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作者：Decamps, Jean-Paul; Gryglewicz, Sebastian; Morellec, Erwan; Villeneuve, Stephane
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK
摘要：We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate policies. We use the model to develop a rich set of empirical predictions. In our model, correlated permanent and transitory shocks imply less risk, lower cash savings, and a drop in the value of credit lines. The composition of cash-flow shocks a...
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作者：Belo, Frederico; Li, Jun; Lin, Xiaoji; Zhao, Xiaofei
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Texas System; University of Texas Dallas; University System of Ohio; Ohio State University
摘要：Previous studies have identified a negative relation between firms' hiring rates and future stock returns in the cross-section. We document that this relation is significantly steeper in industries that rely relatively more on high-skill workers than low-skill workers. A long-short portfolio sorted on firm-level hiring rate earns an average annual return of 8.6% in high-skill industries, and only 0.9% in low-skill industries. Moreover, this pattern is not explained by the standard CAPM. These ...
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作者：Li, Jun; Zhang, Harold H.
作者单位：University of Texas System; University of Texas Dallas
摘要：We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian profits and the value premium in a unified economic framework. By introducing time-varying firm cash flow exposures to the short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a long way toward generating the momentum and long-term contrarian profits and the value premium. The model also reproduces the size effect...
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作者：Kim, Hyunseob; Kung, Howard
作者单位：Cornell University; University of London; London Business School
摘要：This paper examines how uncertainty affects corporate investment under varying degrees of asset redeployability. We develop new measures of asset redeployability by accounting for the usability of assets within and across industries. We identify plausibly exogenous shocks to economic uncertainty by using major economic and political events. We find that after an increase in uncertainty, firms using less redeployable capital reduce investment more. More redeployable assets exhibit higher recove...
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作者：Song, Dongho
作者单位：Boston College
摘要：The paper estimates a model that allows for shifts in the aggressiveness of monetary policy and time variation in the distribution of macroeconomic shocks. These model features induce variations in the cyclical properties of inflation and the riskiness of bonds. The estimation identifies inflation as procyclical from the late 1990s, when the economy shifted toward aggressive monetary policy and experienced procyclical macroeconomics shocks. Since bonds hedge stock market risks when inflation i...
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作者：Cole, Shawn; Gine, Xavier; Vickery, James
作者单位：Harvard University; The World Bank; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Weather is a key source of income risk, especially in emerging market economies. This paper uses a randomized controlled trial involving Indian farmers to study how an innovative rainfall insurance product affects production decisions. We find that insurance provision induces farmers to invest more in higher-return but rainfall-sensitive cash crops, particularly among educated farmers. This shift in behavior occurs ex ante, when realized monsoon rainfall is still uncertain. Our results suggest...
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作者：Fischbacher, Urs; Hoffmann, Gerson; Schudy, Simeon
作者单位：University of Konstanz; University of Munich
摘要：We investigate whether automatic selling devices causally reduce investors' disposition effect (DE) in a laboratory experiment. Investors can actively buy and sell assets. Investors in the treatment group use stop-loss and take-gain options to automatically sell assets. In addition, we introduce a reminder condition that reminds investors about their selling plan if a limit is hit. Results show that the automatic selling device treatment significantly reduces the DEs, but the reminder treatmen...
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作者：Duchin, Ran; Goldberg, Amir; Sosyura, Denis
作者单位：University of Washington; University of Washington Seattle; Stanford University; University of Michigan System; University of Michigan
摘要：Using hand-collected data on divisional managers at conglomerates, we find that a change in industry pay in one division generates spillovers on managerial pay in other divisions of the same firm. These spillovers arise only within the boundaries of a conglomerate. The intra-firm spillovers increase when conglomerates have excess cash and when managers have more influence over its distribution, but decline in the presence of strong governance. These spillovers are associated with weaker perfor...
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作者：Kempf, Elisabeth; Manconi, Alberto; Spalt, Oliver
作者单位：University of Chicago; Tilburg University; Bocconi University
摘要：Investor attention matters for corporate actions. Our new identification approach constructs firm-level shareholder distraction measures, by exploiting exogenous shocks to unrelated parts of institutional shareholders' portfolios. Firms with distracted shareholders are more likely to announce diversifying, value-destroying, acquisitions. They are also more likely to grant opportunistically timed CEO stock options, more likely to cut dividends, and less likely to fire their CEO for bad performa...
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作者：Yan, Xuemin (Sterling); Zheng, Lingling
作者单位：University of Missouri System; University of Missouri Columbia; Renmin University of China
摘要：We construct a universe of over 18,000 fundamental signals from financial statements and use a bootstrap approach to evaluate the impact of data mining on fundamental-based anomalies. We find that many fundamental signals are significant predictors of cross-sectional stock returns even after accounting for data mining. This predictive ability is more pronounced following high-sentiment periods and among stocks with greater limits to arbitrage. Our evidence suggests that fundamental-based anoma...
