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作者：Cohn, Alain; Fehr, Ernst; Marechal, Michel Andre
作者单位：University of Chicago; University of Zurich
摘要：In recent years, the banking industry has witnessed several cases of excessive risk-taking that frequently have been attributed to problematic professional norms. We conduct experiments with employees from several banks in which we manipulate the saliency of their professional identity and subsequently measure their risk aversion in a real stakes investment task. If bank employees are exposed to professional norms that favor risk-taking, they should become more willing to take risks when their...
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作者：Begley, Taylor A.; Purnanandam, Amiyatosh; Zheng, Kuncheng
作者单位：University of London; London Business School; Washington University (WUSTL); University of Michigan System; University of Michigan; Northeastern University
摘要：We show that banks significantly underreport the risk in their trading book when they have lower equity capital. Specifically, a decrease in a bank's equity capital results in substantially more violations of its self-reported risk levels in the following quarter. Underreporting is especially frequent during the critical periods of high systemic risk and for banks with larger trading operations. We exploit a discontinuity in the expected benefit of underreporting present in Basel regulations t...
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作者：Christoffersen, Susan E. K.; Simutin, Mikhail
作者单位：University of Toronto; Copenhagen Business School
摘要：Prior studies have documented that pension plan sponsors often monitor a fund's performance relative to a benchmark. We use a first-difference approach to show that in an effort to beat benchmarks, fund managers controlling large pension assets tend to increase their exposure to high-beta stocks, while aiming to maintain tracking errors around the benchmark. The findings support theoretical conjectures that benchmarking can lead managers to tilt their portfolio toward high-beta stocks and away...
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作者：He, Zhiguo; Wei, Bin; Yu, Jianfeng; Gao, Feng
作者单位：University of Chicago; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Tsinghua University; University of Minnesota System; University of Minnesota Twin Cities; Tsinghua University
摘要：We introduce uncertainty into Holmstrom and Milgrom (1987) to study optimal long-term contracting with learning. In a dynamic relationship, the agent's shirking not only reduces current performance, but also increases the agent's information rent due to the persistent belief manipulation effect. We characterize the optimal contract using the dynamic programming technique in which information rent is the unique state variable. In the optimal contract, the optimal effort is front-loaded and stoc...
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作者：Pouget, Sebastien; Sauvagnat, Julien; Villeneuve, Stephane
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; Bocconi University; Bocconi University; Center for Economic & Policy Research (CEPR)
摘要：This paper studies the impact of the confirmatory bias on financial markets. We propose a model in which some traders may ignore new evidence inconsistent with their favorite hypothesis regarding the state of the world. The confirmatory bias provides a unified rationale for several existing stylized facts, including excess volatility, excess volume, and momentum. It also delivers novel predictions for which we find empirical support using data on analysts' earnings forecasts: traders update be...
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作者：Bruno, Valentina; Shin, Hyun Song
作者单位：American University; Bank for International Settlements (BIS)
摘要：We conduct a firm-level analysis of borrowing in US dollars by nonfinancial corporates from outside the United States. We find that emerging market firms with already high cash holdings are more likely to issue US dollar-denominated bonds, especially during periods when the dollar carry trade is more favorable. The proceeds of the dollar bond issuance add to the firm's cash holdings more than other sources of funds. The evidence points to financial decisions that resemble carry trades, rather ...
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作者：Menkveld, Albert J.; Zoican, Marius A.
作者单位：Vrije Universiteit Amsterdam; Universite PSL; Universite Paris-Dauphine
摘要：A faster exchange does not necessarily improve liquidity. On the one hand, speed enables a high-frequency market maker (HFM) to update quotes faster on incoming news. This reduces payoff risk and thus lowers the competitive bid-ask spread. On the other hand, HFM price quotes are more likely to meet speculative high-frequency bandits, and thus are less likely to meet liquidity traders. This raises the spread. The net effect of exchange speed depends on a security's news-to-liquidity-trader ratio.
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作者：Ghosh, Anisha; Julliard, Christian; Taylor, Alex P.
作者单位：Carnegie Mellon University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of Manchester; Alliance Manchester Business School
摘要：We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We sh...
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作者：Busch, Pascal; Obernberger, Stefan
作者单位：University of Mannheim
摘要：We examine the impact of actual share repurchases on stock prices using several measures of price efficiency and manually collected data on U.S. repurchases. We find that share repurchases make prices more efficient and reduce idiosyncratic risk. Further analyses reveal that the effects are primarily driven by repurchases in down markets. We conclude that share repurchases help to maintain accurate stock prices by providing price support at fundamental values. We find no evidence that managers...
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作者：Almeida, Heitor; Hankins, Kristine Watson; Williams, Ryan
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Kentucky; University of Arizona
摘要：Purchase obligations are forward contracts with suppliers and are used more broadly than traded commodity derivatives. This paper is the first to document that these contracts are a risk management tool and have a material impact on corporate hedging activity. Firms that expand their risk management options following the introduction of steel futures contracts substitute financial hedging for purchase obligations. Contracting frictions, such as bargaining power and settlement risk, as well as ...
