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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：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：Iliev, Peter; Kalodimos, Jonathan; Lowry, Michelle
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作者：Catherine, Sylvain
作者单位：University of Pennsylvania
摘要：I estimate a life cycle model of portfolio choices that incorporates the relationship between market returns and the skewness of idiosyncratic income shocks. The cyclicality of skewness can explain (a) low stock market participation among young households, (b) why the equity share of participants slightly increases until retirement, and (c) why renters invest less in stocks than do homeowners. With a relative risk aversion of 6 and yearly participation cost of $250, the model matches the evolu...
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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：Abel, Andrew B.; Panageas, Stavros
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Pennsylvania; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We derive analytic solutions for the valuation, optimal investment, and optimal payout of a financially constrained firm. While marginal q and average q would be identically equal in the absence of financial constraints, they differ when financial constraints bind. We use analytic solutions to characterize the properties of regressions of investment on average q and cash flow. The coefficient on cash flow is positive, but does not isolate the impact of the financial constraint, since it also p...
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作者：Brogaard, Jonathan; Nguyen, Thanh Huong; Putnins, Talis J.; Wu, Eliza
作者单位：Utah System of Higher Education; University of Utah; Ho Chi Minh City University Economics; University of Danang; University of Technology Sydney; University of Sydney
摘要：We develop a return variance decomposition model to distinguish the roles of different types of information and noise in stock price movements. We disentangle four components: noise, private firm-specific information revealed through trading, firm-specific information revealed through public sources and market-wide information. Overall, we find that 31% of the return variance is from noise, 24% from private firm-specific information, 37% from public firm-specific information and 8% from market...
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作者：De Marco, Filippo; Macchiavelli, Marco; Valchev, Rosen
作者单位：Bocconi University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Boston College
摘要：We show that international portfolios reflect the underlying heterogeneity in investors' beliefs. Using data on the foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate forecasts are associated with larger bond holdings. Crucially, the elasticity of portfolio holdings to expected returns is increasing in the precision of the forecast, implying that investors optimally exploit compara...
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作者：Garlappi, Lorenzo; Giammarino, Ron; Lazrak, Ali
作者单位：University of British Columbia
摘要：We study a standard real-option problem in which sequential decisions are made through voting by a group of members with heterogeneous beliefs. We show that, when facing both investment and abandonment timing decisions, the group behavior cannot be replicated by that of a representative median member. As a result, members' disagreement generates inertia-the group delays investment relative to a single-agent case-and underinvestment-the group rejects projects that are supported by a majority of...
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作者：Gottlieb, Joshua D.; Townsend, Richard R.; Xu, Ting
作者单位：University of Chicago; National Bureau of Economic Research; University of California System; University of California San Diego; University of Virginia
摘要：Do potential entrepreneurs remain in wage employment because of concerns that they will face worse job opportunities should their entrepreneurial ventures fail? Using a Canadian reform that extends job-protected leave to one year for women giving birth after a cutoff date, we study whether the option to return to a previous job increases entrepreneurship. A regression discontinuity design reveals that a longer job-protected leave increases entrepreneurship by 1.9 percentage points. These entre...
