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作者：Delao, Ricardo; Han, Xiao; Myers, Sean
作者单位：University of Southern California; City St Georges, University of London; University of Pennsylvania
摘要：What explains cross-sectional dispersion in stock valuation ratios? We find that 75% of dispersion in price-earnings ratios is reflected in differences in future returns, while only 25% is reflected in differences in future earnings growth. This holds at both the portfolio-level and the firm-level. We reconcile these conclusions with previous literature which has found a strong relation between prices and future profitability. Our results support models in which the cross-section of price-earn...
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作者：Davis, Carter; Kargar, Mahyar; Li, Jiacui
作者单位：University System of Ohio; Ohio State University; University of Illinois System; University of Illinois Urbana-Champaign; Utah System of Higher Education; University of Utah
摘要：Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower-by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: price pass-through, which captures how price movements forecast returns, and unspanned returns, reflecting a stock's lack of perfect substitutes. In a factor model framework, we show that un...
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作者：Abuzov, Rustam; Gornall, Will; Strebulaev, Ilya A.
作者单位：University of Virginia; University of British Columbia; Stanford University; National Bureau of Economic Research
摘要：We study how information disclosure concerns shape the choice of limited partners (LPs) by venture capitalists (VCs). Late-2002 court rulings prevented public LPs from providing confidentiality to investment managers. The best-performing VCs, but not other managers, responded by excluding public LPs from their new funds. Lost access reduced public LP returns by $1.6 billion relative to $14 billion of their VC commitments. Legislation reducing disclosure, contracts limiting information access, ...
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作者：Benmelech, Efraim; Zator, Michal
作者单位：Northwestern University; National Bureau of Economic Research; University of Notre Dame
摘要：Using cross-country and German administrative data on robotization, we show that the impact of robots on firms and labor markets is limited. First, investment in robots is small and highly concentrated in a few industries, representing less than 0.3% of aggregate expenditures on equipment. Second, robotization does not grow as rapidly as Information Technology did in the past, and current growth is driven by gains in developing countries. Third, firms invest in robots when they face difficulti...
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作者：DeAngelo, Harry; Kahle, Kathleen; Skinner, Douglas J.
作者单位：University of Southern California; University of Arizona; University of Chicago
摘要：Jensen's (1986) analysis of the agency costs of free cash flow radically transformed our understanding of corporate payout policy. This paper details the main pre-Jensen advances in the payout literature, explains how his analysis profoundly altered the way financial economists view payout policy, and discusses prominent regularities that provide real-world texture for understanding the importance of his insights about payout policy. These regularities include: (i) the dominance (measured as a...
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作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; New York University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long ...
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作者：Jacobsen, Stacey; Venkataraman, Kumar
作者单位：Southern Methodist University
摘要：We study block trades in the corporate bond market, where dealers buy or sell blocks from initiating customers and offset their positions with receiving investors. Our findings indicate that while receivers benefit from trading cost savings, they primarily bear adverse selection costs and experience worse outcomes when informed trading is prevalent. Mandatory trade reporting improves receiver outcomes by revealing dealers' private information, but the benefits are reduced when reporting is del...
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作者：Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; Watugala, Sumudu W.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We exploit the 2020 Treasury market shock to analyze how external and internal constraints impact arbitrageurs. Using regulatory filings, we find that hedge funds reduced arbitrage activities and increased cash holdings, despite stable credit and low contemporaneous redemptions. Creditors' regulatory and liquidity constraints were not propagated to hedge funds through repo-Treasury arbitrageurs' predominant financing source. Fund-creditor borrowing data reveal more regulated dealers provided, ...
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作者：Lou, Dong; Pinter, Gabor; Uslu, Semih; Walker, Danny
作者单位：Hong Kong University of Science & Technology; University of London; London School Economics & Political Science; Bank for International Settlements (BIS); Johns Hopkins University; Bank of England
摘要：UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints playa role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news ...
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作者：Colacito, Riccardo; Qian, Yan; Stathopoulos, Andreas
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Central University of Finance & Economics; National Bureau of Economic Research
摘要：We document that the currency denomination of the debt of large firms in developed countries is strongly associated with the geographical distribution of their sales. Furthermore, those firms exhibit significant home currency bias and international currency bias in borrowing: controlling for the geography of sales, they borrow more in their home currency and the two most traded currencies, the US dollar and the euro. We also show that the firms' debt currency denomination choices are associate...
