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作者：Chen, Hailiang; Hwang, Byoung-Hyoun; Peng, Zhuozhen
作者单位：University of Hong Kong; Nanyang Technological University; Central University of Finance & Economics
摘要：Our paper examines analyst reports and online stock opinion articles which recommend buying stocks that, based on the literature, trade at high prices and earn low future returns (short-leg securities). Using a textual analysis, we test whether the justifications primarily (1) emphasize safe-haven qualities, (2) indicate exuberance, or (3) highlight lottery-like features. Our results strongly point to (3). We subsequently validate our text-based inferences through a survey of institutional and...
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作者：Hillenbrand, Sebastian
作者单位：Harvard University
摘要：This paper documents a striking fact: a narrow window around Fed meetings captures the entire secular decline in U.S. Treasury yields. Yield movements outside this window are transitory and wash out over time. This is surprising because the forces behind the secular decline are thought to be independent of monetary policy. Long-term bond yields decline when the Fed cuts the short rate and when the Fed lowers its long-run forecast of the federal funds rate (the dot plot). These results are cons...
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作者：Naaraayanan, S. Lakshmi; Sachdeva, Kunal; Sharma, Varun
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of Michigan System; University of Michigan; Indiana University System; Pennsylvania State System of Higher Education (PASSHE); Indiana University Bloomington; Indiana University of Pennsylvania
摘要：We study the real effects of environmental activist investing. Using plant-chemical-level data, we find that targeted firms reduce their production-related emissions. Air quality improvements in the vicinity of targeted plants suggest potentially significant externalities for local economies. Reductions come from increased abatement expenditures and on-site source reduction initiatives, which negatively affect the financial performance of targeted firms. We rule out alternative explanations, i...
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作者：Terovitis, Spyros; Vladimirov, Vladimir
作者单位：University of Amsterdam
摘要：By aggregating information into stock prices, financial markets help guide the allocation of resources. We show that speculators without information about firms' fundamentals can exploit this role of prices and profit from inflating firm valuations. Uninformed speculation is profitable because high valuations attract employees, business partners, and investors, creating value at targeted firms at the cost of diverting resources from better firms. Both large and small speculators, without pre-e...
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作者：Cho, Thummim; Grotteria, Marco; Kremens, Lukas; Kung, Howard
作者单位：Korea University; University of London; London Business School; Centre for Economic Policy Research - UK; University of Washington; University of Washington Seattle
摘要：We introduce a present-value identity relating a firm's market value to expected future markups, output growth, discount rates, and investments. Distinguishing current from expected markups reveals five empirical facts: (1) Expected markups account for half the rise in U.S. firm values since 1980. (2) The rise in aggregate expected markups reflects market-share reallocation toward high-expected-markup firms and within-firm increases. (3) Expected markups are linked to intangible investments. (...
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作者：Neuhann, Daniel; Sefidgaran, Seyedmahyar (mayar); Sockin, Michael
作者单位：University of Texas System; University of Texas Austin; Baylor University
摘要：We examine how portfolio regulations affect risk sharing between financial institutions with market power. Unconstrained access to complete markets permits flexible exploitation of market power and induces inefficient risk sharing. Appropriate portfolio restrictions counteract this, improving liquidity and risk sharing by bundling securities with offsetting strategic incentives. However, excessive regulation can be counterproductive, destroying gains from trade. An application of our theory sh...
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作者：Lowry, Michelle; Wang, Pingle; Wei, Kelsey D.
作者单位：Drexel University; University of Texas System; University of Texas Dallas
摘要：Environmental, social, and governance (ESG) funds have heterogeneous incentives to engage with portfolio firms. If funds view ESG as a value driver, then these incentives will affect funds' behavior and thus their impact on firms. We compare ESG funds with similar levels of ESG investments but different incentives to engage. Funds with higher incentives to engage, that is, committed ESG funds, conduct more ESG-related information acquisition, pursue longer term investment strategies, engage mo...
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作者：Davila, Eduardo; Parlatore, Cecilia
作者单位：Yale University; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
摘要：We identify and estimate price informativeness, a necessary step in testing theories of information aggregation. Starting from a pricing equation and a stochastic process for payoffs, we show how to recover relative price informativeness from regressions of asset price changes on changes in payoffs. Applying our identification results, we estimate a panel of stock-specific measures of informativeness for U.S. stocks. In the cross-section, large stocks with high turnover, idiosyncratic volatili...
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作者：He, Li; Whited, Toni M.
作者单位：Universite Catholique de Lille; EDHEC Business School; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：Why do so few women become CEOs? To understand this glass ceiling, we estimate a dynamic model of the CEO gender decision, which contains perceived gender productivity differences, search costs reflecting limited female labor supply, and employer disutility from discrimination. The key factor is the shortage of suitable female candidates, as boards prefer hiring women, and productivity differences between genders are minimal. We find no evidence of a glass cliff in which women become CEOs just...
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作者：Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; Li, Shuaiqi; Mo, Haitao
作者单位：University System of Maryland; University of Maryland College Park; Iowa State University; City University of Hong Kong; University of Kansas
摘要：We develop a model-free measure of the variance premium by constructing option portfolios whose returns are highly correlated with realized stock variance. This effectively decomposes returns into realized variance minus implied variance. We apply this decomposition to document a novel quarterly cross-sectional continuation pattern in both realized variance and implied variance of individual stocks. Implied variance underanticipates the seasonality of realized variance, so options that perform...
