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作者：Plantin, Guillaume
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：Banks are subject to capital requirements because their privately optimal leverage is higher than the socially optimal one. This is in turn because banks fail to internalize all costs that their insolvency creates for agents who use their money-like liabilities to settle transactions. If banks can bypass capital regulation in an opaque shadow banking sector, it may be optimal to relax capital requirements so that liquidity dries up in the shadow banking sector. Tightening capital requirements ...
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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：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：Fuster, Andreas; Vickery, James
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitize, exploiting plausibly exogenous variation in access to liquid securitization markets generated by a regulatory cutoff and time variation in private securitization activity. We interpret our findings as evidence that lenders are reluctant to...
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作者：Murfin, Justin; Njoroge, Ken
作者单位：Yale University; University of Oregon
摘要：We examine a novel, but economically important, characterization of trade credit relationships in which large investment-grade buyers borrow from their smaller suppliers. Using a matched sample of large retail buyers and their much smaller suppliers, we find that slower payment terms by large retailers are associated with lower investment at the supplier level. The effects are sharpest during periods of tight bank credit and for firms which we might otherwise characterize as financially constr...
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作者：Ming Guo; Hui Ou-Yang
作者单位：Shanghai Jiao Tong University
摘要：We develop a strategic trading model in which an insider exploits noise traders' overreaction. A feedback effect arises from the insider's trading on fundamental information (the expected growth rate of dividends) and nonfundamental information (insider's inventory or noise supply). We find that the stock price is not fully revealing; a faster mean-reverting noise supply leads to a more volatile price; the price impact can increase with insider's risk-aversion; and a risk-averse insider can tr...
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作者：Da, Zhi; Engelberg, Joseph; Gao, Pengjie
作者单位：University of Notre Dame; University of California System; University of California San Diego
摘要：We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., recession, unemployment, and bankruptcy), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004 and 2011, we find FEARS (i) predict short-term return reversals, (ii) predict temporary increases in volatility, and (iii) predict mutual fund flows o...
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作者：Chang, Yen-Cheng; Hong, Harrison; Liskovich, Inessa
作者单位：Shanghai Jiao Tong University; Princeton University
摘要：The Russell 1000 and 2000 stock indexes comprise the first 1000 and next 2000 largest firms ranked by market capitalization. Small changes in the capitalizations of firms ranked near 1000 move them between these indexes. Because the indexes are value-weighted, more money tracks the largest stocks in the Russell 2000 than the smallest in the Russell 1000. Using this discontinuity, we find that additions to the Russell 2000 result in price increases and deletions result in price declines. We the...
