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作者：Liu, Crocker H.; Nowak, Adam D.; Smith, Patrick S.
作者单位：Cornell University; West Virginia University; California State University System; San Diego State University
摘要：We provide a new framework for using text as data in empirical models. The framework identifies salient information in unstructured text that can control for multidimensional heterogeneity among assets. We demonstrate the efficacy of the framework by reexamining principal-agent problems in residential real estate markets. We show that the agent-owned premiums reported in the extant literature dissipate when the salient textual information is included. The results suggest the previously reporte...
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作者：Xiao, Kairong
作者单位：Columbia University
摘要：I find that shadow bank money creation significantly expands during monetary-tightening cycles. This shadow banking channel offsets reductions in commercial bank deposits and dampens the impact of monetary policy. Using a structural model of bank competition, I show that the difference in depositor clienteles quantitatively explains banks' different responses to monetary policy. Facing a more yield-sensitive clientele, shadow banks are more likely to pass through rate hikes to depositors, ther...
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作者：Bayer, Patrick; Geissler, Christopher; Mangum, Kyle; Roberts, James W.
作者单位：Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Using data from the Los Angeles area from 1988 to 2012, we study the behavior and sources of returns of individual investors in the housing market. We document the existence of two distinct investor types. The first act as middlemen, purchasing substantially below and reselling above market prices throughout the cycle, improving liquidity and the existing capital stock in the process. The second act as speculators, who primarily enter during the boom, buying and selling at essentially market p...
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作者：Focke, Florens; Ruenzi, Stefan; Ungeheuer, Michael
作者单位：University of Mannheim; Aalto University
摘要：Using daily advertising data, we analyze the short-term effects of advertising on investor attention and on financial market outcomes. Based on various investor attention proxies, we show that advertising positively affects attention. However, it has only little impact on turnover and liquidity. Most importantly, short-term stock returns are not significantly influenced by advertising. Further results suggest that previous findings of an economically significant positive relation between adver...
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作者：Burt, Aaron; Hrdlicka, Christopher; Harford, Jarrad
作者单位：University of Oklahoma System; University of Oklahoma - Norman; University of Washington; University of Washington Seattle
摘要：The value a director provides to a firm is empirically difficult to establish. We estimate that value by exploiting the commonality in idiosyncratic returns of firms linked by a director and show that, on average, a director's influence causes variation in firm value of almost 1% per year. The return commonality is not due to industry or other observable economic links. Variation in the availability of information on shared directors and a placebo test exploiting the timing of shared directors...
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作者：Ma, Song
作者单位：Yale University
摘要：This paper investigates why industrial firms conduct Corporate Venture Capital (CVC) investment in entrepreneurial companies. I test alternative views on CVC by exploiting the entry, investment, and termination decisions of CVC divisions. CVC entry concentrates in firms that experience deteriorations of internal innovation. At the investment stage, CVCs select startups with a similar technological focus but that have a non-overlapping knowledge base, and they integrate technologies generated f...
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作者：Bergman, Nittai K.; Iyer, Rajkamal; Thakor, Richard T.
作者单位：Tel Aviv University; Imperial College London; University of Minnesota System; University of Minnesota Twin Cities
摘要：What is the effect of cash injections during financial crises? Exploiting county-level variation arising from random weather shocks during the 1980s Farm Debt Crisis, we analyze and measure the effect of local weather-driven cash flow shocks on the real and financial sectors. We show that such cash flow shocks significantly affect a host of economic outcomes, including land values, loan delinquency rates, the probability of bank failure, employment, and wages. Estimates of the effect of local ...
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作者：Gil-Bazo, Javier; Hoffmann, Peter; Mayordomo, Sergio
作者单位：Pompeu Fabra University; Barcelona School of Economics; Banco de Espana
摘要：Using data on Spanish mutual funds, we show that bank-affiliated funds provide funding support to their parent company via purchases of bonds in the primary market. Support from affiliated funds is more sizeable in crisis times and for riskier banks. These trades generate negative abnormal returns and thus benefit banks at the expense of fund investors. To minimize negative effects on their asset management business, banks concentrate the burden of funding support in funds without performance ...
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作者：Detemple, Jerome; Kitapbayev, Yerkin
作者单位：Boston University; Massachusetts Institute of Technology (MIT)
摘要：We study investments in exclusive projects with different cost structures. Our analysis incorporates the possibility of producing a stochastic revenue stream from two alternative technologies with a stochastic variable cost and a fixed cost, respectively, and accounts for project managers' endogenous operating decisions. The optimal investment decision is characterized by two possibly nonmonotone boundaries. We examine the effect of operating leverage on managerial policies, investment decisio...
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作者：Gallagher, Emily A.; Schmidt, Lawrence D. W.; Timmermann, Allan; Wermers, Russ
作者单位：University of Colorado System; University of Colorado Boulder; Massachusetts Institute of Technology (MIT); University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
摘要：We study investor redemptions and portfolio rebalancing decisions of prime money market mutual funds (MMFs) during the Eurozone crisis. We find that sophisticated investors selectively acquire information about MMFs' risk exposures to Europe, which leads managers to withdraw funding from information-sensitive European issuers. That is, MMF managers, particularly those serving the most sophisticated investors, selectively adjust their portfolio risk exposures to avoid information-sensitive Euro...
