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作者：Gao, Pengjie; Lee, Chang; Murphy, Dermot
作者单位：University of Notre Dame; Korea Advanced Institute of Science & Technology (KAIST); University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We examine how local newspaper closures affect public finance outcomes for local governments. Following a newspaper closure, municipal borrowing costs increase by 5-11 basis points, costing the municipality an additional $650,000 per issue. This effect is causal and not driven by underlying economic conditions. The loss of government monitoring resulting from a closure is associated with higher government wages and deficits and increased likelihoods of costly advance refundings and negotiated ...
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作者：Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu
作者单位：University College Dublin; The Chinese University of Hong Kong, Shenzhen; Hong Kong University of Science & Technology
摘要：We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using earnings announcements as information events, we show that AIV is positively associated with informed return run-ups, abnormal insider trading, short selling, and institutional trading during pre -earnings-announcement periods. ...
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作者：Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani T.; Nikolaev, Valeri
作者单位：University of Chicago; Dartmouth College; University of Southern California; National Bureau of Economic Research
摘要：Book value of equity consists of two economically different components: retained earnings and contributed capital. We predict that book-to-market strategies work because the retained earnings component of the book value of equity includes the accumulation and, hence, the averaging of past earnings. Retained earnings-to-market predicts the cross section of average returns in U.S. and international data and subsumes book-to-market. Contributed capital-to-market has no predictive power. We show t...
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作者：Grullon, Gustavo; Kaba, Yamil; Nunez-Torres, Alexander
作者单位：Rice University; City University of New York (CUNY) System; Lehman College (CUNY)
摘要：This paper examines whether predictable seasonal patterns in firm fundamentals generate time variation in stock returns. Our findings indicate that stock returns are counterseasonal. Specifically, a long-short strategy of buying low-sales season stocks and shorting high-sales season stocks produces an annual alpha of 8.4% (14.5% over the last decade). This seasonal effect has a relatively high Sharpe ratio and occurs independently of previously documented seasonal anomalies. We analyze several...
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作者：Bae, Kyounghun; Kim, Daejin
作者单位：Hanyang University; Ulsan National Institute of Science & Technology (UNIST)
摘要：We investigate the effect of exchange-traded fund (ETF) liquidity on ETF tracking errors, returns, and volatility in the US. We find that illiquid ETFs have large tracking errors. The effect is more pronounced when underlying assets are less liquid. Returns and liquidity of illiquid ETFs are more sensitive to underlying index returns or ETF market liquidity, or both. Thus, a positive liquidity premium exists in US ETF markets. The ETF variance could be larger than its net asst value variance o...
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作者：Chattopadhyay, Akash; Shaffer, Matthew D.; Wang, Charles C. Y.
作者单位：University of Toronto; University of Southern California; Harvard University
摘要：After decades of de-prioritizing shareholders' economic interests and low corporate profitability, Japan introduced the JPX-Nikkei400 in 2014. The index highlighted the country's best-run companies by annually selecting the 400 most profitable of its large and liquid firms. We find that managers competed for inclusion in the index by significantly increasing return on equity (ROE), and they did so at least in part due to their reputational or status concerns. The ROE increase was predominantly...
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作者：Choi, Jaewon; Hoseinzade, Saeid; Shin, Sean Seunghun; Tehranian, Hassan
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; Suffolk University; Aalto University; Boston College
摘要：Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policy makers that large redemptions will lead to asset fire sales. We find little evidence, however, that bond fund redemptions drive fire sale price pressure after controlling for time-varying issuer-level information that could also affect funds' trading decisions, using a novel identification strategy that exploits same-issuer bonds held by funds with differing outflows. We attribute our fi...
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作者：Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; Vari, Miklos
作者单位：European Central Bank; Bank of France; European Central Bank; Bank of France; European Central Bank; International Monetary Fund
摘要：Most short-term interest rates in the euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks for excess reserves. This coincided with the start of the Public Sector Purchase Program (PSPP) launched in March 2015. In this paper, we explore empirically the interactions between the PSPP and repo rates. Using proprietary data from PSPP purchases and repo transactions for specific (special) securities, we assess the scarcity channel...
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作者：Infante, Sebastian
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The existing literature has shown that an increase in the demand for safe assets induces the private sector to create more of them. Focusing on repos backed by US Treasuries, I theoretically and empirically show that an increase in the demand for safe assets leads to a decrease in repos outstanding. Because Treasuries are safe assets, an increase in the demand for safe assets compresses their term premia, reducing incentives to issue repos. Thus, the sensitivity of private safe asset creation ...
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作者：Begenau, Juliane
作者单位：Stanford University
摘要：This paper develops a dynamic general equilibrium model to quantify the effects of bank capital requirements. Households' preferences for liquid assets imply a liquidity premium on deposits. The banking sector supplies deposits and has excessive risk-taking incentives. I show that the scarcity of deposits created by an increased capital requirement can reduce the cost of capital for banks and increase bank lending. A higher capital requirement also increases banks' monitoring incentives, which...
