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作者：Guo, Li; Li, Frank Weikai; Wei, K. C. John
作者单位：Fudan University; Fudan University; Shanghai Institute of International Finance & Economics; Singapore Management University; Hong Kong Polytechnic University
摘要：We examine the value and efficiency of analyst recommendations through the lens of capital market anomalies. We find that analysts do not fully use the information in anomaly signals when making recommendations. Analysts tend to give more favorable consensus recommendations to stocks classified as overvalued and, more important, these stocks subsequently tend to have particularly negative abnormal returns. Analysts whose recommendations are better aligned with anomaly signals are more skilled ...
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作者：Carletti, Elena; Marquez, Robert; Petriconi, Silvio
作者单位：Bocconi University; University of California System; University of California Davis; Bocconi University
摘要：We present a general equilibrium model of banks' optimal capital structure where bankruptcy is costly and investors have heterogeneous endowments and incur a cost for participating in equity markets. We show that, besides its social benefits, capital regulation benefits bank shareholders when it resolves fire sales externalities but not when it acts as a tax on bank profits such as when used to control excessive leverage induced by deposit insurance. Furthermore, capital regulation widens the ...
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作者：Conrad, Jennifer; Wahal, Sunil
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Arizona State University; Arizona State University-Tempe
摘要：We examine realized spreads and price impact in clock and trade time following each trade in all common stocks from 2010 to 2017. The term structure of realized spreads (price impact) is sharply downward (upward) sloping, implying that (a) market maker profitability is sensitive to speed, and (b) the choice of the horizon of measurement is critical when drawing inferences from spread decompositions. The majority of the price impact of trades in large (small)-capitalization stocks takes place w...
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作者：Dahlquist, Magnus; Hasseltoft, Henrik
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK
摘要：Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a significant alpha when controlling for standard carry, momentum, and value strategies. The economic momentum strategy subsumes the alpha of carry trades, suggesting that differences in past economic trends ca...
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作者：Luck, Stephan; Zimmermann, Tom
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Cologne
摘要：This paper investigates employment effects of the Federal Reserve's quantitative easing policies (QE) via a bank lending channel. We find that banks with higher mortgage-backed securities holdings refinanced relatively more mortgages after the first round of QE, which increased local consumption and employment in the nontradable goods sector. In contrast, banks increased lending to firms and home purchase mortgage origination after the third round of QE, which led to a sizable increase in over...
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作者：Hibbert, Ann Marie; Kang, Qiang; Kumar, Alok; Mishra, Suchi
作者单位：West Virginia University; State University System of Florida; Florida International University; University of Miami
摘要：We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity declines. Moreover, heterogeneity in beliefs, proxied by either analyst- or institutional-trade-based measures, is a robust and salient determinant of SEO firm volatility, which provides an explanation for the...
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作者：Cortes, Kristle R.; Demyanyk, Yuliya; Li, Lei; Loutskina, Elena; Strahan, Philip E.
作者单位：University of New South Wales Sydney; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Federal Reserve System - USA; University of Virginia; Boston College; National Bureau of Economic Research
摘要：Post-crisis stress tests have altered banks' credit supply to small business. Banks most affected by stress tests reallocate credit away from riskier markets and toward safer ones. They also raise interest rates on small loans. Quantities fall most in high-risk markets where stress-tested banks own no branches, and prices rise mainly where they do. The results suggest that banks price the stress-test induced increase in capital requirements where they have local knowledge, and exit where they ...
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作者：Makarov, Igor; Schoar, Antoinette
作者单位：University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations when bitcoin...
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作者：Brown, Jeffrey R.; Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：Using data on White House visitors from 2009 through 2015, we find that corporate executives' meetings with key policymakers are associated with positive abnormal stock returns. We also find evidence suggesting that firms receive more government contracts and are more likely to receive regulatory relief (as measured by the tone of regulatory news) following meetings with federal government officials. Using the 2016 presidential election as a shock to political access, we find that firms with a...
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作者：Bretscher, Lorenzo; Hsu, Alex; Tamoni, Andrea
作者单位：University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope movements. Shocks to government spending level and uncertainty are also priced in the cross-section of bond and stock portfolios. Theoretically, government spending level shocks raise inflation when marginal utility is high, thus generating positive inflation risk premia (term structure level effect). Uncertainty shocks steepe...
