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作者：Ferreira, Daniel; Manso, Gustavo; Silva, Andre C.
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of London; London Business School; University of California System; University of California Berkeley; Universidade Nova de Lisboa
摘要：We model the impact of public and private ownership structures on firms' incentives to invest in innovative projects. We show that it is optimal to go public when exploiting existing ideas and optimal to go private when exploring new ideas. This result derives from the fact that private firms are less transparent to outside investors than are public firms. In private firms, insiders can time the market by choosing an early exit strategy if they receive bad news. This option makes insiders more...
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作者：Iyer, Rajkamal; Peydro, Jose-Luis; da-Rocha-Lopes, Samuel; Schoar, Antoinette
作者单位：Massachusetts Institute of Technology (MIT); ICREA; Pompeu Fabra University; Barcelona School of Economics; Center for Economic & Policy Research (CEPR); Universidade Nova de Lisboa; Banco de Portugal; National Bureau of Economic Research
摘要：We study the credit supply effects of the unexpected freeze of the European interbank market, using exhaustive Portuguese loan-level data. We find that banks that rely more on interbank borrowing before the crisis decrease their credit supply more during the crisis. The credit supply reduction is stronger for firms that are smaller, with weaker banking relationships. Small firms cannot compensate the credit crunch with other sources of debt. Furthermore, the impact of illiquidity on the credit...
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作者：Sato, Yuki
作者单位：University of Lausanne; Swiss Finance Institute (SFI)
摘要：This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g., mutual funds) and opaque funds (e.g., hedge funds) trade transparent assets (e.g., plain-vanilla products) and opaque assets (e.g., structured products). Investors observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with empirical observations, an opacity price premium arises: opaque assets trade at a premium over transparent...
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作者：Agarwal, Vikas; Gay, Gerald D.; Ling, Leng
作者单位：University System of Georgia; Georgia State University
摘要：We provide a rationale for window dressing wherein investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers make a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations. Conditional on good (bad) performance, window dressers benefit (suffer) from higher (lower) investor flows c...
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作者：Luciano, Elisa; Nicodano, Giovanna
作者单位：University of Turin; Collegio Carlo Alberto; University of Turin; Collegio Carlo Alberto; European Corporate Governance Institute
摘要：This paper considers the optimal joint decision on firm organization and capital structure under a tax-bankruptcy trade-off, stressing the role of guarantees against default. Conditional guarantees, which are embedded in parent-subsidiary structures, increase joint value and joint debt relative to unguaranteed stand-alone firms. Such guarantees, that are unilateral rather than mutual for moderate default costs, may dominate the unconditional mutual guarantees built in mergers. We study the opt...
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作者：Martin, Antoine; Skeie, David; von Thadden, Ernst-Ludwig
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Mannheim
摘要：The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. In this paper, we develop a dynamic equilibrium model and analyze under what conditions such instability can be a consequence of market-wide changes in expectations. We derive a liquidity constraint and a collateral constraint that determine whether such expectations-driven runs are possible and show that they depend crucially on the microstructure of part...
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作者：Cole, Shawn; Paulson, Anna; Shastry, Gauri Kartini
作者单位：National Bureau of Economic Research; Harvard University; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Wellesley College
摘要：Household financial decisions are important for household welfare, economic growth, and financial stability. Yet our understanding of the determinants of financial decision making is limited. Exploiting exogenous variation in state compulsory schooling laws in both standard and two-sample instrumental variable strategies, we show that education increases financial market participation, measured by investment income and equities ownership, while dramatically reducing the probability that an ind...
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作者：Chen, Hailiang; De, Prabuddha; Hu, Yu (Jeffrey); Hwang, Byoung-Hyoun
作者单位：City University of Hong Kong; Purdue University System; Purdue University; University System of Georgia; Georgia Institute of Technology; Korea University
摘要：Social media has become a popular venue for individuals to share the results of their own analysis on financial securities. This paper investigates the extent to which investor opinions transmitted through social media predict future stock returns and earnings surprises. We conduct textual analysis of articles published on one of the most popular social media platforms for investors in the United States. We also consider the readers perspective as inferred via commentaries written in response ...
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作者：DeMiguel, Victor; Nogales, Francisco J.; Uppal, Raman
作者单位：University of London; London Business School; Universidad Carlos III de Madrid; Universite Catholique de Lille; EDHEC Business School
摘要：We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expected returns regardless of the sign of asset return cross-covariances and autocovariances. Empirically,...
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作者：Robb, Alicia M.; Robinson, David T.
作者单位：University of California System; University of California Santa Cruz; Duke University; National Bureau of Economic Research
摘要：We study capital structure choices that entrepreneurs make in their firms' initial year of operation, using restricted-access data from the Kauffman Firm Survey. Firms in our data rely heavily on external debt sources, such as bank financing, and less extensively on friends-and-family-based funding sources. Many startups receive debt financed through the personal balance sheets of the entrepreneur, effectively resulting in the entrepreneur holding levered equity claims in their startups. This ...
