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作者：Buehlmaier, Matthias M. M.; Whited, Toni M.
作者单位：University of Hong Kong; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：We construct novel measures of financial constraints using textual analysis of firms' annual reports and investigate their impact on stock returns. Our three measures capture access to equity markets, debt markets, and external financial markets in general. In all cases, constrained firms earn higher returns, which move together and cannot be explained by the Fama and French (2015) factor model. A trading strategy based on financial constraints is most profitable for large, liquid stocks. Our ...
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作者：Danielsson, Jon; Valenzuela, Marcela; Zer, Ilknur
作者单位：University of London; London School Economics & Political Science; Universidad de Chile; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and across 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself does not predict crises. Low volatility leads to excessive credit buildups and balance sheet leverage in the financial ...
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作者：Hirshleifer, David; Hsu, Po-Hsuan; Li, Dongmei
作者单位：University of California System; University of California Irvine; National Bureau of Economic Research; University of Hong Kong; University of South Carolina System; University of South Carolina Columbia
摘要：We propose that innovative originality is a valuable organizational resource and that owing to limited investor attention and skepticism of complexity, greater innovative originality may be undervalued. We find that firms' innovative originality strongly predicts higher, more persistent, and less volatile profitability and higher abnormal stock returns, findings that are robust to extensive controls. The return predictive power of innovative originality is stronger for firms with higher valuat...
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作者：Ai, Hengjie; Croce, Mariano Max; Diercks, Anthony M.; Li, Kai
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Chapel Hill; Bocconi University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Hong Kong University of Science & Technology
摘要：We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns, both in the cross-section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variat...
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作者：Chakraborty, Indraneel; Goldstein, Itay; MacKinlay, Andrew
作者单位：University of Miami; University of Pennsylvania; Virginia Polytechnic Institute & State University
摘要：Analyzing the period 1988-2006, we document that banks that are active in strong housing markets increase mortgage lending and decrease commercial lending. Firms that borrow from these banks have significantly lower investment. This is especially pronounced for firms that are more capital constrained or borrow from more-constrained banks. Various extensions and robustness analyses are consistent with the interpretation that commercial loans were crowded out by banks responding to profitable op...
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作者：Gao, George P.; Gao, Pengjie; Song, Zhaogang
作者单位：Cornell University; University of Notre Dame; Johns Hopkins University
摘要：We find hedge funds that have higher return covariation with a disaster concern index, which we develop through out-of-the-money puts on various economic sector indices, earn significantly higher returns in the cross-section. We provide evidence that these funds' managers are more skilled at exploiting the market's ex ante rare disaster concerns (SEDs), which may not be associated with disaster risk. In particular, high-SED funds, on average, outperform low-SED funds by 0.96% per month, but ha...
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作者：Bollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, Lasse Heje
作者单位：Duke University; National Bureau of Economic Research; Copenhagen Business School; Center for Economic & Policy Research (CEPR)
摘要：Based on high-frequency data for more than fifty commodities, currencies, equity indices, and fixed-income instruments spanning more than two decades, we document strong similarities in realized volatility patterns within and across asset classes. Exploiting these similarities through panel-based estimation of new realized volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and conventional procedures that do not incorporate the simila...
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作者：Kelly, Peter
作者单位：University of Notre Dame
摘要：Examining the trades of company insiders, I find that a sale of stock at a loss is a much more negative signal about future returns than is a sale of stock at a gain. I consider a range of explanations for my results and find that the evidence is most consistent with the idea that investors derive direct disutility from selling a stock at a loss. Since selling a stock at a loss is painful, an investor who sells at a loss must have particularly negative information. This result offers a novel m...
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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：Harvey, Campbell R.; Liu, Yan
作者单位：Duke University; Texas A&M University System; Texas A&M University College Station
摘要：Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects framework, we reduce the noise by pooling information from the cross-sectional alpha distribution to make density forecasts for each individual fund's alpha. In simulations, we show that our method generates parameter estimates that outperform alternative methods, both at the population and at the individual fund level. An out-of-sample forecasting exercise also shows that our metho...
