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作者：Hombert, Johan; Lyonnet, Victor
作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK; University System of Ohio; Ohio State University
摘要：We study how retail savings products can share market risk across investor cohorts, thereby completing financial markets. Financial intermediaries smooth returns by varying reserves, which are passed on between successive investor cohorts, thereby redistributing wealth across cohorts. Using data on euro contracts sold by life insurers in France, we estimate this redistribution to be large: 0.8% of GDP. We develop and provide evidence for a model in which low investor sophistication, while lead...
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作者：Dougal, Casey; Parsons, Christopher A.; Titman, Sheridan
作者单位：State University System of Florida; Florida State University; University of Southern California; University of Texas System; University of Texas Austin
摘要：Over the last 20 years, the stock market indicates that value creation has become heavily concentrated in a few headquarter cities. At the same time, firms in value-creating cities have experienced declines in their profitability, because of large increases in wages and rents. Our findings thus highlight the difference between flow-based (e.g., operating profits) and stock-based (e.g., securities prices) indicators of local productivity. Conventional proxies for a city's appeal to high value-a...
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作者：Golez, Benjamin; Goyenko, Ruslan
作者单位：University of Notre Dame; McGill University
摘要：We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for high-beta stocks and stocks that are more difficult to sell short. In the cross-section of all stocks and the subset of the 500 largest companies, high disagreement robustly predicts low monthly and weekly...
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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); Johns Hopkins University
摘要：We show that a new measure of buy-side competition explains momentum profits. The momentum quintile spread is 1.11% when competition is low and negligible when competition is high. Better alphas are attained with superior Sharpe and Sortino ratios, with no negative skewness, and in more investible strategies featuring value-weighted portfolios and large capitalization stocks. Stock characteristics traditionally related to momentum do not explain our results. Tests based on long-term reversals,...
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作者：Chernenko, Sergey; Erel, Isil; Prilmeier, Robert
作者单位：Purdue University System; Purdue University; University System of Ohio; Ohio State University; National Bureau of Economic Research; Tulane University
摘要：Analyzing hand-collected credit agreements for a sample of middle-market firms over 2010-2015, we find that one-third of all loans are directly extended by nonbank financial intermediaries. Two-thirds of such nonbank lending can be attributed to bank regulations that constrain banks' ability to lend to unprofitable and highly levered borrowers. Firms with negative EBITDA and debt/EBITDA greater than six are 32% and 15% more likely to borrow from nonbanks. These firms pay significantly higher i...
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作者：Celik, Murat Alp; Tian, Xu; Wang, Wenyu
作者单位：University of Toronto; University System of Georgia; University of Georgia; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Acquiring innovation through M&A is subject to information frictions, as assessing the value of innovative targets is a challenging task. We find an inverted U-shaped relation between firm innovation and takeover exposure; equity usage increases with target innovation; and the deal completion rate drops with innovation. We develop and estimate a model of acquiring innovation under information frictions, featuring endogenous merger, innovation, and offer composition decisions. Our estimates sug...
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作者：Brown, James R.; Martinsson, Gustav; Thomann, Christian
作者单位：Iowa State University; Royal Institute of Technology; Stockholm School of Economics
摘要：Higher country taxes on noxious manufacturing emissions lead to substantial increases in firms' R&D spending. The R&D response is entirely driven by those high-pollution firms most affected by emissions taxes. Pollution taxes increase the marginal value of R&D spending in polluting firms, even when this spending does not lead to new innovation. Pollution taxes have the strongest effect on R&D investment in sectors in which new invention is difficult to appropriate and outside knowledge is easi...
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作者：Eisdorfer, Assaf; Froot, Kenneth; Ozik, Gideon; Sadka, Ronnie
作者单位：University of Connecticut; Harvard University; Universite Catholique de Lille; EDHEC Business School; Boston College
摘要：This paper demonstrates that value-relevant information about a firm appearing in regulatory disclosures of other firms is overlooked by investors. Firms highly mentioned in the 10-K competition section of other firms tend to outperform with risk-adjusted returns of up to 9% annually. Outperformance is concentrated in firms whose competition references are made in the context of targeting rather than admiration. Consistent with investor inattention, abnormal returns stem from cross-sector comp...
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作者：Farboodi, Maryam; Matray, Adrien; Veldkamp, Laura; Venkateswaran, Venky
作者单位：Massachusetts Institute of Technology (MIT); Princeton University; Columbia University; New York University
摘要：Since the finance industry is transforming into a data industry, measuring the quantity of data investors have about various assets is important. Informed by a structural model, we develop such a cross-sectional measure. We show how our measure differs from price informativeness and use it to document a new fact: data about large high-growth firms is becoming increasingly abundant, relative to data about other firms. Our structural model offers an explanation for this data divergence: large hi...
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作者：Magnani, Jacopo; Rabanal, Jean Paul; Rud, Olga A.; Wang, Yabin
作者单位：emlyon business school; Centre National de la Recherche Scientifique (CNRS); Universitetet i Stavanger; Hong Kong Monetary Authority (HKMA)
摘要：We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (1) nonpooled with 2(T) terminal states and (2) pooled with T+1 unique terminal states. The results suggest that, within each environment, efficiency is lower in a static format and when the number of final states is larger. In the nonpooled dynamic task, w...
