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作者：Hanson, Samuel G.; Sunderam, Adi
作者单位：Harvard University
摘要：We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross-section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has resulted in lower strategy returns. However, consistent with theories of limited arbitrage, we show that st...
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作者：Sunder, Jayanthi; Sunder, Shyam V.; Wongsunwai, Wan
作者单位：University of Arizona; Northwestern University
摘要：We investigate the effect of shareholder activism on debtholders by examining a sample of bank loans for firms targeted by activist hedge funds. We compare loan spreads before and after intervention and show the effects of heterogeneous shareholder actions. Spreads increase when shareholder activism relies on the market for corporate control or financial restructuring. In contrast, spreads decrease when activists address managerial entrenchment. Furthermore, the effects are more pronounced whe...
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作者：Fisman, Raymond; Hamao, Yasushi; Wang, Yongxiang
作者单位：Columbia University; National Bureau of Economic Research; University of Southern California
摘要：We study the impact of nationalism and interstate frictions on international economic relations by analyzing market reaction to adverse shocks to Sino-Japanese relations in 2005 and 2010. Japanese companies with high China exposure suffer relative declines during each event window; a symmetric effect is observed for Chinese companies with high Japanese exposure. The effect on Japanese companies is more pronounced for those operating in industries dominated by Chinese state-owned enterprises, w...
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作者：Zhu, Haoxiang
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Dark pools are equity trading systems that do not publicly display orders. Dark pools offer potential price improvements but do not guarantee execution. Informed traders tend to trade in the same direction, crowd on the heavy side of the market, and face a higher execution risk in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive to informed traders, and dark pools are more attractive to uninformed traders. Under certain conditions, adding a dark pool a...
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作者：Jahan-Parvar, Mohammad R.; Liu, Hening
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Manchester
摘要：We examine a production-based asset-pricing model with an unobservable mean growth rate following a two-state Markov chain and with an ambiguity-averse representative agent. Our model requires a low coefficient of relative risk aversion to produce: (i) a high equity premium and volatile equity returns, (ii) a low and smooth risk-free rate, (iii) smooth consumption growth and volatile investment growth, (iv) countercyclical equity premium and market price of risk, (v) conditional heteroscedasti...
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作者：Trolle, Anders B.; Schwartz, Eduardo S.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is most consistently related to the conditional correlation between swap rates and swap rate variances. From realized excess returns on s...
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作者：Cespa, Giovanni; Foucault, Thierry
作者单位：City St Georges, University of London; Hautes Etudes Commerciales (HEC) Paris
摘要：Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a very large drop in market liquidity and price informativeness (a liquidity crash). This feedback loop provides a new explanation for co...
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作者：Lou, Dong
作者单位：University of London; London School Economics & Political Science
摘要：This paper provides evidence that managers adjust firm advertising, in part, to attract investor attention and influence short-term stock returns. First, I show that increased advertising spending is associated with a contemporaneous rise in retail buying and abnormal stock returns, and is followed by lower future returns. Second, I document a significant increase in advertising spending prior to insider sales and a significant decrease in the subsequent year. Additional analyses suggest that ...
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作者：Kerr, William R.; Lerner, Josh; Schoar, Antoinette
作者单位：Harvard University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：This article documents the fact that ventures funded by two successful angel groups experience superior outcomes to rejected ventures: They have improved survival, exits, employment, patenting, Web traffic, and financing. We use strong discontinuities in angel- funding behavior over small changes in their collective interest levels to implement a regression discontinuity approach. We confirm the positive effects for venture operations, with qualitative support for a higher likelihood of succes...
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作者：Welch, Ivo
作者单位：University of California System; University of California Los Angeles
摘要：This paper quantitatively analyzes referee recommendations at eight prominent economics and finance journals, and the SFS (Society for Financial Studies) Cavalcade Conference, where a known algorithm matched referees to submissions. The behavior of referees was similar in all venues. The referee-specific component in the disposition recommendation was about twice as important as the common component. Referees differed both in their scales (some referees were intrinsically more generous than ot...
