Review of Financial Studies

最新文章

• Proxy Advisory Firms and Corporate Shareholder Engagement AI翻译
  作者：Dey, Aiyesha; Starkweather, Austin; White, Joshua T.
  作者单位：Harvard University; University of Tennessee System; University of Tennessee Knoxville; Vanderbilt University
  摘要：We study how Institutional Shareholder Services (ISS) affect firms' engagement with shareholders. Our analyses exploit a quasi-natural experiment using say-on-pay voting outcomes near a threshold that triggers ISS to review engagement activities. Firms receiving ISS treatment exhibit swift and substantive increases in extensive and intensive margins of engagement, especially when their boards have higher agency conflicts and directors are more likely to lose voting support from ISS. Increases ...
• The Value of ETF Liquidity AI翻译
  作者：Khomyn, Marta; Putnins, Talis; Zoican, Marius
  作者单位：University of Adelaide; University of Technology Sydney; University of Calgary; University of Toronto
  摘要：We analyze how ETFs compete. Drawing on a new model and empirical analysis, we show that ETF secondary market liquidity plays a key role in determining fees. More liquid ETFs for a given index charge higher fees and attract short-horizon investors who are more sensitive to liquidity than to fees. Higher turnover from these investors sustains the ETF's high liquidity, allowing the ETF to extract a rent through its fee, and creating a first-mover advantage. Liquidity segmentation through cliente...
• Size Discount and Size Penalty: Trading Costs in Bond Markets AI翻译
  作者：Pinter, Gabor; Wang, Chaojun; Zou, Junyuan
  作者单位：Bank for International Settlements (BIS); University of Pennsylvania; INSEAD Business School
  摘要：We show that larger trades incur lower trading costs in government bond markets (size discount), but costs increase in trade size after controlling for client identity (size penalty). The size discount is driven by the cross-client variation of larger traders obtaining better prices, consistent with theories of trading with imperfect competition. The size penalty, driven by the within-client variation, is larger for corporate bonds, during major macroeconomic surprises and during COVID-19. The...
• Disclosure of Bank-Specific Information and the Stability of Financial Systems AI翻译
  作者：Dai, Liang; Luo, Dan; Yang, Ming
  作者单位：The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen; Chinese University of Hong Kong; University of London; University College London; University of London; University College London
  摘要：We find that disclosing bank-specific information reallocates systemic risk, but whether it mitigates systemic bank runs depends on the nature of information disclosed. Disclosure reveals banks' resilience to adverse shocks and shifts systemic risk from weak to strong banks. Yet, only disclosure of banks' exposure to systemic risk can mitigate systemic bank runs because it shifts systemic risk from more vulnerable banks to those less vulnerable. Disclosure of banks' idiosyncratic shortfalls of...
• The Coholding Puzzle: New Evidence from Transaction-Level Data AI翻译
  作者：Gathergood, John; Olafsson, Arna
  作者单位：University of Nottingham; Danish Finance Institute; Copenhagen Business School; Centre for Economic Policy Research - UK
  摘要：Why do individuals pay debt interest when they could use their savings to pay down the debt? We explore why individuals cohold debt and savings using detailed and highly disaggregated daily-level data on household finances. We find that coholding mostly occurs in short spells within the month and the level of coholding is typically modest. Periods of coholding are not associated with shocks at the individual level. We show that mental accounting has a role to play in explaining coholding, in p...
• Climate Change and Adaptation in Global Supply-Chain Networks AI翻译
  作者：Pankratz, Nora M. C.; Schiller, Christoph M.
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Arizona State University; Arizona State University-Tempe
  摘要：This paper examines how physical climate exposure affects firm performance and global supply chains. We document that heat at supplier locations reduces the operating income of suppliers and their customers. Further, customers respond to perceived changes in suppliers' exposure: when suppliers' realized exposure exceeds ex ante expectations, customers are 7% more likely to terminate supplier relationships. Consistent with experience-based learning, this effect increases with signal strength an...
• The Role of Intermediaries in Selection Markets: Evidence from Mortgage Lending AI翻译
  作者：Allen, Jason; Clark, Robert; Houde, Jean-Francois; Li, Shaoteng; Trubnikova, Anna
  作者单位：University of Wisconsin System; University of Wisconsin Madison; Queens University - Canada; Bank of Canada; Cornerstone Research
  摘要：We study the role of brokers in selection markets. We find broker-clients in the Canadian mortgage market are observationally different from branch-clients. They finance larger loans with more leverage and longer amortization. We build and estimate a model of mortgage demand to disentangle three possible explanations for these riskier product choices: (1) selection on observables, (2) unobserved borrower preferences for riskier loans, and (3) a causal effect of brokers. Although we find that b...
• Credit Cycles, Expectations, and Corporate Investment AI翻译
  作者：Gulen, Huseyin; Ion, Mihai; Jens, Candace E.; Rossi, Stefano
  作者单位：Purdue University System; Purdue University; University of Arizona; Syracuse University; Bocconi University
  摘要：We provide a systematic empirical assessment of the Minsky hypothesis that business fluctuations stem from irrational swings in expectations. Using predictable firm-level forecast errors, we build an aggregate index of irrational expectations and use it to provide three sets of results. First, we show that our index predicts aggregate credit cycles. Next, we show that these predictable credit cycles drive cycles in firm-level debt issuance and investment and similar cycles between financially ...
• Fractional Trading AI翻译
  作者：Da, Zhi; Fang, Vivian W.; Lin, Wenwei
  作者单位：University of Notre Dame; Indiana University System; Indiana University Bloomington; European Corporate Governance Institute; The Chinese University of Hong Kong, Shenzhen
  摘要：Fractional trading (FT)-the ability to trade less than a whole share-removes barriers to high-priced stocks and facilitates entry by capital-constrained retail investors. We observe a surge of tiny trades, measured using off-exchange one-share trades, among high-priced stocks compared to low-priced stocks after FT is introduced to the U.S. equity markets. These tiny trades, when coordinated during attention-grabbing events, are forceful enough to exert large price pressure on high-priced stock...
• Corporate Loan Spreads and Economic Activity AI翻译
  作者：Saunders, Anthony; Spina, Alessandro; Steffen, Sascha; Streitz, Daniel
  作者单位：New York University; Copenhagen Business School; University of Technology Sydney; Frankfurt School Finance & Management; Centre for Economic Policy Research - UK; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Friedrich Schiller University of Jena
  摘要：We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loan-market prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. We also explore the underlying mechanisms and differentiate between borrower fu...