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作者：Argyle, Bronson S.; Nadauld, Taylor D.; Palmer, Christopher J.
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We document three phenomena we jointly refer to as monthly payment targeting. First, using data from 500,000 used auto loans and discontinuities in contract terms offered by hundreds of lenders, we show that demand is more sensitive to maturity than to interest rate, consistent with consumers managing payment size when making debt decisions. Second, many consumers appear to employ segregated mental accounts, spending exogenous payment savings on larger loans. Third, consumers bunch at round nu...
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作者：Frenkel, Sivan
作者单位：Tel Aviv University
摘要：I analyze a dynamic model of over-the-counter asset sales in which the seller receives stock-sensitive compensation, and the transaction conveys information about the firm's value. I examine how the market's response to an asset sale feeds back to the seller's decision on the timing and the sale price and analyze the unique pattern of stock prices before and after the sale. The implications of bargaining power, inventories, gains from synergy, and the introduction of a vesting period are discu...
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作者：Chaieb, Ines; Errunza, Vihang; Brandon, Rajna Gibson
作者单位：University of Geneva; University of Geneva; McGill University
摘要：We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk...
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作者：Lin, Leming
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：I show that households' demand for retail deposits decreases during stock market booms, which induces a contraction in bank lending and a decrease in real activity in bank-dependent firms. I identify this channel using geographic heterogeneity in households' stock market participation. Banks in areas with greater stock ownership see a greater reduction in deposit growth when stock returns are high. This holds even across branches of the same bank and across ZIP codes within counties. Counties ...
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作者：Gipper, Brandon; Leuz, Christian; Maffett, Mark
作者单位：Stanford University; University of Chicago; National Bureau of Economic Research
摘要：This paper studies the impact of public audit oversight on financial reporting credibility. We analyze changes in market responses to earnings news after public audit oversight is introduced, exploiting that the regime onset depends on fiscal year-ends, auditors, and the rollout of auditor inspections. We find that investors respond more strongly to earnings news following public audit oversight. Corroborating these findings, we find an increase in volume responses to 10-K filings after the ne...
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作者：Gervais, Simon; Strobl, Gunter
作者单位：Duke University; University of Vienna
摘要：We construct and analyze the equilibrium of a model of delegated portfolio management in which money managers signal their investment skills via fund transparency. To lower the costs of transparency, high-skill managers rely on their performance to separate from low-skill managers over time. In contrast, medium-skill managers rely on transparency to separate, especially when it is difficult for investors to tell them apart through performance alone. Low-skill managers mimic high-skill managers...
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作者：Berg, Tobias; Burg, Valentin; Gombovic, Ana; Puri, Manju
作者单位：Frankfurt School Finance & Management; Humboldt University of Berlin; Technical University of Darmstadt; Duke University; National Bureau of Economic Research
摘要：We analyze the information content of a digital footprint-that is, information that users leave online simply by accessing or registering on a Web site-for predicting consumer default. We show that even simple, easily accessible variables from a digital footprint match the information content of credit bureau scores. A digital footprint complements rather than substitutes for credit bureau information and affects access to credit and reduces default rates. We discuss the implications for finan...
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作者：Spiegel, Matthew; Tookes, Heather
作者单位：Yale University
摘要：IPO firms' rivals tend to experience performance declines following an IPO in the industry. Why? We estimate a dynamic structural oligopoly model to distinguish between alternative theories that can explain an industry's evolution post-IPO. We find that most changes in rivals' performance are due to industry trends that also drive IPOs. However, we also find some competitive IPOs where the IPO enhances the IPO firm's performance at the expense of competitors. These findings help reconcile prio...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：We use the cross-section regression approach of Fama and MacBeth (1973) to construct cross-section factors corresponding to the time-series factors of Fama and French (2015). Time-series models that use only cross-section factors provide better descriptions of average returns than time-series models that use time-series factors. This is true when we impose constant factor loadings and when we use time-varying loadings that are natural for time-series factors and time-varying loadings that are ...
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作者：Daniel, Kent; Hirshleifer, David; Sun, Lin
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Irvine; George Mason University
摘要：We propose a theoretically motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors that capture long- and short-horizon mispricing. The long-horizon factor exploits the information in managers' decisions to issue or repurchase equity in response to persistent mispricing. The short-horizon earnings surprise factor, which is motivated by investor inattention and ev...
