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作者：Buss, Adrian; Sundaresan, Savitar
作者单位：Frankfurt School Finance & Management; Center for Economic & Policy Research (CEPR); Imperial College London
摘要：We identify a novel economic mechanism through which passive ownership positively affects informational efficiency in the cross-section of firms. Passive investors' inelastic demand lowers a firm's cost-of-capital, inducing it to take more risk. The higher cash flow variance, in turn, incentivizes active investors to acquire more precise private information, pushing up price informativeness for firms with high passive ownership. High passive ownership also implies higher stock prices and highe...
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作者：Kvaerner, Jens Soerlie
作者单位：Tilburg University
摘要：I analyze the inter vivo transfers and bequest decisions of 700,000 individuals during a period when the decision maker receives negative news regarding their life expectancy. The event that initiates the news is a health outcome. Expected mortality increases both the likelihood of transferring wealth to the next generation and the amount transferred. The size of the inter vivo transfer and bequest are positively related to the wealth of the parent and the severity of the diagnosis, regardless...
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作者：Lin, Tse-Chun; Pursiainen, Vesa
作者单位：University of Hong Kong; National Taiwan University; University of St Gallen; Swiss Finance Institute (SFI)
摘要：Stock returns during the week are negatively associated with the reported incidence of domestic violence during the weekend. This relationship is primarily driven by negative returns. The incidence of domestic violence increases with the magnitude of losses, and the effect increases with local stock market participation. Our findings suggest that negative wealth shocks caused by stock market crashes can affect stress levels within intimate relationships, escalate arguments, and trigger domesti...
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作者：Converse, Nathan; Levy-Yeyati, Eduardo; Williams, Tomas
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Universidad Torcuato Di Tella; George Washington University
摘要：We study how the growth of exchange-traded funds (ETFs) affects the sensitivity of international capital flows to the global financial cycle. Using comprehensive fund-level data on investor flows, we show that their sensitivity to global financial conditions for equity (bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This higher sensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele that trades more often in response to shocks. Using ...
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作者：Brown, Gregory W.; Ghysels, Eric; Gredil, Oleg R.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Centre for Economic Policy Research - UK; Tulane University
摘要：We estimate unsmoothed private equity net asset values (NAVs) at weekly frequency for individual funds. Using simulations and large samples of buyout and venture funds, we show that our method yields superior estimates of NAVs relative to simple approaches based on extrapolation of reported NAVs. The market beta of an average buyout (venture) fund is around 1.0 (1.4), and the total risk is 33% (4%) per year. The risk-return profile of the funds varies significantly over time and across funds. ...
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作者：Argyle, Bronson; Nadauld, Taylor; Palmer, Christopher
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We show that search frictions in credit markets affect accepted interest rates and loan sizes and distort consumption. Using data on car loan applications and originations not intermediated by car dealers, we isolate quasi-exogenous variation in both the costs and benefits to searching for credit. After identifying lender-specific policies that price risk discontinuously, we study the differential response to offered interest rates by borrowers who face high and low search costs. High-search-c...
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作者：Du, Wenxin; Hebert, Benjamin; Huber, Amy Wang
作者单位：University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research; Stanford University
摘要：Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a forward CIP trading strategy that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy's risk substantially contribute...
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作者：Hong, Harrison; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We model the welfare consequences of mandates that restrict investors to hold firms with net-zero carbon emissions. To qualify for these mandates, value-maximizing firms have to accumulate decarbonization capital. Qualification lowers a firm's required return by its decarbonization investments divided by Tobin's q, that is, the greenium or the dividend yield shareholders forgo to address the global-warming externality. The welfare-maximizing mandate approximates the first-best solution, yieldi...
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作者：Abel, Andrew B.; Panageas, Stavros
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：For a firm that cannot raise external funds, cash on hand serves as precautionary saving. We derive a closed-form expression for the target level of cash on hand in the presence of persistent cash flows. Contrary to conventional wisdom, a mean-preserving increase in the volatility of cash flow can decrease this target. Over the set of admissible parameter values, the average impact of volatility on the target is zero. Endogenous selection, reflecting termination of firms that run out of cash, ...
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作者：Xiong, Yan; Yang, Liyan
作者单位：Hong Kong University of Science & Technology; University of Toronto; Peking University
摘要：We study the observability of investors' information-acquisition activities in financial markets. Improving observability leads to two strategic effects on information acquisition: (1) the pricing effect, which arises from interactions between investors and the market maker and can encourage or discourage information acquisition, and (2) the competition effect, which concerns interactions among investors and always encourages information acquisition. We apply our theory to study voluntary and ...
