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作者：Goldman, Jim
作者单位：University of Toronto
摘要：I document a beneficial effect of the government's participation in product markets. Exploiting the 2008-2009 financial crisis as a natural experiment, I show that federal procurement contracts insulated government contractors' performance from the crisis. By 2009, government contractors had 15% higher market capitalization, had 18% higher capital expenditures, and received 26% more bank credit than did similar firms. This stabilizing effect, in turn, spilled over into neighboring firms. An av...
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作者：Johnson, Travis L.; Kim, Jinhwan; So, Eric C.
作者单位：University of Texas System; University of Texas Austin; Stanford University; Massachusetts Institute of Technology (MIT)
摘要：We establish a link between firms managing investors' performance expectations, earnings announcement premiums, and cyclical patterns (i.e., seasonalities) in returns. Firms that are more likely to manage expectations toward beatable levels predictably earn lower returns before, and higher returns during, their earnings announcements. This pattern repeats across firms' fiscal quarters, suggesting firms manufacture positive surprises by negatively biasing investors' expectations ahead of announ...
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作者：Howell, Sabrina T.; Niessner, Marina; Yermack, David
作者单位：New York University; National Bureau of Economic Research; New York University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Initial coin offerings (ICOs) have emerged as a new mechanism for entrepreneurial finance, with parallels to initial public offerings, venture capital, and presale crowdfunding. In a sample of more than 1,500 ICOs that collectively raise $12.9 billion, we examine which issuer and ICO characteristics predict successful real outcomes (increasing issuer employment and avoiding enterprise failure). Success is associated with disclosure, credible commitment to the project, and quality signals. An i...
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作者：Andrikogiannopoulou, Angie; Papakonstantinou, Filippos
作者单位：University of London; King's College London
摘要：Using trading data from a sports wagering market, we estimate individuals' dynamic risk preferences within a prospect theory paradigm. This market's experimental-like features facilitate preference estimation, and our long panel enables us to study whether preferences vary across individuals and depend on earlier outcomes. Our estimates extend support for experimental findings-mild utility curvature, moderate loss aversion, and probability overweighting of extreme outcomes-to a market setting ...
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作者：Kalda, Ankit
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作者：Saadi, Vahid
作者单位：IE University
摘要：This paper studies the role of the Community Reinvestment Act (CRA) in the U.S. housing boom-bust cycle. I find that enhancedCRAenforcement in 1998 increased the growth rate of mortgage lending by CRA-regulated banks to CRA-eligible census tracts. I showthat during the boom period house price growth was higher in the eligible census tracts because of the shift in mortgage supply of regulated banks. Consequently, these census tracts experienced a worse housing bust. I find that CRA-induced mort...
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作者：Boloorforoosh, Ali; Christoffersen, Peter; Fournier, Mathieu; Gourieroux, Christian
作者单位：Concordia University - Canada; University of Toronto; Copenhagen Business School; Universite de Montreal; HEC Montreal; Institut Polytechnique de Paris; ENSAE Paris
摘要：We develop a conditional capital asset pricing model in continuous time that allows for stochastic beta exposure. When beta comoves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The model predicts that low-beta stocks earn high returns, because their beta positively comoves with market variance and the SDF. The opposite is true for high-beta stocks. Estimating the model on equity an...
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作者：Brunnermeier, Markus; Rother, Simon; Schnabel, Isabel
作者单位：National Bureau of Economic Research; Princeton University; National Bureau of Economic Research; Princeton University; Center for Economic & Policy Research (CEPR); University of Bonn; University of Bonn; Leibniz Association; Ifo Institut; Max Planck Society; Max Planck Society; University of Bonn
摘要：We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost 30 years. Banks' systemic risk already rises during a bubble's buildup and even more so during its bust. The increase in risk strongly differs across banks and by bubble. It depends on bank characteristics (especially bank size) and bubble characteristics and can become very large: in a median real estate bust, systemic risk increases by almost 70% of the median for banks with unfav...
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作者：Haliassos, Michael; Jansson, Thomas; Karabulut, Yigitcan
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作者：Weitzel, Utz; Huber, Christoph; Huber, Juergen; Kirchler, Michael; Lindner, Florian; Rose, Julia
作者单位：Vrije Universiteit Amsterdam; Radboud University Nijmegen; University of Innsbruck; Max Planck Society
摘要：The efficiency of financial markets and their potential to produce bubbles are central topics in academic and professional debates. Yet, little is known about the contribution of financial professionals to price efficiency. We run 116 experimental markets with 412 professionals and 502 students. We find that professional markets with bubble drivers - capital inflows or high initial capital supply - are susceptible to bubbles, although they are more efficient than student markets. In mixed mark...
