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作者：Jia, Chunxin; Wang, Yaping; Xiong, Wei
作者单位：Peking University; Princeton University; National Bureau of Economic Research
摘要：This paper uses segmented dual-class shares of Chinese firms-Ashares traded in mainland China by local investors and H shares traded in Hong Kong by foreign investors-to document a rich pattern in the differential reactions of local and foreign investors to analyst recommendations. This pattern reveals that social connections between analysts and investors affect investor reactions to analyst recommendations. Because of the investors' differential reactions, analyst recommendations may exacerb...
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作者：Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah
作者单位：Hautes Etudes Commerciales (HEC) Paris; University of Warwick; University of New South Wales Sydney
摘要：Short-lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and faster responses to these opportunities should impair liquidity. We provide supporting evidence using data on triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and arbitrageurs' rel...
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作者：Ledoit, Olivier; Wolf, Michael
作者单位：University of Zurich; University of Zurich
摘要：Markowitz (1952) portfolio selection requires an estimator of the covariance matrix of returns. To address this problem, we promote a nonlinear shrinkage estimator that is more flexible than previous linear shrinkage estimators and has just the right number of free parameters (i.e., the Goldilocks principle). This number is the same as the number of assets. Our nonlinear shrinkage estimator is asymptotically optimal for portfolio selection when the number of assets is of the same magnitude as ...
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作者：He, Jie (Jack); Huang, Jiekun
作者单位：University System of Georgia; University of Georgia; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We analyze the effects of institutional cross-ownership of same-industry firms on product market performance and behavior. Our results show that cross-held firms experience significantly higher market share growth than do non-cross-held firms. We establish causality by relying on a difference-in-differences approach based on the quasi-natural experiment of financial institution mergers. We also find evidence suggesting that institutional cross-ownership facilitates explicit forms of product ma...
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作者：Beshears, John; Choi, James J.; Laibson, David; Madrian, Brigitte C.
作者单位：Harvard University; National Bureau of Economic Research; Yale University
摘要：Many experiments have found that participants take more investment risk if they see less frequent returns, portfolio-level returns (rather than each individual asset's returns), or longhorizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to cha...
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作者：Schoar, Antoinette; Zuo, Luo
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Cornell University
摘要：We show that economic conditions when managers enter the labor market have long-run effects on their career paths and managerial styles. Managers who began their careers during recessions become CEOs more quickly, but at smaller firms. They also have more conservative styles, such as lower investment in capital expenditures and research and development, more cost cutting, and lower leverage and working capital needs. These recession effects appear to be largely driven by the characteristics of...
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作者：Dahlquist, Magnus; Farago, Adam; Tedongap, Romeo
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Gothenburg; ESSEC Business School
摘要：We examine the portfolio choice of an investor with generalized disappointment-aversion preferences who faces log returns described by a normal-exponential model. We derive a three-fund separation strategy: the investor allocates wealth to a risk-free asset, a standard mean-variance efficient fund, and an additional fund reflecting return asymmetries. The optimal portfolio is characterized by the investor's endogenous effective risk aversion and implicit asymmetry aversion. In empirical applic...
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作者：Segura, Anatoli; Suarez, Javier
作者单位：European Central Bank; Bank of Italy; Center for Economic & Policy Research (CEPR)
摘要：We quantify the gains from regulating maturity transformation in a model of banks that finance long-term assets with nontradable debt. Banks choose the amount and maturity of their debt by trading off investors' preferences for short maturities with the risk of systemic crises. Pecuniary externalities make unregulated debt maturities inefficiently short. In calibrating the model to eurozone banking data for 2006, we find that lengthening the average maturity of wholesale debt from 2.8 to 3.3 m...
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作者：Ayyagari, Meghana; Demirguc-Kunt, Asli; Maksimovic, Vojislav
作者单位：George Washington University; The World Bank; University System of Maryland; University of Maryland College Park
摘要：We study how institutions influence start-up characteristics of firms and how these characteristics predict entrants' growth trajectories over the early firm life cycle. Using census data from India, we find that greater financial development is associated with higher entry rates and smaller-sized entrants. Following entry, however, large and small entrants grow at the same rates across states with different institutions or industries with differing reliance on external finance. The impact of ...
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作者：Fahlenbrach, Rudiger; Low, Angie; Stulz, Rene M.
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Nanyang Technological University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Following surprise independent director departures, affected firms have worse stock and operating performance, are more likely to restate earnings, face shareholder litigation, suffer from an extreme negative return event, and make worse mergers and acquisitions. The announcement returns to surprise director departures are negative, suggesting that the market infers bad news from surprise departures. We use exogenous variation in independent director departures triggered by director deaths to ...
