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作者：Stango, Victor; Zinman, Jonathan
作者单位：University of California System; University of California Davis; National Bureau of Economic Research; Dartmouth College
摘要：We explore dynamics of limited attention in the $35 billion market for checking overdrafts, using survey content as shocks to the salience of overdraft fees. Conditional on selection into surveys, individuals who face overdraft-related questions are less likely to incur a fee in the survey month. Taking multiple overdraft surveys builds a stock of attention that reduces overdrafts for up to two years. The effects are significant among consumers with lower education and financial literacy. Indi...
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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：Matvos, Gregor; Seru, Amit
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We argue and demonstrate that resource allocation within firms internal capital markets provides an important force countervailing financial market dislocation. We estimate a structural model of internal capital markets to separately identify and quantify the forces driving the reallocation decision and illustrate how these forces interact with external capital market stress. The weaker (stronger) division obtains too much (little) capital, as though it is 12 (9) more (less) productive than it...
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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：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：Gopalan, Radhakrishnan; Nanda, Vikram; Seru, Amit
作者单位：Washington University (WUSTL); University System of Georgia; Georgia Institute of Technology; University of Chicago; National Bureau of Economic Research
摘要：We argue that internal capital market imperatives of business groups i.e., reallocation of capital across group firms, influences an affiliated firms dividend policy. Intuition is developed in a model in which business group insiders distribute dividends from cash-rich firms and use their share of payout to invest in other affiliated firms. Employing multi-country panel-data, we find support for this channel: Dividends by a group firm are positively related with equity-financed investments by ...
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作者：Easley, David; O'Hara, Maureen; Yang, Liyan
作者单位：Cornell University; Cornell University; University of Toronto
摘要：We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis to investigate the implications of regulations that affect disclosure requirements of hedge funds or t...
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作者：Bonaime, Alice Adams; Hankins, Kristine Watson; Harford, Jarrad
作者单位：University of Kentucky; University of Washington; University of Washington Seattle
摘要：Both risk management and payout decisions affect a firm's financial flexibility-the ability to avoid costly financial distress as well as underinvestment. We provide evidence of substitution between hedging and payout decisions using samples of both financial and nonfinancial firms. We find that a more flexible distribution, favoring repurchases over dividends, is negatively related to financial hedging within a firm, consistent with financial flexibility in payout decisions and hedging being ...
