth) is procyclical. In light of this Duffee Puzzle, I empirically demonstrate that the conditional covariance between dividend growth (i.e., the immediate cash flow part of market returns) and consumption growth is (1) procyclical and (2) a consistent source of procyclicality in the puzzle. Moreover, I solve an external habit formation model that incorporates rea...
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作者：Alperovych, Yan; Cumming, Douglas; Czellar, Veronika; Groh, Alexander
作者单位：emlyon business school; State University System of Florida; Florida Atlantic University; SKEMA Business School; University of Birmingham
摘要：We examine 68,044 completed or abandoned M&A transactions involving unlisted targets to determine the effect of transaction rumors on deal-closing propensity and transaction values. Estimation is challenging because rumors may be spread on purpose or emerge accidentally while transaction values are only observable for completed deals and no regulation requires to disclose them. We use indirect inference to overcome these challenges. We find that (a) M&A rumors are deal breakers, (b) rumored bu...
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作者：Vokata, Petra
作者单位：University System of Ohio; Ohio State University
摘要：Recent complex financial products sold to households contradict the basic premise of canonical innovation theories: Financial innovation benefits its adopters. In my 2006-2015 sample of over 28,0 0 0 yield enhancement products (YEP), the securities offer attractive yields but negative returns. The products lose money both ex ante and ex post due to their embedded fees. On average, YEPs charge 6-7% in annual fees and subsequently lose 6- 7% relative to risk-adjusted benchmarks. Simple and cheap...
