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作者：Haliassos, Michael; Jansson, Thomas; Karabulut, Yigitcan
作者单位：Goethe University Frankfurt; Center for Economic & Policy Research (CEPR); Sveriges Riksbank; Frankfurt School Finance & Management; Goethe University Frankfurt
摘要：We use unique administrative data and a quasi-field experiment of exogenous allocation in Sweden to estimate medium- and longer-run effects of peoples' exposure to financially literate neighbors on their financial behavior. We contribute evidence of (1) a causal impact of exposure and of a social multiplier of financial knowledge and (2) unfavorable distributional aspects of externalities. Exposure promotes saving in private retirement accounts and stockholding, especially when neighbors have ...
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作者：Bessembinder, Hendrik; Hao, Jia; Zheng, Kuncheng
作者单位：Arizona State University; Arizona State University-Tempe; Babson College; Chinese University of Hong Kong; Northeastern University
摘要：We exploit a discontinuity in the New York Stock Exchange Designated Market Maker (DMM) contract to identify causal effects of DMM participation on equilibrium market outcomes. We document that contractual features that enhance DMM participation are associated with increased depth, narrower bid-ask spreads, and higher rates of price improvement, with most of the improvements attributable to increases in liquidity provision on markets other than the NYSE. These results cannot be attributed to t...
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作者：Giambona, Erasmo; Wang, Ye
作者单位：Syracuse University; University of International Business & Economics
摘要：This article analyzes the importance of supply-side fluctuations for corporate hedging. To establish a causal link, we exploit a regulatory change that allows derivatives counterparties to circumvent the Bankruptcy Code's automatic stay: the Safe Harbor Reform of 2005. Following the reform-induced expansion in the availability of derivatives, fuel hedging by airlines nearing financial distress (those that benefited most from the reform) significantly increased in comparison with financially so...
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作者：Badoer, Dominique C.; Dudley, Evan; James, Christopher M.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Queens University - Canada; State University System of Florida; University of Florida
摘要：Priority spreading refers to the practice of firms increasing their reliance on secured and subordinated debt and reducing their reliance on senior debt as their credit quality deteriorates. We argue that priority spreading occurs because security provides creditors with greater protection from dilution from other creditors than do covenants that prioritize payments. Consistent with this argument, we find that secured bank creditors are rarely diluted by junior creditors in distressed restruct...
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作者：Ewens, Michael; Farre-Mensa, Joan
作者单位：California Institute of Technology; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：The deregulation of securities laws-in particular the National Securities Markets Improvement Act (NSMIA) of 1996-has increased the supply of private capital to late-stage private startups, which are now able to grow to a size that few private firms used to reach. NSMIA is one of a number of factors that have changed the going-public versus staying-private trade-off, helping bring about a new equilibrium where fewer startups go public, and those that do are older. This new equilibrium does not...
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作者：Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, Alessandro
作者单位：Bank of England; University of Southern California; University of Cambridge; Johns Hopkins University; National Bureau of Economic Research
摘要：We develop an asset pricing model with heterogeneous exposure to a persistent world growth factor to identify global growth and financial shocks in a multicountry panel VAR in volatility and output growth. The econometric estimates yield three sets of empirical results about (1) the importance of global growth for the interpretation of the correlation between volatility and growth over the business cycle and the possible presence of omitted variable bias in single-country VAR studies, (2) the ...
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作者：Goncalves, Andrei S.; Xue, Chen; Zhang, Lu
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; University of Cincinnati; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model simultaneously fits the value, momentum, investment, and profitability premiums and partially explains positive stock-fund...
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作者：Chordia, Tarun; Goyal, Amit; Saretto, Alessio
作者单位：Emory University; University of Lausanne; Swiss Finance Institute (SFI); University of Texas System; University of Texas Dallas
摘要：We use information from over 2 million trading strategies randomly generated using real data and from strategies that survive the publication process to infer the statistical properties of the set of strategies that could have been studied by researchers. Using this set, we compute t-statistic thresholds that control for multiple hypothesis testing, when searching for anomalies, at 3.8 and 3.4 for time-series and cross-sectional regressions, respectively. We estimate the expected proportion of...
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作者：Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael
作者单位：University of Wisconsin System; University of Wisconsin Madison; Washington University (WUSTL); University of Chicago
摘要：We propose a nonparametric method to study which characteristics provide incremental information for the cross-section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how selected characteristics affect expected returns nonparametrically. Our method can handle a large number of characteristics and allows for a flexible functional form. Our implementation is insensitive to outliers. Many of the previously identified return predictors don't provide ...
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作者：Babenko, Ilona; Fedaseyeu, Viktar; Zhang, Song
作者单位：Arizona State University; Arizona State University-Tempe; Bocconi University; Boston College
摘要：We study the relation between CEO and employee campaign contributions and find that CEO-supported political candidates receive 3 times more money from employees than candidates not supported by the CEO. This relation holds around CEO departures, including plausibly exogenous departures due to retirement or death. Equity returns are significantly higher when CEO-supported candidates win elections than when employee-supported candidates win, suggesting that CEOs' campaign contributions are more ...
