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作者：Ibert, Markus; Kaniel, Ron; Van Nieuwerburgh, Stijn; Vestman, Roine
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作者：Bayer, Patrick; Ferreira, Fernando; Ross, Stephen L.
作者单位：Duke University; National Bureau of Economic Research; University of Pennsylvania; University of Connecticut
摘要：This paper examines racial and ethnic differences in high-cost mortgage lending in seven diverse metropolitan areas from 2004 to 2007. Controlling for credit score and other risk factors, AfricanAmerican and Hispanic borrowers are 103% and 78% more likely to receive high-cost mortgages for home purchases. Alarge part of the increase is attributable to sorting across lenders (55%-65%), and this, in turn, can be largely accounted for by the lender's ex post foreclosure risk. The remaining within...
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作者：Pierce, Lamar; Snyder, Jason A.
作者单位：Washington University (WUSTL); Utah System of Higher Education; University of Utah
摘要：Access to finance helps explain the link between the historical African slave trade and current gross domestic product. We first present mistrust, weakened institutions, and ethnic fractionalization as plausible historical channels linking the slave trade to modern finance and development. We then show (i) the slave trade is consistently linked to reduced access to the formal and trade credit needed by modern firms, (ii) this shortage particularly reduces capital investment in smaller firms no...
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作者：Frydman, Cary; Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Southern California; University of Chicago; Boston College
摘要：When investors sell one asset and quickly buy another (reinvestment days), their trades suggest the original mental account is not closed, but is instead rolled into the new asset. Retail investors trading on their own accounts display a rolled disposition effect, selling the new position when its value exceeds the initial investment in the original position. On reinvestment days, these investors display no disposition effect (consistent with no disutility from realizing a loss) and make bette...
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作者：Gao, Pengjie; Parsons, Christopher A.; Shen, Jianfeng
作者单位：University of Notre Dame; University of Southern California; University of California System; University of California San Diego; University of New South Wales Sydney
摘要：This study explores the distress risk anomaly-the tendency for stocks with high credit risk to perform poorly-among 38 countries over two decades. We find a strongly negative relationship between default probabilities and equity returns concentrated among low-capitalization stocks in developed countries in North America and Europe. Although risk-based explanations provide a poor account of these patterns, several pieces of evidence point to a behavioral interpretation, suggesting that stocks o...
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作者：Gu, Lifeng; Hackbarth, Dirk; Johnson, Tim
作者单位：University of Hong Kong; Boston University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms' risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk increases with operating leverage for inflexible firms, but decreases for flexible firms. Guided by theory, we construct easily reproduc...
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作者：Duc Duy Nguyen; Hagendorff, Jens; Eshraghi, Arman
作者单位：University of St Andrews; University of Edinburgh
摘要：We exploit variation in the cultural heritage across U.S. CEOs who are the children or grandchildren of immigrants to demonstrate that the cultural origins of CEOs matter for corporate outcomes. Following shocks to industry competition, firms led by CEOs who are second-or third-generation immigrants are associated with a 6.2% higher profitability compared with the average firm. This effect weakens over successive immigrant generations and cannot be detected for top executives apart from the CE...
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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：You, Jiaxing; Zhang, Bohui; Zhang, Le
作者单位：Xiamen University; University of New South Wales Sydney; The Chinese University of Hong Kong, Shenzhen
摘要：We study how government control affects the roles of the media as an information intermediary and a corporate monitor. Comparing a large sample of news articles written by state-controlled and market-oriented Chinese media, we find that articles by the market-oriented media are more critical, more accurate, more comprehensive, and timelier than those by the state-controlled media. Moreover, only articles by the market-oriented media have a significant corporate governance impact. Subsample ana...
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作者：Bazdresch, Santiago; Kahn, R. Jay; Whited, Toni M.
作者单位：Bank of Mexico; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：We assess the finite sample performance of simulation estimators that are used to estimate the parameters of dynamic corporate finance models. We formulate an external validity specification test and propose a new set of statistical benchmarks that can be used to estimate and evaluate these models. These benchmarks are based on model policy functions. Our Monte Carlo simulations show that the estimators are largely unbiased with low root mean squared errors. When computed with an optimal weigh...
