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作者：Chalmers, John; Reuter, Jonathan
作者单位：Boston College; National Bureau of Economic Research; University of Oregon
摘要：Because life annuities can increase the level and decrease the volatility of lifetime consumption, economists have long been puzzled by the low demand for life annuities. One potential rational explanation is that adverse selection drives up life annuity prices, which drives down demand. We study the choice between life annuities and lump sums made by 32,000 retiring public employees. These unique data allow us to extend the existing literature by exploiting economically significant cross-sect...
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作者：Chen, Hui; Joslin, Scott
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities and solving equilibrium models. This article provides analytical treatment of a general class of nonlinear transforms for processes with tractable conditional characteristic functions. We extend existing results on characteristic function-based transforms to a substantially wider class of nonlinear functions while maintaining low dimensionality by avoiding the need to compute the de...
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作者：Easley, David; de Prado, Marcos M. Lopez; O'Hara, Maureen
作者单位：Cornell University; Cornell University; Harvard University
摘要：Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume imbalance and trade intensity (the VPIN toxicity metric). VPIN is updated in volume time, making it applicable to the high-frequency world, and it does not require the intermediate estimation of non-observable parameters or the application of numerical methods. It does require trades classified as buys or se...
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作者：Dougal, Casey; Engelberg, Joseph; Garcia, Diego; Parsons, Christopher A.
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
摘要：We use exogenous scheduling of Wall Street Journal columnists to identify a causal relation between financial reporting and stock market performance. To measure the media's unconditional effect, we add columnist fixed effects to a daily regression of excess Dow Jones Industrial Average returns. Relative to standard control variables, these fixed effects increase the R-2 by about 35%, indicating each columnist's average persistent bullishness or bearishness. To measure the media's conditional e...
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作者：Feldhuetter, Peter
作者单位：University of London; London Business School
摘要：I propose a new measure that identifies when the market price of an over-the-counter traded asset is below its fundamental value due to selling pressure. The measure is the difference between prices paid by small traders and those paid by large traders. In a model for over-the-counter trading with search frictions and periods with selling pressures, I show that this measure identifies liquidity crises (i.e., high number of forced sellers). Using a structural estimation, the model is able to id...
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作者：Lee, Suzanne S.
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：This article investigates the predictability of jump arrivals in U.S. stock markets. Using a new test that identifies jump predictors up to the intraday level, I find that jumps are likely to occur shortly after macroeconomic information releases, such as the Federal Reserve announcements, nonfarm payroll reports, and jobless claims, as well as market index jumps. I also find firm-specific jump predictors related to earnings releases, analyst recommendations, past stock jumps, and dividend dat...
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作者：Hackbarth, Dirk; Mauer, David C.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Texas System; University of Texas Dallas
摘要：We study the interaction between financing and investment decisions in a dynamic model, where the firm has multiple debt issues and equityholders choose the timing of investment. Jointly optimal capital and priority structures can virtually eliminate investment distortions because debt priority serves as a dynamically optimal contract. Examining the relative efficiency of priority rules observed in practice, we develop several predictions about how firms adjust their priority structure in resp...
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作者：Thornton, Daniel L.; Valente, Giorgio
作者单位：University of Essex; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy. The results show that the information content of forward rates does not generate systematic economic value to investors. Indeed, these models do not outperform the no-predictability benchmark. Furthermore, their relative performance deteriorates over time.
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作者：Patton, Andrew J.; Verardo, Michela
作者单位：University of London; London School Economics & Political Science; Duke University
摘要：We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about other firms in the market, and resolve greater ex ante uncertainty. Our results are consistent with a...
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作者：Duarte, Jefferson; Siegel, Stephan; Young, Lance
作者单位：Rice University; University of Washington; University of Washington Seattle
摘要：Although it is well known that appearance-based impressions affect labor market and election outcomes, little is known about the role appearance plays in financial transactions. We address this question using photographs of potential borrowers from a peer-to-peer lending site. Consistent with the trust-intensive nature of lending, we find that borrowers who appear more trustworthy have higher probabilities of having their loans funded. Moreover, borrowers who appear more trustworthy indeed hav...
