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作者：Bushee, Brian J.; Friedman, Henry L.
作者单位：University of Pennsylvania; University of California System; University of California Los Angeles
摘要：We provide evidence that higher-quality disclosure standards are associated with stock returns that are less sensitive to noise driven by investors' moods. We identify return-mood sensitivity (RMS) based on the association between index returns and urban cloudiness, a source of short-term variation in mood. Based on a stylized model, we predict and find evidence consistent with higher-quality disclosure standards reducing RMS by tilting susceptible investors' trades toward information and by f...
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作者：Chinco, Alex; Mayer, Christopher
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Columbia University; National Bureau of Economic Research
摘要：This paper examines the contribution of out-of-town second-house buyers to mispricing in the housing market. We show that demand from out-of-town second-house buyers during the mid 2000s predicted not only house-price appreciation rates but also implied-to-actual-rent-ratio appreciation rates, a proxy for mispricing. We then apply a novel identification strategy to address the issue of reverse causality. We give supporting evidence that out-of-town second-house buyers behaved like misinformed ...
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作者：Farre-Mensa, Joan; Ljungqvist, Alexander
作者单位：Harvard University; New York University; National Bureau of Economic Research
摘要：Financial constraints are fundamental to empirical research in finance and economics. We propose two tests to evaluate how well measures of financial constraints actually capture constraints. We find that firms typically classified as constrained do not actually behave as if they were constrained: they have no trouble raising debt when their demand for debt increases exogenously and use the proceeds of equity issues to increase payouts to shareholders. Our evidence suggests that extant finding...
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作者：Gilje, Erik P.
作者单位：University of Pennsylvania
摘要：I empirically test whether firms engage in risk-shifting. Contrary to what risk-shifting theory predicts, I find that firms reduce investment risk when they approach financial distress. To identify the effect of distress on risk-taking, I use a natural experiment with exogenous changes to leverage. Risk reduction is most prevalent among firms that have shorter maturity debt, bank debt, and tighter bank loan financial covenants. These findings suggest that debt composition and financial covenan...
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作者：Bernstein, Shai; Sheen, Albert
作者单位：Stanford University; National Bureau of Economic Research; University of Oregon
摘要：How do private equity firms affect their portfolio companies? We document operational changes in restaurant chain buyouts using comprehensive health inspection records. Store-level operational practices improve after private equity buyout, as restaurants become cleaner, safer, and better maintained. Supporting a causal interpretation, this effect is stronger in chain-owned stores than in franchised locations-twin restaurants over which private equity owners have limited control. These changes ...
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作者：Lee, Samuel; Persson, Petra
作者单位：Santa Clara University; European Corporate Governance Institute; Swedish House of Finance; Stanford University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Research Institute of Industrial Economics (IFN)
摘要：Most informal finance comes from family and friends. Existing informal finance theories cannot match two characteristics of family finance: family investors may accept below-market or even negative returns, yet borrowers often prefer formal finance. We argue that social preferences make family finance cheap but create shadow costs that nonetheless discourage its use: Committing family funds to risky investment displaces intrafamily insurance and undermines limited liability. The same character...
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作者：Adelino, Manuel; Schoar, Antoinette; Severino, Felipe
作者单位：Duke University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Dartmouth College
摘要：This paper highlights the importance of middle-class and high-FICO borrowers for the mortgage crisis. Contrary to popular belief, which focuses on subprime and poor borrowers, we show that mortgage originations increased for borrowers across all income levels and FICO scores. The relation between mortgage growth and income growth at the individual level remained positive throughout the pre-2007 period. Finally, middle-income, high-income, and prime borrowers all sharply increased their share o...
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作者：Cosemans, Mathijs; Frehen, Rik; Schotman, Peter C.; Bauer, Rob
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University; Maastricht University
摘要：We propose a hybrid approach for estimating beta that shrinks rolling window estimates toward firm-specific priors motivated by economic theory. Our method yields superior forecasts of beta that have important practical implications. First, unlike standard rolling window betas, hybrid betas carry a significant price of risk in the cross-section even after controlling for characteristics. Second, the hybrid approach offers statistically and economically significant out-of-sample benefits for in...
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作者：Christensen, Hans B.; Hail, Luzi; Leuz, Christian
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
摘要：We examine the capital-market effects of changes in securities regulation in the European Union aimed at reducing market abuse and increasing transparency. To estimate causal effects for the population of E.U. firms, we exploit that for plausibly exogenous reasons, such as national legislative procedures, E.U. countries adopted these directives at different times. We find significant increases in market liquidity, but the effects are stronger in countries with stricter implementation and tradi...
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作者：Tang, Ke; Zhu, Haoxiang
作者单位：Tsinghua University; Massachusetts Institute of Technology (MIT)
摘要：We propose and test a theory of using commodities as collateral for financing. Under capital control and collateral constraint, investors import commodities and pledge them as collateral to earn higher expected returns. Higher collateral demands increase commodity prices and make the inventory- convenience yield relation less negative. Our model illustrates these equilibrium effects and suggests that the violation of covered interest- rate parity is a proxy for collateral demands. Evidence fro...
