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作者：Camargo, Braz; Kim, Kyungmin; Lester, Benjamin
作者单位：University of Iowa; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We study government interventions in markets suffering from adverse selection. Importantly, asymmetric information prevents both the realization of gains from trade and the production of information that is valuable to other market participants. We find a fundamental tension in maximizing welfare: while some intervention is required to restore trading, too much intervention depletes trade of its informational content. We characterize the optimal policy that balances these two considerations, a...
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作者：He, Jie (Jack); Qian, Jun (Q. J. ); Strahan, Philip E.
作者单位：University System of Georgia; University of Georgia; Shanghai Jiao Tong University; Boston College; National Bureau of Economic Research
摘要：We study rating shopping on the MBS market. Outside of AAA, losses are higher on single-rated tranches than on multi-rated ones, and yields predict future losses for single-rated tranches, but not for multi-rated ones. Conversely, ratings have less explanatory power for single-rated tranches. These results suggest that single-rated tranches have been shopped, whereby pessimistic ratings never reach the market. For AAA-rated MBS, by contrast, 93% receive two or three such ratings, and those rat...
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作者：Frydman, Cary; Camerer, Colin
作者单位：California Institute of Technology
摘要：We use neural data collected from an experimental asset market to measure regret preferences while subjects trade stocks. When subjects observe a positive return for a stock they chose not to purchase, a regret signal is observed in an area of the brain that is commonly active during reward processing. Subjects are unwilling to repurchase stocks that have recently increased in price, even though this is suboptimal in our experiment. The strength of stock repurchasing mistakes is correlated wit...
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作者：Pan, Yihui; Wang, Tracy Yue; Weisbach, Michael S.
作者单位：Utah System of Higher Education; University of Utah; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper documents the existence of a CEO investment cycle, in which disinvestment decreases over a CEO's tenure, while investment increases, leading to cyclical firm growth in assets and employment. The estimated variation in investment rate over the CEO investment cycle is of the same order of magnitude as the differences caused by business cycles or financial constraints. Results from a number of tests generally support the view that the investment cycle is caused by agency problems, lead...
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作者：Khanna, Naveen; Mathews, Richmond D.
作者单位：Michigan State University; University System of Maryland; University of Maryland College Park
摘要：We show that the need to posture can help solve the holdup problem inherent in many multistage relationships, including those between entrepreneurs and venture capitalists. Posturing arises when an informed party needs to send a strong signal to induce skeptical third parties like employees, suppliers, customers, or competitors to develop/maintain relationships with the firm or take other actions that increase firm value. In the venture capital context, this can be credibly achieved if the VC ...
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作者：Harvey, Campbell R.; Liu, Yan; Zhu, Heqing
作者单位：National Bureau of Economic Research; Duke University; Texas A&M University System; Texas A&M University College Station; University of Oklahoma System; University of Oklahoma - Norman
摘要：Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing significance. Which hurdle should be used for current research? Our paper introduces a new multiple testing framework and provides historical cutoffs from the first empirical tests in 1967 to today. A new factor needs to clear a much higher hurdle, with a t-statistic greater than 3.0. We argue that most clai...
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作者：Karolyi, G. Andrew
作者单位：Cornell University
摘要：The Review of Financial Studies has among its missions the facilitation and promotion of a vigorous academic debate across unsettled questions in finance. This special section of Volume 29, Number 1 consists of three studies on the cross-section of expected returns. To what extent are our inferences about certain anomalous patterns in the cross-section of expected returns related to biases and inefficiencies in our testing procedures? Are all factor discoveries equally important? Do some propo...
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作者：Heimer, Rawley Z.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：Social interaction contributes to some traders' disposition effect. New data from an investment-specific social network linked to individual-level trading records builds evidence of this connection. To credibly estimate causal peer effects, I exploit the staggered entry of retail brokerages into partnerships with the social trading web platform and compare trader activity before and after exposure to these new social conditions. Access to the social network nearly doubles the magnitude of a tr...
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作者：Kisin, Roni; Manela, Asaf
作者单位：Washington University (WUSTL)
摘要：We estimate the shadow cost of capital requirements using data on a costly loophole that allowed banks to relax these constraints. This loophole-liquidity guarantees to asset-backed commercial paper conduits-was exploited by the largest banks before the crisis of 2008. We show theoretically that a bank's use of the loophole reveals its private compliance cost, which takes into account both the costs of issuing equity and the effectiveness of capital regulation. We find that increasing capital ...
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作者：Schestag, Raphael; Schuster, Philipp; Uhrig-Homburg, Marliese
作者单位：Helmholtz Association; Karlsruhe Institute of Technology
摘要：In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market. We find that high-frequency measures based on intraday data are very strongly correlated, implying that previous results should be robust regarding the chosen measure. Most low-frequency proxies based on daily data generally also measure transactio...
