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作者：Baltussen, Guido; van Bekkum, Sjoerd; Da, Zhi
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Notre Dame
摘要：We show a striking change in index return serial dependence across 20 major market indexes covering 15 countries in North America, Europe, and Asia. While many studies find serial dependence to be positive until the 1990s, it switches to negative since the 2000s. This change happens in most stock markets around the world and is both statistically significant and economically meaningful. Further tests reveal that the decline in serial dependence links to the increasing popularity of index produ...
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作者：Cornaggia, Jess; Li, Jay Yin
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; City University of Hong Kong; University of North Carolina; University of North Carolina Greensboro
摘要：We examine synergies in mergers and acquisitions (M&As) generated by firms' comparative advantages in access to bank finance. We find robust evidence that greater access to bank finance increases firms' attractiveness as acquisition targets. Targets' comparative advantage in bank finance improves bank credit supply and reduces financing costs for the merged firms. These effects are more pronounced for acquirers with greater frictions in accessing bank loans and acquirers with greater growth op...
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作者：Natividad, Gabriel
作者单位：Universidad de Piura
摘要：I study how the colonial mita forced labor system (1573-1812) impacted Peruvian firms' formalization, investment, and performance measured by the 2008 business census. Regression discontinuity models with granular geospatial controls reveal lower sales and fixed assets, less likely use of a commercial name, and less likely tax ID registration for firms within mita boundaries. Firms with banking relationships in mita regions struggle more financially. Evidence on centuries-long disadvantageous ...
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作者：Bernstein, Asaf; Gustafson, Matthew T.; Lewis, Ryan
作者单位：University of Colorado System; University of Colorado Boulder; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Homes exposed to sea level rise (SLR) sell for approximately 7% less than observably equivalent unexposed properties equidistant from the beach. This discount has grown over time and is driven by sophisticated buyers and communities worried about global warming. Consistent with causal identification of long-horizon SLR costs, we find no relation between SLR exposure and rental rates and a 4% discount among properties not projected to be flooded for almost a century. Our findings contribute to ...
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作者：Andrei, Daniel; Mann, William; Moyen, Nathalie
作者单位：McGill University; University of California System; University of California Los Angeles; University of Colorado System; University of Colorado Boulder
摘要：We show that the relation between aggregate investment and Tobin's g has become remarkably tight in recent years, contrasting with earlier times. We connect this change with the growing empirical dispersion in Tobin's q, which we show both in the cross-section and the time series. To study the source of this dispersion, we augment a standard investment model with two distinct mechanisms related to firms' research activities: innovations and learning. Both innovation jumps in cash flows and the...
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作者：Hirshleifer, David; Levi, Yaron; Lourie, Ben; Teoh, Siew Hong
作者单位：University of California System; University of California Irvine; University of Southern California
摘要：Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a phenomenon known as decision fatigue. We study whether decision fatigue affects analysts' judgments. Analysts cover multiple firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as the number of forecasts the analyst has already issued increases. Also consistent with decision fatigue, we find that the more forecast...
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作者：Schneider, Paul
作者单位：Swiss Finance Institute (SFI); Universita della Svizzera Italiana
摘要：This paper introduces a model free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return and subsequently to visual and formal diagnosing of asset pricing models. It utilizes a novel conditional frequency analysis on the basis of available options rather than the times series of the S&P 500...
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作者：Bardgett, Chris; Gourier, Elise; Leippold, Markus
作者单位：University of Zurich; ESSEC Business School
摘要：We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model's in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the te...
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作者：Wahal, Sunil
作者单位：Arizona State University; Arizona State University-Tempe
摘要：I investigate the profitability and investment premium in stock returns using hand collected data from Moody's Manuals for 1940-1963. Controlling for value, the profitability premium emerges as important in this period. In contrast, there is no reliable relation between investment and returns, regardless of whether investment is measured using growth in total assets or book equity and even after extending the data back to 1926. In spanning regressions, factors constructed from profitability an...
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作者：Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu
作者单位：University of Pennsylvania; University of Pennsylvania; National Bureau of Economic Research
摘要：We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, whi...
