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作者：Baele, Lieven; Driessen, Joost; Ebert, Sebastian; Londono, Juan M.; Spalt, Oliver G.
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作者：Weagley, Daniel
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：I examine the effect of financial sector stress on risk sharing in a novel setting: the CME's weather derivatives market. The structure of the market allows me to disentangle price movements due to financial sector stress from price movements due to fundamentals. Contracts, which are typically priced near their actuarially fair value, experience significant price declines during periods of financial sector stress. Contracts with greater margin requirements and total risk are the most affected....
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作者：Vallee, Boris; Zeng, Yao
作者单位：Harvard University; University of Washington; University of Washington Seattle
摘要：Marketplace lending relies on screening and information production by investors, a major deviation from the traditional banking paradigm. Theoretically, the participation of sophisticated investors improves screening outcomes and also creates adverse selection among investors. In maximizing loan volume, the platform trades off these two forces. As the platform develops, it optimally increases platform prescreening intensity but decreases information provision to investors. Using novel investor...
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作者：Kadan, Ohad; Manela, Asaf
作者单位：Washington University (WUSTL)
摘要：We derive a general expression for the value of information to a price-taking investor in a dynamic environment and provide a framework for its estimation. We study the value of both private and public information and break it into its instrumental and psychic parts. To illustrate, we estimate and rank the values of leading macroeconomic indicators (GDP, employment, etc.). Using variations in option prices, we find that consumer-investors with conventional preference parameters would pay 3 to ...
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作者：Dou, Ying; Masulis, Ronald W.; Zein, Jason
作者单位：Monash University; University of New South Wales Sydney
摘要：We study a widespread yet under-explored corporate governance phenomenon: the pledging of company stock by insiders as collateral for personal bank loans. Utilizing a regulatory change that exogenously decreases pledging, we document a negative causal impact of pledging on shareholder wealth. We study two channels that could explain this effect. First, we find that margin calls triggered by severe price falls exacerbate the crash risk of pledging firms. Second, since margin calls may cause ins...
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作者：D'Acunto, Francesco; Prabhala, Nagpurnanand; Rossi, Alberto G.
作者单位：Boston College; Johns Hopkins University; Georgetown University
摘要：We study the introduction of a wealth-management robo-adviser that constructs portfolios tailored to investors' holdings and preferences. Adopters are similar to non-adopters in terms of demographics and prior interactions with human advisers but tend to be more active and have greater assets under management. Investors adopting robo-advising experience diversification benefits. Ex ante undiversified investors increase stock holdings and hold portfolios with less volatility and better returns....
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作者：Lyandres, Evgeny; Marchica, Maria-Teresa; Michaely, Roni; Mura, Roberto
作者单位：Boston University; University of Manchester; Alliance Manchester Business School; University of Geneva
摘要：Portfolio diversification of firms' controlling owners influences their firms' capital investment. Empirically, the effect of owners' portfolio diversification on their firms' investment levels is positive for publicly traded firms and tends to be negative for privately held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her portfolio structure, and both the level and riskiness of capital investment of the firm she control...
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作者：David, Alexander
作者单位：University of Calgary
摘要：Investment by oil firms positively affects the futures basis and negatively predicts excess returns on crude oil futures. I build an equilibrium model of drilling, exploration, and storage to understand these facts. Firms' capital stock lowers extraction costs as firms drill in increasingly expensive fields. Drilled wells produce the resource at a geometrically declining rate; however, by specifying consumers' habit level equaling production from old wells, the futures basis and risk premium a...
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作者：Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, Avanidhar
作者单位：University of Missouri System; University of Missouri Columbia; California Institute of Technology; University of California System; University of California Los Angeles
摘要：We propose a protocol for identifying genuine risk factors. A genuine risk factor must be related to the covariance matrix of returns, must be priced in the cross-section of returns, and should yield a reward-to-risk ratio that is reasonable enough to be consistent with risk pricing. A market factor, a profitability factor, and traded versions of macroeconomic factors pass our protocol, but many characteristic-based factors do not. Several of the underlying characteristics, however, do command...
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作者：Korajczyk, Robert A.; Murphy, Dermot
作者单位：Northwestern University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We study market-making high-frequency trader (HFT) dynamics around large institutional trades in Canadian equities markets using order-level data with masked trader identification. Following a regulatory change that negatively affected HFT order activity, we find that bid-ask spreads increased and price impact decreased for institutional trades. The decrease in price impact is strongest for informed institutional traders. During institutional trade executions, HFTs submit more same-direction o...
