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作者：Pasquariello, Paolo
作者单位：University of Michigan System; University of Michigan
摘要：Dislocations occur when financial markets, operating under stressful conditions, experience large, widespread asset mispricings. This study documents systematic dislocations in world capital markets and the importance of their fluctuations for expected asset returns. Our novel, model-free measure of these dislocations is a monthly average of hundreds of individual abnormal absolute violations of three textbook arbitrage parities in stock, foreign exchange, and money markets. We find that inves...
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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：Coles, Jeffrey L.; Daniel, Naveen D.; Naveen, Lalitha
作者单位：Utah System of Higher Education; University of Utah; Drexel University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We develop two measures of board composition to investigate whether directors appointed by the CEO have allegiance to the CEO and decrease their monitoring. Co-option is the fraction of the board comprised of directors appointed after the CEO assumed office. As Co-option increases, board monitoring decreases: turnover-performance sensitivity diminishes, pay increases (without commensurate increase in pay-performance sensitivity), and investment increases. Non-Co-opted Independence-the fraction...
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作者：David, Alexander; Veronesi, Pietro
作者单位：University of Calgary; University of Chicago; National Bureau of Economic Research
摘要：Shocks to equity options' implied volatility are followed by persistently lower short-term rates. Shocks to puts' over calls' out-of-the-money implied volatilities (P/C) are followed by persistently higher rates. Stock and Treasury bond implied volatilities, which measure market and policy uncertainty, are countercyclical, while P/C, which measures downside risk, is procyclical. An equilibrium model in which investors and the central bank learn about composite regimes of economic and policy va...
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作者：Chambers, Donald R.; Foy, Matthew; Liebner, Jeffrey; Lu, Qin
作者单位：Lafayette College
摘要：Previous research indicates mixed conclusions on the potential mispricing of equity index put options. We examine the returns of put writing and other option strategies by comparing historical option returns with returns generated using option pricing models. We find it is generally possible to reject the hypothesis that put returns are consistent with option pricing models. An implication is that the average cost of buying out-of-the-money put options to provide tail-risk protection to a port...
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作者：Choi, Dong Beom
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We first study a stylized model of self-fulfilling panic among agents with differing fragilities to strategic risk and show that depending on the severity of coordination problems, the panic trigger threshold can depend only on one type's fragility. We then present a model of systemic panic among financial institutions with heterogeneous fragilities to financial spillovers. Concerns about potential spillovers generate strategic interaction, triggering a pre-emption game in which one tries to e...
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作者：Chernenko, Sergey; Sunderam, Adi
作者单位：University System of Ohio; Ohio State University; Harvard University
摘要：We document frictions in money market mutual fund lending that lead to the transmission of distress across borrowers. Using novel security-level holdings data, we show that funds exposed to Eurozone banks suffered large outflows in mid-2011. These outflows had significant spillovers: non-European issuers relying on such funds raised less short-term debt financing. Issuer characteristics do not explain the results: holding fixed the issuer, funds with higher Eurozone exposure cut lending more. ...
