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作者：Back, Kerry; Crotty, Kevin; Li, Tao
作者单位：Rice University; Rice University; City University of Hong Kong
摘要：We propose and estimate a model of endogenous informed trading that is a hybrid of the PIN and Kyle models. When an informed trader trades optimally, both returns and order flows are needed to identify information asymmetry parameters. Empirical relationships between parameter estimates and price impacts and between parameter estimates and stochastic volatility are consistent with theory. We illustrate how the estimates can be used to detect information events in the time series and to charact...
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作者：Bauer, Michael D.; Hamilton, James D.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California San Diego
摘要：A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a novel bootstrap procedure specifically designed to test the spanning hypothesis. We revisit the analysis in six published studies and find that the evidence against the spanning hypothesis is much weak...
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作者：Chaudhuri, Ranadeb; Ivkovic, Zoran; Trzcinka, Charles
作者单位：Oakland University; Michigan State University; Michigan State University's Broad College of Business; Indiana University System; Indiana University Bloomington
摘要：We study cross-subsidization among U.S. equity products managed by institutional asset management firms. We find returns-based evidence consistent with both cross-subsidization receipt by strong recent performers that are relatively small in their firms and provision by products that are relatively large in their firms. Tax-exempt investors and taxable investors do not have a clear ranking by expertise, but tax-exempt investors' agency issues are more complex. Accordingly, taxable clients have...
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作者：Cici, Gjergji; Gehde-Trapp, Monika; Goericke, Marc-Andre; Kempf, Alexander
作者单位：University of Kansas; University Hohenheim; University of Cologne
摘要：Human capital acquired while working in other industries before joining fund management provides fund managers with an information advantage. Fund managers exploit this advantage by overweighting their experience industries and by picking outperforming stocks from these industries. These managers' superior information is impounded into stock prices slowly, suggesting that their information is unique and takes a while to be discovered by the markets. Families exploit their manager's industry-sp...
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作者：Gonzalez-Uribe, Juanita; Leatherbee, Michael
作者单位：University of London; London School Economics & Political Science; Pontificia Universidad Catolica de Chile
摘要：Dobusiness accelerators affect new venture performance? We investigate this question in the context of Start-Up Chile, an ecosystem accelerator. We focus on two treatment conditions typically found in business accelerators: basic services of funding and coworking space, and additional entrepreneurship schooling. Using a regression discontinuity design, we show that schooling bundled with basic services can significantly increase new venture performance. In contrast, we find no evidence that ba...
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作者：Bakshi, Gurdip; Chabi-Yo, Fousseni; Gao, Xiaohui
作者单位：University System of Maryland; University of Maryland College Park; University of Massachusetts System; University of Massachusetts Amherst
摘要：How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the physical and risk-neutral return distributions. Our empirical results undermine the implications of the recovery theorem. First, we reject an implicit assumption of the recovery theorem that the martingale component of the stochastic discount factor is identical to unity. Second, we consider the restrictio...
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作者：Giannetti, Mariassunta; Kahraman, Bige
作者单位：Stockholm School of Economics; Center for Economic & Policy Research (CEPR); University of Oxford
摘要：We provide evidence that open-end organizational structures undermine incentives for asset managers to attack long-term mispricing. We compare open-end funds with closed-end funds. Closed-end funds purchase more underpriced stocks than do open-end funds, especially if the stocks involve high arbitrage risk. We then show that hedge funds with high share restrictions having a lower degree of open-endedness also trade against long-term mispricing to a larger extent than do other hedge funds. Our ...
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作者：Hertzberg, Andrew; Liberman, Andres; Paravisini, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; New York University; University of London; London School Economics & Political Science
摘要：We exploit a natural experiment in the largest online consumer lending platform to provide the first evidence that loan terms, in particular maturity choice, can be used to screen borrowers based on their private information. We compare two groups of observationally equivalent borrowers who took identical unsecured 36-month loans; for only one of the groups, a 60-month loan was also available. When a long-maturity option is available, fewer borrowers take the short-term loan, and those who do ...
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作者：Klingler, Sven; Lando, David
作者单位：BI Norwegian Business School; Copenhagen Business School
摘要：Credit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums, especially for safe sovereigns. Additional empirical tests related ...
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作者：Tantri, Prasanna L.
作者单位：Indian School of Business (ISB)
摘要：Using an unexpected government regulation that restricted the ability of microfinance institutions to recover loans in one Indian state, I examine whether this intervention affected bank loan performance. The bank loan delinquency rate significantly increased as a result. In response, the ex post bank credit supply declined by more than half. For identification, I compare loans from branches located in regions subject to this intervention with loans from nearby branches of the same bank locate...
