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作者：Bennett, Benjamin; Stulz, Rene; Wang, Zexi
作者单位：Tulane University; National Bureau of Economic Research; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University; Lancaster University
摘要：Management, directly or indirectly, learns from its firm's stock price, so a more informative stock price should make the firm more productive. We show that stock price informativeness increases firm productivity. We provide direct evidence of one channel through which stock price informativeness affects productivity; specifically, we find that CEO turnover is less sensitive to Tobin's q when informativeness is lower. We predict and confirm that the productivity of smaller and younger firms, b...
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作者：Davila, Eduardo; Walther, Ansgar
作者单位：Yale University; Imperial College London
摘要：We explore how large and small banks make funding decisions when system-wide bailouts are possible. We show that bank size, purely on strategic grounds, is a key determinant of banks' leverage choices, even when bailout policies treat large and small banks symmetrically. Large banks leverage more than small banks because they internalize that their decisions directly affect bailout policies. In equilibrium, this effect is amplified by strategic spillovers to small banks since banks' leverage c...
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作者：Maturana, Gonzalo; Nickerson, Jordan
作者单位：Emory University; Boston College
摘要：This paper studies the effects of financial distress on workers' productivity, using detailed data from the public school system in Texas. We show that the student passing rate in the median-sized grade decreases by 1.2 percentage points following a declaration of bankruptcy by one teacher in the grade. The effect of financial distress increases with the complexity of the task. Overall, our results suggest a potential feedback effect of worker financial distress on local economic conditions an...
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作者：Muravyev, Dmitriy; Ni, Xuechuan (Charles)
作者单位：Boston College; Michigan State University; Michigan State University's Broad College of Business
摘要：Average delta hedged returns for Standard & Poor's 500 index options are large: -0.7% per day. When we decompose these option returns into intraday and overnight components, average close-to-open returns are -1% per day and open-to-close returns are positive, 0.3%. A similar return pattern holds for all maturity and moneyness categories and equity options. These positive intraday returns are particularly difficult to explain. However, our results are consistent with option prices' failing to a...
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作者：Baghai, Ramin P.; Becker, Bo
作者单位：Stockholm School of Economics
摘要：How do changes in a rating agency's reputation affect the ratings market? We study the dynamics of credit ratings after Standard & Poor's (S&P) was shut out of a large segment of the commercial mortgage-backed securities (CMBS) ratings market following a procedural mistake. Exploiting the fact that most CMBS have ratings from multiple agencies, we show that S&P subsequently eased its standards compared to other raters. This coincided with a partial recovery in the number of deals S&P was hired...
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作者：Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan
作者单位：Singapore Management University; Columbia University; Tsinghua University
摘要：The total effects of a regulatory change consist of direct effects and indirect effects (spillovers), but the standard difference-in-difference approach mostly ignores potential indirect effects. During the 2007 full repeal of the uptick rule, short-sellers become much more aggressive across the board, even in control stocks where the uptick rule is already suspended. This finding is consistent with positive and significant indirect effects on control stocks, likely driven by aggressive broad ...
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作者：Cong, Lin William; Grenadier, Steven R.; Hu, Yunzhi
作者单位：University of Chicago; Stanford University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We model a dynamic economy with strategic complementarity among investors and study how endogenous government interventions mitigate coordination failures. We establish equilibrium existence and uniqueness, and we show that one intervention can affect another through altering the public information structure. A stronger initial intervention helps subsequent interventions through increasing the likelihood of positive news, but also leads to negative conditional updates. Our results suggest opti...
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作者：Goldstein, Michael A.; Hotchkiss, Edith S.
作者单位：Babson College; Boston College
摘要：We examine market making behavior of dealers for 55,988 corporate bonds, many of which trade infrequently. Dealers have a substantially higher propensity to offset trades within the same day rather than committing capital for longer periods for riskier and less actively traded bonds. Dealers' holding periods do not decline with a bond's prior trading activity and in fact are lowest for some of the least active bonds. As a result, cross-sectional estimates of roundtrip trading costs do not incr...
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作者：Liu, Bibo; Wang, Huijun; Yu, Jianfeng; Zhao, Shen
作者单位：Tsinghua University; University of Melbourne; Auburn University System; Auburn University; The Chinese University of Hong Kong, Shenzhen
摘要：Investor preferences for holding speculative assets are likely to be more pronounced ahead of firms' earnings announcements, probably because of lower inventory costs and immediate payoffs or because of enhanced investor attention. We show that the demand for lottery-like stocks is stronger ahead of earnings announcements, leading to a price runup for these stocks. In sharp contrast to the standard underperformance of lottery-like stocks, lottery-like stocks outperform non-lottery stocks by ab...
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作者：Della Seta, Marco; Morellec, Erwan; Zucchi, Francesca
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed with equity and short-term debt and cannot freely optimize their default decision because of financing frictions. We show that when firms are close to distress, the dynamic interaction of operating and rollover losses fuels default risk. In suc...
