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作者：Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School
摘要：No. In the presence of speculative opportunities, investors can learn about both asset fundamentals and the beliefs of other traders. We show that this learning exhibits complementarity: learning more along one dimension increases the value of learning about the other. As a result, regulatory changes may be counterproductive. First, increasing transparency (i.e., making fundamental information cheaper to acquire) can make prices less informative when investors respond by learning relatively mo...
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作者：Plosser, Matthew C.; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：This paper investigates banks' incentive to bias the risk estimates they report to regulators. Within loan syndicates, we find that banks with less capital report lower risk estimates. Consistent with an effort to mitigate capital requirements, the sensitivity to capital is robust to bank fixed effects and greater for large, risky, and opaque credits. Also, low-capital banks' risk estimates have less explanatory power than those of high-capital banks with regard to loan prices, indicating that...
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作者：Duc Duy Nguyen; Hagendorff, Jens; Eshraghi, Arman
作者单位：University of St Andrews; University of Edinburgh
摘要：We exploit variation in the cultural heritage across U.S. CEOs who are the children or grandchildren of immigrants to demonstrate that the cultural origins of CEOs matter for corporate outcomes. Following shocks to industry competition, firms led by CEOs who are second-or third-generation immigrants are associated with a 6.2% higher profitability compared with the average firm. This effect weakens over successive immigrant generations and cannot be detected for top executives apart from the CE...
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作者：Back, Kerry; Crane, Alan D.; Crotty, Kevin
作者单位：Rice University; Rice University
摘要：Mutual funds seek alpha, but coskewness is also an important performance attribute. Coskewness of fund returns is associated with market timing, liquidity management, and derivative use. Measures of active management associated with positive alphas are also associated with undesirable coskewness. When controlling for other characteristics, coskewness is positively associated with activity measures related to market timing and negatively associated with activity measures related to stock pickin...
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作者：Jiang, Hao; Zheng, Lu
作者单位：Michigan State University; University of California System; University of California Irvine
摘要：We propose a new measure, active fundamental performance (AFP), to identify skilled mutual fund managers. AFP evaluates fund investment skills conditioned on the release of firms' fundamental information. For each fund, we examine the covariance between deviations of its portfolio weights from a benchmark portfolio and the underlying stock performance on days when firms publicize fundamental information. Because asset prices on these information days better reflect firm fundamentals, AFPcan mo...
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作者：Hoechle, Daniel; Ruenzi, Stefan; Schaub, Nic; Schmid, Markus
作者单位：FHNW University of Applied Sciences & Arts Northwestern Switzerland; University of Mannheim; University of St Gallen
摘要：We use a unique data set from a large retail bank containing internal managerial accounting data on revenues and costs per client to analyze how banks and their financial advisors generate profits with customers. We find that advised transactions are associated with higher profits than independently executed trades of the same client. The bank's own mutual funds and structured products are most profitable for the bank, and profits increase with trade size. We show that advisors recommend exact...
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作者：Stanton, Richard; Walden, Johan; Wallace, Nancy
作者单位：University of California System; University of California Berkeley
摘要：We develop a theoretical model of a network of intermediaries whose optimal behavior is jointly determined, leading to heterogeneous financial norms and systemic vulnerabilities. We apply the model to the network of U.S. mortgage intermediaries from 2005 to 2007, using a data set containing all private-label, fixed-rate mortgages, with loan flows defining links. Default risk was closely related to network position, evolving predictably among linked nodes, and loan quality estimated from the mo...
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作者：Choi, Jaewon; Kronlund, Mathias
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine reaching for yield in U.S. corporate bond mutual funds. We define reaching for yield as tilting portfolios toward bonds with yields higher than the benchmarks. We find that funds generate higher returns and attract more inflows when they reach for yield, especially in periods of low-interest rates. Returns for high reaching-for-yield funds nevertheless tend to be negative on a risk-adjusted basis. Funds engage in rank-chasing behavior by reaching for yield, although these incentives...
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作者：Gerakos, Joseph; Linnainmaa, Juhani T.
作者单位：Dartmouth College; University of Southern California; National Bureau of Economic Research
摘要：Firms move between growth and value because of changes in either size or book value of equity. The value premium is specific to variation in book-to-market that emanates from size changes. A factor based on this variation earns the entire value premium; one based on the remaining variation earns no premium. Hence, not all high book-to-market firms earn the value premium, and some low book-to-market firms earn value-like returns. Many models price portfolios sorted by size and book-to-market. N...
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作者：Wu, Yufeng
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：I study the driving forces behind dividend smoothing by developing a dynamic agency model in which dividends signal the earnings persistence of firms. In equilibrium, managers treat dividends and earnings as informational substitutes. They smooth dividends relative to earnings to smooth negative news releases and lower their turnover risk. Empirical estimates of the model parameters imply that 39% of observed dividend smoothness among U.S. firms is driven by managers' own career concerns, not ...
