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作者：DeMiguel, Victor; Martin-Utrera, Alberto; Nogales, Francisco J.; Uppal, Raman
作者单位：University of London; London Business School; New Jersey Institute of Technology; Universidad Carlos III de Madrid; Universite Catholique de Lille; EDHEC Business School; Center for Economic & Policy Research (CEPR)
摘要：We investigate how transaction costs change the number of characteristics that are jointly significant for an investor's optimal portfolio and, hence, how they change the dimension of the cross-section of stock returns. We find that transaction costs increase the number of significant characteristics from 6 to 15. The explanation is that, as we show theoretically and empirically, combining characteristics reduces transaction costs because the trades in the underlying stocks required to rebalan...
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作者：Griffith, Todd G.; Van Ness, Robert A.
作者单位：Utah System of Higher Education; Utah State University; University of Mississippi
摘要：We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also fi...
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作者：Huang, Alan Guoming; Tan, Hongping; Wermers, Russ
作者单位：University of Waterloo; McGill University; University System of Maryland; University of Maryland College Park
摘要：We examine institutional trading surrounding corporate news by combining a comprehensive database of newswire releases on U.S. firms with a high-frequency database of institutional trades. To identify the ability of institutions to predict or quickly interpret news, we form news clusters of related news about a particular firm that occurs in rapid succession. We find that institutions chiefly trade on the tone of news directly after the earliest news release in a cluster, and such news-motivat...
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作者：Lustig, Hanno; Richmond, Robert J.
作者单位：National Bureau of Economic Research
摘要：We relate the risk characteristics of currencies to measures of physical, cultural, and institutional distance. Currencies of countries which are more distant from other countries are more exposed to systematic currency risk. This is due to a gravity effect in the factor structure of exchange rates: When a currency appreciates against a basket of other currencies, its bilateral exchange rate appreciates more against currencies of distant countries. As a result, currencies of peripheral countri...
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作者：Gryglewicz, Sebastian; Hartman-Glaser, Barney
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of California System; University of California Los Angeles
摘要：We analyze how the costs of smoothly adjusting capital, such as incentive costs, affect investment timing. In our model, the owner of a firm holds a real option to increase a lumpy form of capital and can also smoothly adjust an incremental form of capital. Increasing the cost of incremental capital can delay or accelerate investment in lumpy capital. Incentive costs due to moral hazard are a natural source of costs for the accumulation of incremental capital. When moral hazard is severe, dela...
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作者：Babina, Tania
作者单位：Columbia University
摘要：Using U.S. Census firm-worker data, I document that firms' financial distress has an economically important effect on employee departures to entrepreneurship. The impact is amplified in the high-tech and service sectors, where employees are key assets. In states with enforceable noncompete contracts, the effect is mitigated. Compared to typical entrepreneurs, distress-driven entrepreneurs are high-wage workers who found better firms, as measured by jobs, pay, and survival. Startup jobs compens...
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作者：Li, Qingyuan; Lin, Chen; Xu, Li
作者单位：Wuhan University; University of Hong Kong; Washington State University
摘要：Using a large panel of more than 140,000 state-owned enterprises (SOEs), this study examines SOEs' investment behavior surrounding 82 national elections in 25 European countries between 2001 and 2015. We find that SOEs increase their corporate investment by about 29% of the sample average during national election years. This effect is more pronounced in fixed timing and closely contested elections. The effect is also stronger in countries with low institutional quality, more centralized politi...
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作者：Gu, Shihao; Kelly, Bryan; Xiu, Dacheng
作者单位：University of Chicago; Yale University; National Bureau of Economic Research
摘要：We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premiums. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based strategies from the literature. We identify the best-performing methods (trees and neural networks) and trace their predictive gains to allowing nonlinear predictor interactions missed by other methods...
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作者：Brogaard, Jonathan; Dai, Lili; Ngo, Phong T. H.; Zhang, Bohui
作者单位：Utah System of Higher Education; University of Utah; University of New South Wales Sydney; Australian National University; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
摘要：We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political uncertainty on equity prices increases with the level of uncertainty in U.S. election outcomes and a country's equity market exposure to foreign investors, but does not vary with the country's internati...
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作者：Kadan, Ohad; Tang, Xiaoxiao
作者单位：Washington University (WUSTL); University of Texas System; University of Texas Dallas
摘要：We present a sufficient condition under which the prices of options written on a particular stock can be aggregated to calculate a lower bound on the expected returns of that stock. The sufficient condition imposes a restriction on a combination of the stock's systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a high-frequency basis. We estimate the bound empirically and study its cross-sectional properties. We find that the bound increases with beta...
