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作者：Bansal, Ravi; (Andrew) Wu, Di; Yaron, Amir
作者单位：Duke University; National Bureau of Economic Research; University of Michigan System; University of Michigan; University of Pennsylvania
摘要：We investigate the time variability of abnormal returns from socially responsible investing (SRI). Using portfolio regressions and event studies on multiple data sources, including analyst ratings, firm announcements, and realized incidents, we find that highly rated SRI stocks outperform lowly rated SRI stocks during good economic times, for example, periods with high market valuations or aggregate consumption, but underperform during bad times, such as recessions. This variation in abnormal ...
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作者：Medhat, Mamdouh; Schmeling, Maik
作者单位：City St Georges, University of London; Goethe University Frankfurt; Centre for Economic Policy Research - UK
摘要：We document a striking pattern in U.S. and international stock returns: double sorting on the previous month's return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reco...
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作者：Mitton, Todd
作者单位：Brigham Young University
摘要：I document large variation in empirical methodology in corporate finance regressions in top finance journals. Although methodological variation allows for customization of empirical tests to fit specific theories, it can also enable excessive reporting of statistically significant results. For example, given discretion over 10 routine methodological decisions, a researcher could report that over 70% of randomly generated variables are statistically significant determinants of leverage at the 5...
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作者：Chaigneau, Pierre; Edmans, Alex; Gottlieb, Daniel
作者单位：Queens University - Canada; University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of London; London School Economics & Political Science
摘要：The informativeness principle states that a contract should depend on informative signals. This paper studies how it should do so. Signals indicating that the output distribution has shifted to the left (e.g., weak industry performance) reduce the threshold for the manager to be paid; those indicating that output is a precise measure of effort (e.g., low volatility) decrease high thresholds and increase low thresholds. Surprisingly, good signals of performance need not reduce the threshold. Ap...
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作者：Keys, Benjamin J.; Mahoney, Neale; Yang, Hanbin
作者单位：University of Pennsylvania; National Bureau of Economic Research; Stanford University; Harvard University
摘要：We use credit report data to study consumer financial distress in America. We report large, persistent disparities in financial distress across regions. To understand these patterns, we conduct a movers analysis. For collections and default, there is only weak convergence following a move, suggesting these types of distress are not primarily caused by place-based factors (e.g., local economic conditions and state laws) but instead reflect person-based characteristics (e.g., financial literacy ...
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作者：Geelen, Thomas; Hajda, Jakub; Morellec, Erwan
作者单位：Copenhagen Business School; Danish Finance Institute; Universite de Montreal; HEC Montreal; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Recent empirical studies have shown that innovative firms heavily rely on debt financing. Debt overhang implies that debt hampers innovation by incumbents. A second effect of debt is that it stimulates innovation by entrants. Using a Schumpeterian growth model with endogenous R&D and financing choices, we demonstrate that this second effect always dominates, so that debt fosters innovation and growth at the aggregate level. Our analysis suggests that the relation between debt and investment is...
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作者：Hendershott, Terrence; Menkveld, Albert J.; Praz, Remy; Seasholes, Mark
作者单位：University of California System; University of California Berkeley; Vrije Universiteit Amsterdam; Arizona State University; Arizona State University-Tempe
摘要：We identify long-lived pricing errors through a model in which inattentive investors arrive stochastically to trade. The model's parameters are structurally estimated using daily NYSE market-maker inventories, retail order flows, and prices. The estimated model fits empirical variances, autocorrelations, and cross-autocorrelations among our three data series from daily to monthly frequencies. Pricing errors for the typical NYSE stock have a standard deviation of 3.2 percentage points and a hal...
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作者：Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Chicago; National Bureau of Economic Research; Boston College
摘要：Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days, consistent with mistaking the index for returns. Market betas should track returns, but track prices more than dividends, creating predictable returns. Mutual funds receive inflows for beating the S&P 500 price index based on net asset value (also not a return). ...
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作者：Lie, Erik; Yang, Keyang (Daniel)
作者单位：University of Iowa; Washington State University
摘要：We first compare several measures of import penetration and find that total imports, tariffs, and exchange rates are endogenous, while imports from China are largely exogenous. Then we examine the effects of Chinese import penetration on executive compensation of U.S. firms. We document that Chinese import penetration reduces executives' stock grants and wealth-performance sensitivity, suggesting that competition mitigates agency problems and the need for conventional alignment mechanisms. Aut...
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作者：Perotti, Enrico; Rola-Janicka, Magdalena
作者单位：University of Amsterdam; Tinbergen Institute; Centre for Economic Policy Research - UK; Tilburg University
摘要：Some credit booms result in financial crises. While excessive risk-taking could plausibly explain the boom-to-bust cycle, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as being driven by high productivity because opaque bank assets disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), whereas funding imbalances may induce high risk exposure and boost asset prices (bad boom) or lead...
