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作者：Buraschi, Andrea; Menguturk, Murat; Sener, Emrah
作者单位：Imperial College London; Ozyegin University
摘要：We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. During the 2007-2008 crisis, we find the emergence of large pricing anomalies in EM sovereign bond markets. Neither liquidity nor short-selling constraints can explain these persistent events. We use both cross-sectional and time-series information on these pricing anomalies to learn about specific geographical fr...
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作者：Kang, Ari; Lowery, Richard; Wardlaw, Malcolm
作者单位：University of Texas System; University of Texas Austin
摘要：We estimate a dynamic model of the decision to close a troubled bank. Regulators trade off an aversion to closing banks against the risk that allowing a bank to continue will raise the eventual costs to the deposit insurance fund. Using a conditional choice probability approach, we estimate the costs associated with closing banks, both in direct costs to the insurance fund and in other costs perceived by regulators, either social or personal. We find that delayed closures were driven by a desi...
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作者：Hartzmark, Samuel M.
作者单位：University of Chicago
摘要：I document a new stylized fact about how investors trade assets: individuals are more likely to sell the extreme winning and extreme losing positions in their portfolio (the rank effect). This effect is not driven by firm-specific information, holding period or the level of returns itself, but is associated with the salience of extreme portfolio positions. The rank effect is exhibited by both retail traders and mutual fund managers. The effect indicates that trades in a given stock depend on h...
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作者：Sunderam, Adi
作者单位：Harvard University; National Bureau of Economic Research
摘要：It is widely argued that shadow banking grew rapidly before the recent financial crisis because of rising demand for money-like claims. This paper assesses a key premise of this argument: that investors actually treated short-term debt issued by shadow banks as a money-like claim. I present a model where the financial sector and the central bank jointly respond to demand for money-like claims. The model generates predictions about the prices and quantities of Treasury bills, central bank reser...
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作者：Hung, Mingyi; Li, Xi; Wang, Shiheng
作者单位：Hong Kong University of Science & Technology
摘要：We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms' financial-reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in ana...
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作者：Palacios, Miguel
作者单位：Vanderbilt University
摘要：This paper derives the value and risk of aggregate human capital in a stochastic equilibrium model with Duffie-Epstein preferences. Athree-factor asset-pricing model is derived, where the factors are the market, the capital share, and investment in human capital. When the model is calibrated to match the historical ratio of wages to consumption in the United States, the weight of human capital in aggregate wealth is estimated to be about 93%, well above most previous estimates, and human capit...
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作者：Chen, Zhaohui; Morrison, Alan D.; Wilhelm, William J., Jr.
作者单位：University of Virginia; University of Oxford; Sun Yat Sen University
摘要：We present a model that explains why investment bankers struggle to manage conflicts of interest. Banks can build a type reputation for technical competence by performing complex deals that may not serve their clients' interest; on the other hand, banks can sustain a behavioral reputation by refraining from doing so. A behavioral reputation is a luxury reserved for banks that have proven their abilities. The model sheds light on conflicts between the trading and advisory divisions of investmen...
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作者：Bessembinder, Hendrik; Zhang, Feng
作者单位：Utah System of Higher Education; University of Utah
摘要：Corporate managers frequently announce corporate distributions, including stock splits, stock dividends, special dividends, and increases in regular dividends, on the anniversary of a like announcement at the same firm. The market appears to not fully appreciate the implications of current distributions for future distributions and stock returns, as a simple strategy that involves purchasing firms with high predicted probabilities of distribution announcements earns significant abnormal monthl...
