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作者：Parlour, Christine A.; Rajan, Uday
作者单位：University of California System; University of California Berkeley; University of Michigan System; University of Michigan
摘要：We consider the role of credit ratings when contracts between investors and portfolio managers are incomplete. In our model, a credit rating and a price on a risky bond both provide verifiable signals about a non-contractible state. We allow the investor to both impose ex ante restrictions on the manager's action and provide outcome-based compensation. The optimal contract is a prohibitive one when the rating and price indicate a high likelihood of a low state, and relies on wages when the low...
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作者：Augustin, Patrick; Izhakian, Yehuda
作者单位：McGill University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is ...
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作者：Gao, Meng; Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Modern information technologies have fundamentally changed how information is disseminated in financial markets. Using the staggered implementation of the EDGAR system from 1993 to 1996 as a shock to information dissemination technologies, we find evidence that internet dissemination of corporate disclosures increases information production by corporate outsiders. Trades by individual investors, especially those with access to the internet, become more informative about future stock returns fo...
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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：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...
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作者：Daniel, Kent; Hirshleifer, David; Sun, Lin
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Irvine; George Mason University
摘要：We propose a theoretically motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors that capture long- and short-horizon mispricing. The long-horizon factor exploits the information in managers' decisions to issue or repurchase equity in response to persistent mispricing. The short-horizon earnings surprise factor, which is motivated by investor inattention and ev...
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作者：Griffith, Todd G.; Van Ness, Robert A.
作者单位：Utah System of Higher Education; Utah State University; University of Mississippi
摘要：We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also fi...
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作者：Brogaard, Jonathan; Dai, Lili; Ngo, Phong T. H.; Zhang, Bohui
作者单位：Utah System of Higher Education; University of Utah; University of New South Wales Sydney; Australian National University; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
摘要：We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political uncertainty on equity prices increases with the level of uncertainty in U.S. election outcomes and a country's equity market exposure to foreign investors, but does not vary with the country's internati...
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作者：Kadan, Ohad; Tang, Xiaoxiao
作者单位：Washington University (WUSTL); University of Texas System; University of Texas Dallas
摘要：We present a sufficient condition under which the prices of options written on a particular stock can be aggregated to calculate a lower bound on the expected returns of that stock. The sufficient condition imposes a restriction on a combination of the stock's systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a high-frequency basis. We estimate the bound empirically and study its cross-sectional properties. We find that the bound increases with beta...
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作者：Heath, Davidson; Mace, Christopher
作者单位：Utah System of Higher Education; University of Utah
摘要：We study the effects of trademark protection on firms' profits and strategy using the 1996 Federal Trademark Dilution Act, which granted additional legal protection to selected trademarks. We find that the FTDA raised treated firms' operating profits and was followed by a spike in trademark lawsuits and lower entry and exit in affected product markets. Treated firms reduced R&D spending, produced fewer patents and new products, and recalled a higher number of unsafe products. Our results sugge...
