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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：Lou, Dong; Polk, Christopher
作者单位：University of London; London School Economics & Political Science
摘要：We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect on the stock market. We focus on stock price momentum, a classic example of a positive-feedback strategy that our theory predicts can be destabilizing. Our measure, dubbed comomentum, is the high-frequency abnormal return correlation among stocks on which a typical momentum strategy would speculate. When comomentum is low, momentum strategies are stabilizing, reflecting an underreac...
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作者：Bond, Philip; Garcia, Diego
作者单位：University of Washington; University of Washington Seattle; University of Colorado System; University of Colorado Boulder
摘要：We develop a benchmark model to study the equilibrium consequences of indexing in a standard rational expectations setting. Individuals incur costs to participate in financial markets, and these costs are lower for individuals who restrict themselves to indexing. A decline in indexing costs directly increases the prevalence of indexing, thereby reducing the price efficiency of the index and augmenting relative price efficiency. In equilibrium, these changes in price efficiency in turn further ...
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作者：Mishra, Prachi; Prabhala, Nagpurnanand; Rajan, Raghuram G.
作者单位：International Monetary Fund; Johns Hopkins University; University of Chicago
摘要：India introduced credit scoring technology in 2007. We study its adoption by the two main types of banks operating there: new private banks (NPBs) and state-owned public sector banks (PSBs). Soon after the technology is introduced, NPBs start checking the credit scores of most borrowers before lending. PSBs do so equally quickly for new borrowers but very slowly for prior clients, although lending without checking scores is reliably associated with more delinquencies. We show that an important...
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作者：Demirci, Irem; Ferreira, Miguel A.; Matos, Pedro; Sialm, Clemens
作者单位：Universidade Nova de Lisboa; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of Virginia; University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：We show that mutual funds worldwide provide substantial international exposure through their domestic holdings of multinationals. The international exposure of domestic funds increases, on average, by 32 percentage points when we consider international corporate diversification. We find that funds with higher indirect international exposure perform better in both the cross-section and the time series. This effect is primarily driven by the fund managers' ability to invest in multinationals, ra...
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作者：Brown, Gregory W.; Howard, Philip; Lundblad, Christian T.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Wake Forest University
摘要：Hedge fund positions are an important component of crowded trades. These vehicles are particularly active, take highly concentrated positions, and utilize leverage and short sales. Using a database of hedge fund holdings, we measure the degree of security-level crowdedness. The difference between the average returns on portfolios sorted by high versus low crowdedness portfolios is sizable, and the variation in the realized portfolio returns is distinct from other traditional risk factors. Furt...
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作者：Bird, Andrew; Ertan, Aytekin; Karolyi, Stephen A.; Ruchti, Thomas G.
作者单位：Chapman University System; Chapman University; University of London; London Business School; United States Department of the Treasury; Office of the Comptroller of the Currency; Carnegie Mellon University
摘要：To meet short-term benchmarks, lenders may alter their monitoring behavior, providing a channel for short-termism to spill over to their borrowers. We find that short-termist lenders are significantly more likely to enforce covenant breaches. This behavior is pronounced when performance benchmarks are precise or salient, and when managers have high pay-performance sensitivity, but not when they face strong shareholder governance. Affected borrowers are more likely to switch lenders, pay higher...
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作者：Huang, Simon
作者单位：University of Massachusetts System; University of Massachusetts Amherst
摘要：The formation period return difference between past winners and losers, which I call the momentum gap, negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one-standard-deviation increase in the momentum gap predicts a 1.25% decrease in the monthly momentum return after controlling for existing predictors. This predictability extends up to 5 years for static momentum portfolios, consistent with time...
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作者：Houston, Joel F.; Shan, Hongyu
作者单位：State University System of Florida; University of Florida; Fordham University
摘要：We show that banking relationships promote corporate environmental, social, and governance (ESG) policies. Specifically, banks are more likely to grant loans to borrowers with ESG profiles similar to their own and positively influence the borrower's subsequent ESG performance. Their influence is more pronounced when (1) banks have significantly better ESG ratings than borrowers and (2) borrowers are bank dependent. We exploit M&A among lenders as a source of quasi-exogenous variation in the le...
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作者：Boleslavsky, Raphael; Hennessy, Christopher A.; Kelly, David L.
作者单位：University of Miami; University of London; London Business School
摘要：We establish limitations to the usage of direct revelation mechanisms (DRMs) by corporations seeking decision-relevant information in economies with securities markets. In this environment, posting a DRM increases the informed agent's outside option: if the agent rejects the DRM, he convinces the market he is uninformed, and he can aggressively trade with low price impact, thereby generating large (off-equilibrium) trading gains. This endogenous outside option may make using a DRM to screen un...
