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作者：Gargano, Antonio; Rossi, Alberto G.
作者单位：University of Melbourne; University System of Maryland; University of Maryland College Park
摘要：We employ a novel brokerage account data set to investigate which individual investors are the most attentive, how investors allocate their attention, and the relation between investor attention and performance. Attention is positively related to investment performance, at both the portfolio return level and the individual trades level. We provide evidence that the superior performance of high-attention investors arises because they purchase attentiongrabbing stocks whose positive performance ...
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作者：Chambers, David; Sarkissian, Sergei; Schill, Michael J.
作者单位：University of Cambridge; McGill University; Yerevan State University; University of Virginia
摘要：We study market segmentation effects using data on U.S. railroads that list their bonds in New York and London between 1873 and 1913. This sample provides a unique setting for such analysis because of the precision offered by bond yields in cost of capital estimation, the geography-specific nature of railroad assets, and ongoing substantial technological change. We document a significant reduction in market segmentation over time. While New York bond yields exceeded those in London in the 1870...
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作者：Varas, Felipe
作者单位：Duke University
摘要：I study managerial short-termism in a dynamic model of project development with hidden effort and imperfect observability of quality. The manager can complete the project faster by reducing quality. To preempt this behavior, the principal makes payments contingent on long-term outcomes. I analyze the dynamics of the optimal contract and its implications for the level of managerial turnover. I show that optimal contracts might be stationary and entail no termination. In general, I show that the...
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作者：Goyal, Amit; Jegadeesh, Narasimhan
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Emory University
摘要：We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net long investment in risky assets. For individual stocks, the difference between the performances of TS and CS strategies is largely due to this time-varying net long investment. With multiple international asset classes with heterogeneous return distributions, scaled CS strategies sig...
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作者：Hoberg, Gerard; Kumar, Nitin; Prabhala, Nagpurnanand
作者单位：University of Southern California; Indian School of Business (ISB); University System of Maryland; University of Maryland College Park
摘要：What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each fund. Second, we construct dynamic, fund-specific measures of competition and generate measures of skill as a fund's outperformance relative to its customized peers. Third, and finally, we show that ...
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作者：Boehmer, Ekkehart; Li, Dan; Saar, Gideon
作者单位：Singapore Management University; University of Hong Kong
摘要：We examine product differentiation in the high-frequency trading (HFT) industry, where the products are secretive proprietary trading strategies. We demonstrate how principal component analysis can be used to detect underlying strategies common to multiple HFT firms and show that there are three product categories with distinct attributes. We study how HFT competition in each product category affects the market environment and present evidence that indicates how it influences the short-horizon...
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作者：Han, Song; Keys, Benjamin J.; Li, Geng
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作者：Bennedsen, Morten; Zeume, Stefan
作者单位：University of Copenhagen; INSEAD Business School; University of Michigan System; University of Michigan
摘要：We investigate shareholders' reactions to the increased transparency of corporate tax haven activities in a hand-collected subsidiary data set covering 17,331 publicly listed firms in 52 countries. An increase in transparency through the staggered signing of bilateral tax information exchange agreements (TIEAs) between home countries and tax havens is associated with a 2.5% increase in the value of affected firms. The results are stronger for firms with more complex tax haven structures and we...
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作者：Gete, Pedro; Zecchetto, Franco
作者单位：Georgetown University; IE University; Instituto Tecnologico Autonomo de Mexico
摘要：We analyze the removal of the credit-risk guarantees provided by the government-sponsored enterprises (GSEs) in a model with agents heterogeneous in income and house price risk. We find that wealth inequality increases, driven by higher mortgage spreads and housing rents. Housing holdings become more concentrated. Foreclosures fall. The removal benefits high-income households, while hurting low-and mid-income households (renters and highly leveraged mortgagors with conforming loans). GSE refor...
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作者：Edmans, Alex; Goncalves-Pinto, Luis; Groen-Xu, Moqi; Wang, Yanbo
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London Business School; Chinese University of Hong Kong; University of London; London School Economics & Political Science; Sungkyunkwan University (SKKU)
摘要：We find that CEOs release 20% more discretionary news items in months in which they are expected to sell equity, predicted using scheduled vesting months. These vesting months are determined by equity grants made several years prior and thus unlikely to be driven by the current information environment. The increase arises for positive news, but not neutral or negative news, nor nondiscretionary news. News releases fall in the month before and month after the vesting month. News in vesting mont...
