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作者：Hou, Kewei; Xue, Chen; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; University System of Ohio; University of Cincinnati; National Bureau of Economic Research
摘要：An empirical -factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. A comprehensive examination of nearly 80 anomalies reveals that about one-half of the anomalies are insignificant in the broad cross section. More importantly, with a few exceptions, the -factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3-factor...
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作者：Huang, Xing
作者单位：Michigan State University
摘要：I use industry-level returns in foreign markets to examine the hypothesis that value-relevant foreign information slowly diffuses into the stock prices of U.S. multinational firms. A trading strategy that exploits foreign information generates abnormal returns of 0.8% monthly. I find that the market responds more slowly in periods with lower media coverage of foreign news and to information from more linguistically and culturally distant countries. These results suggest that both investors' in...
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作者：Tate, Geoffrey; Yang, Liu
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Maryland; University of Maryland College Park
摘要：We document differences in human-capital deployment between diversified and focused firms. We find that diversified firms have higher labor productivity and that they redeploy labor to industries with better prospects in response to changing opportunities. The opportunities and incentives provided in internal labor markets in turn affect the development of workers' human capital. We find that workers more frequently transition to other industries in which their diversified firms operate and wi...
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作者：Payzan-LeNestour, Elise; Bossaerts, Peter
作者单位：University of New South Wales Sydney; Utah System of Higher Education; University of Utah; University of Melbourne
摘要：Neoclassical finance assumes that investors are Bayesian. In many realistic situations, Bayesian learning is challenging. Here, we consider investment opportunities that change randomly, while payoffs are observable only when invested. In a stylized version of the task, we wondered whether performance would be affected if one were to follow reinforcement learning principles instead. The answer is a definite yes. When asked to perform our task, participants overwhelmingly learned in a Bayesian ...
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作者：Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK; New York University
摘要：We study the role of information in asset-pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In general, the short- and long-run components are unidentified. We propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from historical data....
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作者：Banerjee, Suman; Humphery-Jenner, Mark; Nanda, Vikram
作者单位：University of Wyoming; University of New South Wales Sydney; Rutgers University System; Rutgers University New Brunswick; University of Texas System; University of Texas Dallas
摘要：The literature posits that some CEO overconfidence benefits shareholders, though high levels may not. We argue that adequate controls and independent viewpoints provided by an independent board mitigates the costs of CEO overconfidence. We use the concurrent passage of the Sarbanes-Oxley Act and changes to the NYSE/NASDAQ listing rules (collectively, SOX) as natural experiments, to examine whether board independence improves decision making by overconfident CEOs. The results are strongly suppo...
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作者：Acharya, Viral V.; Lambrecht, Bart M.
作者单位：New York University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of Cambridge
摘要：We develop a theory of income and payout smoothing by firms when insiders know more about income than outside shareholders, but property rights ensure that outsiders can enforce a fair payout. Insiders set payout to meet outsiders' expectations and underproduce to manage future expectations downward. The observed income and payout process are smooth and adjust partially and over time in response to economic shocks. The smaller the inside ownership, the more severe underproduction is, resulting...
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作者：Shapiro, Joel; Skeie, David
作者单位：University of Oxford; Texas A&M University System; Texas A&M University College Station
摘要：A regulator resolving a bank faces two audiences: depositors, who may run if they believe the regulator will not provide capital, and banks, which may take excess risk if they believe the regulator will provide capital. When the regulator's cost of injecting capital is private information, it manages expectations by using costly signals: (1) a regulator with a low cost of injecting capital may forbear on bad banks to signal toughness and reduce risk taking, and (2) a regulator with a high cost...
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作者：Krishnan, Karthik; Nandy, Debarshi K.; Puri, Manju
作者单位：Northeastern University; Brandeis University; Duke University; National Bureau of Economic Research
摘要：We analyze how increased access to financing affects firm total factor productivity (TFP) by exploiting a natural experiment following interstate banking deregulations that increased access to bank financing. We find that firms' TFP increases after their states implement these deregulations. Using a regression discontinuity approach based on the Small Business Administration's funding eligibility criteria, we show that TFP increases following the deregulations are significantly greater for fin...
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作者：Rossi, Alberto G.; Timmermann, Allan
作者单位：University System of Maryland; University of Maryland College Park; University of California System; University of California San Diego
摘要：We propose a new method for constructing the hedge component in Merton's ICAPM that uses a daily summary measure of economic activity to track time-varying investment opportunities. We then use nonparametric projections to compute a robust estimate of the conditional covariance between stock market returns and our daily economic activity index. We find that the new conditional covariance risk measure plays an important role in explaining time variation in the equity risk premium. Specification...
