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作者：Camanho, Nelson; Hau, Harald; Rey, Helene
作者单位：University of London; Queen Mary University London; University of Geneva; Centre for Economic Policy Research - UK; Swiss Finance Institute (SFI); University of London; London Business School; National Bureau of Economic Research
摘要：We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies. Our equilibrium model of incomplete foreign exchange (FX) risk trading where exchange rate risk partially segments international equity markets is consistent with the observed dynamics of equity returns, exchange rates, and fund-level capital flows. We document that rebalancing is more intense under higher FX volatility and find heter...
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作者：Benetton, Matteo; Bracke, Philippe; Cocco, Joao F.; Garbarino, Nicola
作者单位：University of California System; University of California Berkeley; Bank of England; University of London; London Business School; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; University of Munich
摘要：We exploit a U.K. government-sponsored product and provide evidence on shared equity mortgages. The analysis shows how the interaction of house price growth and leverage regulation promotes product adoption. Following an increase in the equity limit, households use the additional financing to buy more expensive properties rather than reduce leverage. Equity used as a complement to debt is likely less beneficial for financial stability than when used as a substitute. Equity borrowers are less l...
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作者：Gottlieb, Joshua D.; Townsend, Richard R.; Xu, Ting
作者单位：University of Chicago; National Bureau of Economic Research; University of California System; University of California San Diego; University of Virginia
摘要：Do potential entrepreneurs remain in wage employment because of concerns that they will face worse job opportunities should their entrepreneurial ventures fail? Using a Canadian reform that extends job-protected leave to one year for women giving birth after a cutoff date, we study whether the option to return to a previous job increases entrepreneurship. A regression discontinuity design reveals that a longer job-protected leave increases entrepreneurship by 1.9 percentage points. These entre...
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作者：Bird, Andrew; Ertan, Aytekin; Karolyi, Stephen A.; Ruchti, Thomas G.
作者单位：Chapman University System; Chapman University; University of London; London Business School; United States Department of the Treasury; Office of the Comptroller of the Currency; Carnegie Mellon University
摘要：To meet short-term benchmarks, lenders may alter their monitoring behavior, providing a channel for short-termism to spill over to their borrowers. We find that short-termist lenders are significantly more likely to enforce covenant breaches. This behavior is pronounced when performance benchmarks are precise or salient, and when managers have high pay-performance sensitivity, but not when they face strong shareholder governance. Affected borrowers are more likely to switch lenders, pay higher...
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作者：Huang, Simon
作者单位：University of Massachusetts System; University of Massachusetts Amherst
摘要：The formation period return difference between past winners and losers, which I call the momentum gap, negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one-standard-deviation increase in the momentum gap predicts a 1.25% decrease in the monthly momentum return after controlling for existing predictors. This predictability extends up to 5 years for static momentum portfolios, consistent with time...
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作者：Banerjee, Snehal; Breon-Drish, Bradyn
作者单位：University of California System; University of California San Diego
摘要：We study how dynamic research affects information acquisition in financial markets. In our strategic trading model, the trader performs costly research to generate private information but does not always succeed. Optimal research activity responds to market conditions and generates novel implications. First, more frequent public disclosures can crowd in private information acquisition, increase price informativeness, and harm liquidity, instead of leveling the playing field. Second, observed r...
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作者：Egan, Mark; Ge, Shan; Tang, Johnny
作者单位：Harvard University; National Bureau of Economic Research; New York University; Harvard University
摘要：We examine the variable annuity market to study conflicts of interest and the effect of fiduciary duty in brokerage markets. Insurers typically pay brokers higher commissions for selling more expensive annuities. Our results indicate that sales are four times as sensitive to brokers' interests as to investors'. To limit conflicts of interest, the Department of Labor proposed a rule in 2016 holding brokers to a fiduciary standard. We find that after the proposal, sales of high-expense products ...
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作者：Bauer, Rob; Eberhardt, Inka; Smeets, Paul; Cohen, Lauren
作者单位：Maastricht University; University of New South Wales Sydney
摘要：To understand what motivates individuals to look at their pension situation and make adequate savings decisions, we conduct two field experiments with 226,946 and 257,433 pension fund participants. We find peer-information statements do not increase the rate at which individuals check their pension information, but lottery-type financial incentives do. Offering a few large prizes rather than many small prizes is most effective. However, the uptake of pension information does not lead to improv...
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作者：Delikouras, Stefanos; Dittmar, Robert F.
作者单位：University of Miami; University of Michigan System; University of Michigan
摘要：We investigate the empirical implications of the investment-based model of asset pricing for the Hansen-Jagannathan and Kozak-Nagel-Santosh discount factors in the linear span of equity returns. We find that the stochastic discount factors satisfying the Euler equation for equity returns cannot satisfy the Euler equation for investment returns because returns on corporate investment covary inversely with the sources of equity risk relative to returns on equity. As a result, the model fails to ...
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作者：Burkart, Mike; Lee, Samuel
作者单位：University of London; London School Economics & Political Science; Swedish House of Finance; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Santa Clara University
摘要：We compare activism and takeovers from the perspective of a blockholder who can provide effort to improve firm value. We show that free-riding behavior by dispersed shareholders has the following implications: First, activism can be more profitable than a hostile takeover even if it is less efficient. Second, activism is most efficient when it brokers, rather than substitutes for, takeovers. Third, such takeover activism earns superior returns. More broadly, our theory implies that activists s...
