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作者：Bustamante, M. Cecilia
作者单位：University System of Maryland; University of Maryland College Park; University of London; London School Economics & Political Science
摘要：This paper characterizes how firms' strategic interaction in product markets affects the industry dynamics of investment and expected returns. In imperfectly competitive industries, a firm's exposure to systematic risk is affected by both its own investment strategy and the investment strategies of its peers, so that the dynamics of its expected returns depend on the intraindustry value spread. In the model and the data, firms' betas and returns correlate more positively in industries with low...
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作者：Brogaard, Jonathan; Hagstromer, Bjorn; Norden, Lars; Riordan, Ryan
作者单位：University of Washington; University of Washington Seattle; Stockholm University; Queens University - Canada
摘要：We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly by participants who engage in market making. Those that upgrade use their enhanced speed to reduce their exposure to adverse selection and to relax their inventory constraints. In particular, the upgraded trading entities remain competitive at the best bid ...
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作者：Birru, Justin
作者单位：University System of Ohio; Ohio State University
摘要：Using investor-level data, I document that the disposition effect is absent following a stock split; inattentive investors may fail to split-adjust their reference point, confusing the winner versus loser status of their holdings. Consistent with the disposition effect impeding the incorporation of news, ex-date returns are significantly higher for split stocks with higher gains. However, the magnitude is small relative to momentum, and momentum remains robustly present among this sample of st...
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作者：Kuo, Wei-Yu; Lin, Tse-Chun; Zhao, Jing
作者单位：National Chengchi University; National Chengchi University; University of Hong Kong
摘要：We hypothesize that cognitive limitation may be manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts. Using detailed limit order data in the Taiwan Futures Exchange, we find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater losses in their round-numbered and non-round-numbered limit orders, market orders, and round-trip ...
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作者：Andrei, Daniel; Hasler, Michael
作者单位：University of California System; University of California Los Angeles; University of Toronto
摘要：We investigate, in a theoretical framework, the joint role played by investors' attention to news and learning uncertainty in determining asset prices. The model provides two main predictions. First, stock return variance and risk premia increase with both attention and uncertainty. Second, this increasing relationship is quadratic. We empirically test these two predictions, and we show that the data lend support to the increasing relationship. The evidence for a quadratic relationship is mixe...
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作者：Ahern, Kenneth R.; Sosyura, Denis
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：The media has an incentive to publish sensational news. We study how this incentive affects the accuracy of media coverage in the context of merger rumors. Using a novel dataset, we find that accuracy is predicted by a journalist's experience, specialized education, and industry expertise. Conversely, less accurate stories use ambiguous language and feature well-known firms with broad readership appeal. Investors do not fully account for the predictive power of these characteristics, leading t...
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作者：Larrain, Mauricio
作者单位：Columbia University
摘要：Opening the capital account allows financially constrained firms to raise capital from abroad. Since capital and skilled labor are relative complements, this increases the relative demand for skilled labor versus unskilled labor, leading to higher wage inequality. Using aggregate data and exploiting variation in the timing of capital account openings across 20 mainly European countries, I find that opening the capital account increases aggregate wage inequality. In order to identify the mechan...
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作者：Goetzmann, William N.; Kim, Dasol; Kumar, Alok; Wang, Qin
作者单位：Yale University; University System of Ohio; Case Western Reserve University; University of Miami; University of Michigan System; University of Michigan
摘要：This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. Using survey and disaggregated trade data, we show that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones Industrial Index and increase selling propensities of institutions. We introduce stock-level measures of investor mood; investor optimism positively impacts stock returns among stocks with higher arbitrage cos...
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作者：Hameed, Allaudeen; Morck, Randall; Shen, Jianfeng; Yeung, Bernard
作者单位：National University of Singapore; University of Alberta; University of New South Wales Sydney
摘要：Analysts follow disproportionally firms whose fundamentals correlate more with those of their industry peers. This coverage pattern supports models of profit-maximizing information intermediaries producing preferentially information valuable in pricing more stocks. We designate highly followed firms whose fundamentals best predict those of peer firms as bellwether firms. When analysts revise a bellwether firm's earning forecast, it changes the prices of other firms significantly; however, revi...
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作者：Osambela, Emilio
作者单位：Carnegie Mellon University
摘要：This paper studies how investors' differences of opinion affect liquidity and asset prices. In our economy, excessively optimistic investors are subject to an endogenous funding constraint that prevents default due to ex-ante-limited commitment. When the funding constraint binds, optimists use their savings to increase their consumption share, deterring default. This allows them to place speculative trades, increasing market liquidity. Their losses on these trades make them prone to default, l...
