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作者：Danisewicz, Piotr; McGowan, Danny; Onali, Enrico; Schaeck, Klaus
作者单位：University of Bristol; University of Nottingham; Aston University
摘要：We examine how debt priority structure affects bank funding costs and soundness. Leveraging an unexplored natural experiment that changes the priority of claims on banks' assets, we document asymmetric effects that are consistent with changes in monitoring intensity by various creditors depending on whether creditors move up or down the priority ladder. The enactment of depositor preference laws that confer priority on depositors reduces deposit rates but increases nondeposit rates. Importantl...
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作者：Weller, Brian M.
作者单位：Duke University
摘要：I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of prices and a comprehensive panel of 54,879 stock-quarters of Securities and Exchange Commission (SEC) market data, I establish instead that the amount of information in prices decreases by 9% to 13% per standard deviation of A...
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作者：Gillan, Stuart L.; Hartzell, Jay C.; Koch, Andrew; Starks, Laura T.
作者单位：University System of Georgia; University of Georgia; University of Texas System; University of Texas Austin; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We document that backfilling in the ExecuComp database introduces a data-conditioning bias that can affect inferences and make replicating previous work difficult. Although backfilling can be advantageous due to greater data coverage, if not addressed, the oversampling of firms with strong managerial incentives and higher subsequent returns leads to a significant upward bias in abnormal compensation, pay-for-performance sensitivity, and the magnitudes of several previously established relation...
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作者：Acemoglu, Daron; Hassan, Tarek A.; Tahoun, Ahmed
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Canadian Institute for Advanced Research (CIFAR); Boston University; University of London; London Business School
摘要：Unprecedented street protests brought down Mubarak's government and ushered in an era of competition between three rival political groups in Egypt. Using daily variation in the number of protesters, we document that more intense protests are associated with lower stock market valuations for firms connected to the group currently in power relative to non-connected firms, but have no impact on the relative valuations of firms connected to rival groups. These results suggest that street protests ...
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作者：Linnainmaa, Juhani T.; Roberts, Michael R.
作者单位：University of Southern California; National Bureau of Economic Research; University of Pennsylvania
摘要：Using data spanning the twentieth century, we show that the majority of accounting-based return anomalies, including investment, are most likely an artifact of data snooping. When examined out-of-sample by moving either backward or forward in time, the average returns and Sharpe ratios of most anomalies decrease, whereas their volatilities and correlations with other anomalies increase. The few anomalies that do persist out-of-sample correlate with the shift from investment in physical capital...
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作者：Gine, Xavier; Kanz, Martin
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作者：Ibert, Markus; Kaniel, Ron; Van Nieuwerburgh, Stijn; Vestman, Roine
作者单位：Stockholm School of Economics; Swedish House of Finance; University of Rochester; Reichman University; Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research; Stockholm University
摘要：Compensation of mutual fund managers is paramount to understanding agency frictions in asset delegation. We collect a unique registry-based dataset on the compensation of Swedish mutual fund managers. We find a concave relationship between pay and revenue, in contrast to how investors compensate the fund company (firm). We also find a surprisingly weak sensitivity of pay to performance, even after accounting for the indirect effects of performance on revenue. Firm-level fixed effects, revenues...
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作者：Malmendier, Ulrike; Moretti, Enrico; Peters, Florian S.
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of Amsterdam
摘要：We propose a novel approach for measuring returns to mergers. In a new data set of close bidding contests, we use losers' post-merger performance to construct the counterfactual performance of winners had they not won the contest. Stock returns of winners and losers closely track each other over the 36 months before the merger, corroborating our identification approach. Bidders are also very similar in terms of Tobins q, profitability, and other accounting measures. Over the 3 years after the ...
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作者：Bos, Marieke; Breza, Emily; Liberman, Andres
作者单位：Stockholm School of Economics; Swedish House of Finance; Harvard University; National Bureau of Economic Research; New York University
摘要：We exploit a natural experiment to provide one of the first measurements of the causal effect of negative credit information on employment and earnings. We estimate that one additional year of negative credit information reduces employment by 3 percentage points and wage earnings by $1,000. In comparison, the decrease in credit is only one-fourth as large. Negative credit information also causes an increase in self-employment and a decrease in mobility. Further evidence suggests this cost of d...
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作者：Ghysels, Eric; Horan, Casidhe; Moench, Emanuel
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Center for Economic & Policy Research (CEPR); University of Michigan System; University of Michigan; Deutsche Bundesbank
摘要：A previous literature has documented that bond returns are predicted by macroeconomic information not contained in yields contemporaneously. That literature has mostly relied on final revised, rather than real time macroeconomic data. We show that the use of real time data substantially reduces the predictive power of macro variables for future bond returns as well as the implied countercyclicality of term premiums. We discuss potential interpretations of our results.
