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作者：Sicherman, Nachum; Loewenstein, George; Seppi, Duane J.; Utkus, Stephen P.
作者单位：Columbia University; Carnegie Mellon University
摘要：This paper investigates financial attention using novel panel data on daily investor online account logins. We find support for selective attention to portfolio information. Account logins fall by 9.5% after market declines. Investors also pay less attention when the VIX volatility index is high. The level of attention and the attention/return correlation are strongly related to investor demographics (gender, age) and financial position (wealth, holdings). Using a new statistical decomposition...
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作者：Schwarz, Christopher G.; Potter, Mark E.
作者单位：University of California System; University of California Irvine; Babson College
摘要：We document that CRSP and Thomson contain many voluntarily reported mutual fund portfolios that are not in SEC filings while, additionally, CRSP and Thomson are missing many SEC mandated portfolios available in SEC filings. We document that the voluntary disclosures are likely driven by convenience rather than duplicity. Although mandated portfolios contain securities with more return momentum, we find use of SEC or Thomson data lead to similar empirical findings. CRSP, however, contains inacc...
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作者：Li, Shaojin; Whited, Toni M.; Wu, Yufeng
作者单位：Shanghai University of Finance & Economics; University of Michigan System; University of Michigan; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We quantify the importance of collateral versus taxes for firms' capital structures. We estimate a dynamic model in which a taxable firm seeks financing for investment, and a dynamic contracting environment motivates endogenous collateral constraints. Optimal leverage stays a safe distance from the constraint, balancing the tax benefit of debt with the cost of lost financial flexibility. We estimate this flexibility cost to be 7.2% of firm assets, a percentage that is comparable to the tax ben...
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作者：He, Zhiguo; Milbradt, Konstantin
作者单位：University of Chicago; National Bureau of Economic Research; Northwestern University
摘要：A firm chooses its debt maturity structure and default timing dynamically, both without commitment. Via the fraction of newly issued short-term bonds, equity holders control the maturity structure, which affects their endogenous default decision. A shortening equilibrium with accelerated default emerges when cash flows deteriorate over time so that debt recovery is higher if default occurs earlier. Self-enforcing shortening and lengthening equilibria may coexist, with the latter possibly Paret...
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作者：Della Corte, Pasquale; Riddiough, Steven J.; Sarno, Lucio
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); University of Melbourne; City St Georges, University of London
摘要：We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances because their currencies depreciate in bad times. This mechanism is consistent with exchange rate th...
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作者：Griffin, John M.; Maturana, Gonzalo
作者单位：University of Texas System; University of Texas Austin; Emory University
摘要：ZIP codes with high concentrations of originators who misreported mortgage information experienced a 75% larger relative increase in house prices from 2003 to 2006 and a 90% larger relative decrease from 2007 to 2012 compared with other ZIP codes. Several causality tests show that high fractions of dubious originators in a ZIP code lead to large price distortions. Originators with high misreporting gave credit to borrowers with high ex ante risk, yet further understated the borrowers' true ris...
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作者：Cronqvist, Henrik; Previtero, Alessandro; Siegel, Stephan; White, Roderick E.
作者单位：University of Miami; Western University (University of Western Ontario); University of Washington; University of Washington Seattle
摘要：We find that differences in individuals' prenatal environments explain heterogeneity in financial decisions later in life. An exogenous increase in exposure to prenatal testosterone is associated with the masculinization of financial behavior, specifically with elevated risk taking and trading in adulthood. We also examine birth weight. Those with higher birth weight are more likely to participate in the stock market, whereas those with lower birth weight tend to prefer portfolios with higher ...
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作者：Bottazzi, Laura; Da Rin, Marco; Hellmann, Thomas
作者单位：University of Bologna; Bocconi University; Tilburg University; University of Oxford; National Bureau of Economic Research; European Corporate Governance Institute
摘要：We examine the effect of trust in venture capital. Our theory predicts a positive relationship of trust with investment, but a negative relationship with success. Using a hand-collected dataset of European venture capital deals, we find that the Eurobarometer measure of trust among nations positively predicts venture capital firms' investment decisions, but that it has a negative correlation with successful exits. Our theory also predicts that earlier stage investments require higher trust, th...
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作者：Dew-Becker, Ian; Giglio, Stefano
作者单位：Northwestern University; University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We quantify investors' preferences over the dynamics of shocks by deriving frequency-specific risk prices that capture the price of risk of consumption fluctuations at each frequency. The frequency-specific risk prices are derived analytically for leading models. The decomposition helps measure the importance of economic fluctuations at different frequencies. We precisely quantify the meaning of long-run in the context of Epstein-Zin preferences - centuries - and measure the exact relevance of...
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作者：Tsai, Jerry; Wachter, Jessica A.
作者单位：University of Oxford; University of Pennsylvania; National Bureau of Economic Research
摘要：Why do value stocks have higher average returns than growth stocks, despite having lower risk? Why do these stocks exhibit positive abnormal performance, while growth stocks exhibit negative abnormal performance? This paper offers a rare-event-based explanation that can also account for the high equity premium and volatility of the aggregate market. The model explains other puzzling aspects of the data, such as joint patterns in time-series predictablity of aggregate market and value and growt...
