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作者：Vives, Xavier
作者单位：University of Navarra; IESE Business School
摘要：Fragility is affected by how the balance sheet composition of financial intermediaries, the precision of information signals, and market stress parameters all influence the extent of strategic complementarity among investors' strategies. A solvency and a liquidity ratio are required to control the likelihood of insolvency and illiquidity. The solvency requirement must be strengthened in the face of increased competition, whereas the liquidity requirement must be strengthened under more conserv...
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作者：Hori, Keiichi; Osano, Hiroshi
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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：Fang, Lily H.; Peress, Joel; Zheng, Lu
作者单位：University of California System; University of California Irvine
摘要：We study the relation between mutual fund trades and mass media coverage of stocks. We find that funds exhibit persistent differences in their propensity to buy media-covered stocks. Moreover, this propensity is negatively related to their future performance. Funds in the highest propensity decile underperform funds in the lowest propensity decile by 1.1% to 2.8% per year. These results do not extend to fund sells, likely because of funds' inability to sell short. Overall, the findings suggest...
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作者：Hillert, Alexander; Jacobs, Heiko; Mueller, Sebastian
作者单位：University of Mannheim
摘要：Relying on 2.2 million articles from forty-five national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit, ceteris paribus, significantly stronger momentum. The effect depends on article tone, reverses in the long run, is more pronounced for stocks with high uncertainty, and is stronger in states with high investor individualism. Our findings suggest that media coverage can exacerbate investor biases, leading return predictability to...
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作者：Barzuza, Michal; Smith, David C.
作者单位：University of Virginia; University of Virginia
摘要：We find that Nevada, the second most popular state for out-of-state incorporations and a state with lax corporate law, attracts firms that are 30-40% more likely to report financial results that later require restatement than firms incorporated in other states, including Delaware. Our results suggest that firms favoring protections for insiders select Nevada as a corporate home, and these firms are prone to financial reporting failures. We provide some evidence that Nevada law also has a causa...
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作者：Chang, Xin; Dasgupta, Sudipto; Wong, George; Yao, Jiaquan
作者单位：Nanyang Technological University; Hong Kong University of Science & Technology; Hong Kong Polytechnic University; Xiamen University; Xiamen University
摘要：We study how firms allocate cash flow by estimating the cash-flow sensitivities of various uses of cash flow. We decompose cash flow into a transitory and a permanent component and focus on the allocation of the transitory component, which by construction contains little information about future growth opportunities. We find that more financially constrained firms allocate more transitory cash flow to cash savings and direct less toward investment than do less constrained firms, consistent wit...
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作者：Babenko, Ilona; Sen, Rik
作者单位：Arizona State University; Arizona State University-Tempe; Hong Kong University of Science & Technology
摘要：We analyze participation decisions in employee stock purchase plans. These plans allow employees to buy company stock at a discount from the market price and resell it immediately for a sure profit. Although an average employee stands to gain $3,079 annually, only 30% of individuals take advantage of this risk-free opportunity. Participation is more likely among employees who are familiar with stocks, are more educated, are less financially constrained, and make fewer errors in valuing financi...
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作者：Giglio, Stefano; Shue, Kelly
作者单位：University of Chicago; National Bureau of Economic Research
摘要：As illustrated in the tale of the dog that did not bark, the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent...
