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作者：Brueggemann, Ulf; Kaul, Aditya; Leuz, Christian; Werner, Ingrid M.
作者单位：Humboldt University of Berlin; University of Alberta; University of Chicago; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：Studying a comprehensive sample of stocks from the U.S. OTC market, we show that this market is a large and diverse trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We exploit this institutional richness to show that OTC firms subject to stricter regulatory regimes and disclosure requirements have higher market quality (higher liquidity and lower crash risk). Our analysis points to an important trade-off in r...
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作者：Avramov, Doron; Cederburg, Scott; Lucivjanska, Katarina
作者单位：Hebrew University of Jerusalem; Chinese University of Hong Kong; University of Arizona; University of Pavol Jozef Safarik Kosice
摘要：We study whether stocks are riskier or safer in the long run from the perspective of Bayesian investors who employ the long-run risk, habit formation, or prospect theory models to form prior beliefs about return dynamics. Economic theory delivers important guidance for long-run investment opportunities. Specifically, incorporating prior information from the habit formation or prospect theory models reinforces beliefs in mean reversion and inferences that stocks are safer over longer horizons. ...
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作者：Christoffersen, Peter; Goyenko, Ruslan; Jacobs, Kris; Karoui, Mehdi
作者单位：University of Toronto; Copenhagen Business School; McGill University; University of Houston System; University of Houston
摘要：Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3.4% per day for at-the-money calls and 2.5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in t...
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作者：Gerardi, Kristopher; Herkenhoff, Kyle F.; Ohanian, Lee E.; Willen, Paul S.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Los Angeles; Arizona State University; Arizona State University-Tempe; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：This paper uses new data from the PSID to quantify the relative importance of negative equity versus ability to pay, in driving mortgage defaults between 2009 and 2013. These data allow us to construct household budgets sets that provide better measures of ability to pay. Changes in ability to pay have large estimated effects. Job loss has an equivalent effect on the propensity to default as a 35% decline in equity. Strategic motives are also found to be quantitatively important, as we estimat...
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作者：Gine, Xavier; Kanz, Martin
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作者：Kilic, Mete; Wachter, Jessica A.
作者单位：University of Southern California; University of Pennsylvania; National Bureau of Economic Research
摘要：What is the driving force behind the cyclical behavior of unemployment and vacancies? What is the relation between firms' job-creation incentives and stock market valuations? We answer these questions in a model with time-varying risk, modeled as a small and variable probability of an economic disaster. A high probability implies greater risk and lower future growth, lowering the incentives of firms to invest in hiring. During periods of high risk, stock market valuations are low and unemploym...
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作者：Gorbenko, Alexander S.; Malenko, Andrey
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Although acquisitions are a popular form of investment, the link between firms' financial constraints and acquisition policies is not well understood. We develop a model in which financially constrained bidders approach targets, decide how much to bid and whether to bid in cash or in stock. In equilibrium, financial constraints do not affect the identity of the winning bidder, but they lower bidders' incentives to approach the target. Auctions are initiated by bidders with low constraints or h...
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作者：Greenwood, Robin; Hanson, Samuel G.; Liao, Gordon Y.
作者单位：Harvard University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists gradually reallocate capital across markets. Upon the arrival of a large supply shock, prices of risk in the directly affected asset class become disconnected from those in others. Over the long run, capital flows cause prices of risk to become more closely aligned. While prices in the directly affected marke...
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作者：Bretscher, Lorenzo; Schmid, Lukas; Vedolin, Andrea
作者单位：University of London; London School Economics & Political Science; Duke University; Boston University
摘要：We revisit evidence of real effects of uncertainty shocks in the context of interest rate uncertainty. We document that adverse movements in interest rate uncertainty predict significant slowdowns in real activity, both at the aggregate and at the firm levels. To understand how firms cope with interest rate uncertainty, we develop a dynamic model of corporate investment, financing, and risk management and test it using a rich data set on corporate swap usage. We find that interest rate uncerta...
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作者：Musto, David; Nini, Greg; Schwarz, Krista
作者单位：University of Pennsylvania; Drexel University
摘要：We trace the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis, when bond prices fell more than 6% below more liquid but otherwise identical notes. Using high-resolution data on market quality and trader identities and characteristics, we find that the discounts amplify through feedback loops, where cheaper, less-liquid securities flowto longer-horizon investors, thereby increasing their illiquidity and thus their appeal to these investors. The ef...
