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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：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...
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作者：Chen, Zhiyao; Strebulaev, Ilya A.
作者单位：Chinese University of Hong Kong; Stanford University; National Bureau of Economic Research
摘要：We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they perceive the arrival probability of bad states to be higher than the actual probability and prefer an early resolution of macroeconomic uncertainty. Second, sudden switches to bad states and large shocks in the bad states induce the countercyclic...
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作者：Chowdhry, Bhagwan; Davies, Shaun William; Waters, Brian
作者单位：University of California System; University of California Los Angeles; University of Colorado System; University of Colorado Boulder
摘要：We study joint financing between profit-motivated and socially motivated (impact) investors and derive conditions under which impact investments improve social outcomes. When project owners cannot commit to social objectives, impact investors hold financial claims to counterbalance owners' tendencies to overemphasize profits. Impact investors' ownership stakes are higher when the value of social output is higher, and pure nonprofit status may be optimal for the highest valued social projects. ...
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作者：Foucault, Thierry; Fresard, Laurent
作者单位：Hautes Etudes Commerciales (HEC) Paris; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University System of Maryland; University of Maryland College Park
摘要：We show that product differentiation reduces the informativeness of a firm's stock price (or its peers' stock prices) about the value of its growth opportunities. This results in less efficient exercise of a firm's growth options when managers rely on information in stock prices for their decisions. This informational cost of differentiation induces conformity in product market strategies and is larger for private firms. Hence, a firm should differentiate more after going public. We confirm th...
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作者：Boudoukh, Jacob; Feldman, Ronen; Kogan, Shimon; Richardson, Matthew
作者单位：Reichman University; Hebrew University of Jerusalem; Massachusetts Institute of Technology (MIT); New York University; National Bureau of Economic Research
摘要：What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in news. We find that this information accounts for 49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours), with a considerable fraction due to days with multiple news types. We use our measure of public information arrival to reinves...
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作者：Pugsley, Benjamin Wild; Sahin, Aysegul
作者单位：University of Notre Dame; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The entry rate of U.S. employer businesses has declined for more than 30 years. We use a novel dynamic decomposition framework to show that regardless of its causes, the direct effects of the continued decline in the entry rate and its delayed effects on the firm age distribution together play a major role in the slowing of trend employment growth and the emergence of jobless recoveries. We identify changing demographic structure of the population and increased import competition as leading fa...
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作者：Dasgupta, Sudipto; Li, Erica X. N.; Yan, Dong
作者单位：Chinese University of Hong Kong; Lancaster University; Center for Economic & Policy Research (CEPR); Stockholm School of Economics
摘要：We model the interaction of financial constraints, capacity constraints, and the response of production and inventory to cost and demand shocks. The model predicts that in response to favorable shocks, financially constrained firms are unable to build inventory as rapidly as are unconstrained firms. However, because the favorable shocks gradually ease the financial constraints, constrained firms continue to build inventory and eventually carry surplus inventory (relative to unconstrained firms...
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作者：Chao, Yong; Yao, Chen; Ye, Mao
作者单位：University of Louisville; Chinese University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：Stock exchange operators compete for order flow by setting make fees for limit orders and take fees for market orders. When traders can quote continuous prices, exchange operators compete on total fee, because traders can choose prices that perfectly neutralize any fee division. The 1-cent minimum tick size, however, prevents traders from neutralizing fee division. The nonneutrality of division between make and take fees (1) allows an exchange operator to establish exchanges that differ in fee...
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作者：Yang, Ming; Zeng, Yao
作者单位：Duke University; University of Washington; University of Washington Seattle
摘要：We propose a theory of security design in financing entrepreneurial production, positing that the investor can acquire costly information on the entrepreneur's project before making the financing decision. When the entrepreneur has enough bargaining power in security design, the optimal security helps incentivize both efficient information acquisition and efficient financing. Debt is optimal when information is not very valuable for production, whereas the combination of debt and equity is opt...
