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作者：Osambela, Emilio
作者单位：Carnegie Mellon University
摘要：This paper studies how investors' differences of opinion affect liquidity and asset prices. In our economy, excessively optimistic investors are subject to an endogenous funding constraint that prevents default due to ex-ante-limited commitment. When the funding constraint binds, optimists use their savings to increase their consumption share, deterring default. This allows them to place speculative trades, increasing market liquidity. Their losses on these trades make them prone to default, l...
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作者：Back, Kerry; Crotty, Kevin
作者单位：Rice University; Rice University
摘要：In a Kyle (1985) model, the sign of the correlation between a firm's debt and equity returns is the same as the sign of the cross-market Kyle's lambda. The sign is positive (negative) if private information concerns the mean (risk) of the firm's assets. We show empirically that information conveyed by order flows is primarily about asset means. The cross-market lambdas are quite large; consequently, the portions of bond and stock returns explained by order flows are highly correlated, even tho...
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作者：Sunderam, Adi
作者单位：Harvard University; National Bureau of Economic Research
摘要：It is widely argued that shadow banking grew rapidly before the recent financial crisis because of rising demand for money-like claims. This paper assesses a key premise of this argument: that investors actually treated short-term debt issued by shadow banks as a money-like claim. I present a model where the financial sector and the central bank jointly respond to demand for money-like claims. The model generates predictions about the prices and quantities of Treasury bills, central bank reser...
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作者：Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：Has the academic review process become excessive? In a setting where editors cannot distinguish significant flaws from mere blemishes, reviewers recommend the repair of blemishes in order to acquire reputations for high skill. In equilibrium, editors accede to reviewer insistence upon such cosmetic surgery. If blemishes are sometimes unremovable, demands for repair sometimes block good papers from publication. This implies a social value to active editing. Reviewer signal-jamming may especiall...
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作者：Dhillon, Amrita; Rossetto, Silvia
作者单位：University of London; King's College London
摘要：We analyze the determinants of a firm's ownership structure when decisions over risk are taken by majority vote of risk-averse shareholders. We show that when a fraction of small, diversified shareholders abstains from voting, mid-sized blockholders may emerge to mitigate the conflict of interests between one large shareholder, who prefers less risky investments, and these small, non-voting shareholders. The paper offers a novel explanation for the puzzling observation that many firms have mul...
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作者：Rostek, Marzena; Weretka, Marek
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium. Predictions match temporary and permanent price effects of supply shocks, order breakup, limits to arbitrage, nonneutrality of trading frequency, and real effects of shocks and announcements in periods other...
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作者：Huang, Dashan; Jiang, Fuwei; Tu, Jun; Zhou, Guofu
作者单位：Singapore Management University; Central University of Finance & Economics; Washington University (WUSTL)
摘要：We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices have both in and out of sample, and the predictability becomes both statistically and economically significant. In addition, it outperforms well-recognized macroeconomic variables and can also predict cross-sectional stock returns sorted b...
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作者：Tetlock, Paul C.
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作者：Carvalho, Daniel
作者单位：University of Southern California
摘要：This paper shows that during industry downturns, firms experience significantly greater valuation losses when their industry peers' long-term debt is maturing at the time of the shocks. Across a range of tests, the analysis addresses the endogenous determination of peer debt-maturity structure. Overall, the evidence suggests that the negative externalities financially constrained firms impose on their industry peers can significantly amplify the effects of industry downturns. The evidence also...
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作者：Hung, Mingyi; Li, Xi; Wang, Shiheng
作者单位：Hong Kong University of Science & Technology
摘要：We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms' financial-reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in ana...
