Review of Financial Studies

最新文章

• Climate Risk Disclosure and Institutional Investors AI翻译
  作者：Ilhan, Emirhan; Krueger, Philipp; Sautner, Zacharias; Starks, Laura T.
  作者单位：National University of Singapore; University of Geneva; Swiss Finance Institute (SFI); Frankfurt School Finance & Management; University of Texas System; University of Texas Austin
  摘要：Through a survey and analyses of observational data, we provide systematic evidence that institutional investors value and demand climate risk disclosures. The survey reveals the investors have a strong demand for climate risk disclosures, and many actively engage their portfolio firms for improvements. Empirical analyses of holdings data corroborate this evidence by showing a significantly positive association between climate-conscious institutional ownership and better firm-level climate ris...
• Neglected Peers in Merger Valuations AI翻译
  作者：Guo, Feng; Liu, Tingting; Tu, Danni
  作者单位：Iowa State University; Southern Illinois University System; Southern Illinois University
  摘要：Using novel merger valuation data, we show that firms selected by investment banks as comparable peers are more than twice as likely to later become takeover targets themselves compared to matched control firms. Peer firms not subsequently acquired attract more institutional ownership and analyst coverage, deliver strong operating performance, reduce investments, and increase payouts. Investors are inattentive, though, to peer identification at the time of merger filings' public disclosure. A ...
• Finding Fortune: How Do Institutional Investors Pick Asset Managers? AI翻译
  作者：Brown, Gregory W.; Gredil, Oleg R.; Kantak, Preetesh
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Tulane University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
  摘要：We propose and test a framework of private information acquisition and decision timing for asset allocators hiring outside investment managers. Using unique data on due diligence interactions between an institutional allocator and 860 hedge fund managers, we find that the production of private information complements public information. The allocator strategically chooses how much proprietary information to collect, reducing due diligence time by 18 months and improving outcomes. Funds selecte...
• The Design of Macroprudential Stress Tests AI翻译
  作者：Orlov, Dmitry; Zryumov, Pavel; Skrzypacz, Andrzej
  作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Rochester; Stanford University
  摘要：We study the design of stress tests that provide information about aggregate and idiosyncratic risk in banks' portfolios and impose contingent capital requirements. In the optimal static test, an adverse scenario fails all weak and some strong banks, limiting the stigma of failure. Sequential tests outperform static tests. Under natural conditions, the optimal sequential test consists of a precautionary recapitalization, followed by a scenario that fails only weak banks, similar to TARP in 200...
• Mandatory Financial Disclosure and M&A Activity AI翻译
  作者：Ortiz, Marcelo; Peter, Caspar David; Urzua, I. Francisco; Volpin, Paolo F.
  作者单位：Pompeu Fabra University; Barcelona School of Economics; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; City St Georges, University of London; Drexel University; City St Georges, University of London
  摘要：Taking advantage of the implementation of the 2003 European Commission (EC) directive on financial reporting, we explore the impact of mandatory financial disclosure on mergers and acquisitions (M & A). We find robust evidence that the number (and volume) of private firms becoming an M & A target increases with mandatory disclosure. Analyses of cross-industry differences, deal-level data, and post-deal performance indicate that financial disclosure increases M & A activity by reducing informat...
• Stock Market Stimulus AI翻译
  作者：Greenwood, Robin; Laarits, Toomas; Wurgler, Jeffrey
  作者单位：Harvard University; National Bureau of Economic Research
  摘要：We study the stock market effects of the arrival of the three rounds of stimulus checks to U.S. taxpayers and the single round of direct payments to Hong Kong citizens. The first two rounds of U.S. checks appear to have increased retail buying and share prices of retail-dominated portfolios. The Hong Kong payments increased overall turnover and share prices on the Hong Kong Stock Exchange. We cannot rule out that these price effects were permanent. The findings raise novel questions about the ...
• Labor Force Demographics and Corporate Innovation AI翻译
  作者：Derrien, Francois; Kecskes, Ambrus; Nguyen, Phuong-Anh
  作者单位：Hautes Etudes Commerciales (HEC) Paris; York University - Canada; York University - Canada
  摘要：Firms in younger labor markets produce more innovation. We establish this by instrumenting the current labor force with historical births in each local labor market in the United States. Analyses of firms and inventors allow us to rule out unobservable heterogeneity across local labor markets and firms, life cycles, and other effects. Corporate innovation in younger labor markets reflects the innovative characteristics of younger labor forces, and its market value is higher. Younger workers as...
• Rating Agency Fees: Pay to Play in Public Finance? AI翻译
  作者：Cornaggia, Jess; Cornaggia, Kimberly J.; Israelsen, Ryan
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Michigan State University; Michigan State University's Broad College of Business
  摘要：We examine the relationship between credit rating levels and rating agency fees in a public finance market in which rating agencies earn lower fees and face higher disclosure requirements relative to corporate bond and structured finance markets. Controlling for variation in the complexity of credit analysis at the issue level, we find evidence that rating agency conflicts of interest distort credit ratings in the municipal bond market. Unexpectedly expensive ratings are more likely downgraded...
• The Overnight Drift AI翻译
  作者：Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); Copenhagen Business School
  摘要：This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive and highly economically and statistically significant. Consistent with models of inventory risk, we demonstrate a strong relationship with order imbalances at the close of the preceding U.S. trading day. Rationalizing unconditionally positive overnight drift returns, we uncover an asymmetric reaction to demand shocks: market sell-offs generate robust po...
• Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases AI翻译
  作者：van Binsbergen, Jules H.; Han, Xiao; Lopez-Lira, Alejandro
  作者单位：National Bureau of Economic Research; University of Pennsylvania; Center for Economic & Policy Research (CEPR); University of London; State University System of Florida; University of Florida
  摘要：We introduce a real-time measure of conditional biases to firms' earnings forecasts. The measure is defined as the difference between analysts' expectations and a statistically optimal unbiased machine-learning benchmark. Analysts' conditional expectations are, on average, biased upward, a bias that increases in the forecast horizon. These biases are associated with negative cross-sectional return predictability, and the short legs of many anomalies contain firms with excessively optimistic ea...