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作者：Bhattacharya, Utpal; Hackethal, Andreas; Kaesler, Simon; Loos, Benjamin; Meyer, Steffen
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Goethe University Frankfurt
摘要：Working with one of the largest brokerages in Germany, we record what happens when unbiased investment advice is offered to a random set of approximately 8,000 active retail customers out of the brokerage's several hundred thousand retail customers. We find that investors who most need the financial advice are least likely to obtain it. The investors who do obtain the advice (about 5%), however, hardly follow the advice and do not improve their portfolio efficiency by much. Overall, our result...
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作者：Anderson, Ronald W.; Carverhill, Andrew
作者单位：University of London; London School Economics & Political Science; University of Hong Kong
摘要：We solve for a firm's optimal cash holding policy within a continuous time, contingent claims framework using dividends, short-term borrowing, and equity issues as controls assuming mean reversion of earnings. Optimal cash is non-monotone in business conditions and increasing in the level of long-term debt. The model matches closely a wide range of empirical benchmarks and predicts cash and leverage dynamics in line with the empirical literature. Firm value is quite insensitive to changes in t...
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作者：Erel, Isil; Julio, Brandon; Kim, Woojin; Weisbach, Michael S.
作者单位：Seoul National University (SNU); University System of Ohio; Ohio State University; University of London; London Business School; National Bureau of Economic Research
摘要：Do macroeconomic conditions affect firms' abilities to raise capital? If so, how do they affect the manner in which the capital is raised? Using a large sample of publicly traded debt issues, seasoned equity offers, bank loans, and private placements of equity and debt, we find that a borrower's credit quality significantly affects its ability to raise capital during macroeconomic downturns. For noninvestment-grade borrowers, capital raising tends to be procyclical, while for investment-grade ...
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作者：Chen, Zhanhui; Petkova, Ralitsa
作者单位：Purdue University System; Purdue University; Nanyang Technological University
摘要：We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of risk in the cross section of portfolios sorted by idiosyncratic volatility. Portfolios with high (low) idiosyncratic volatility relative to the Fama-French (1993) model have positive (negative) exposures to innovations in average stock variance and therefore lower (higher) expected returns. These two findings explain the idiosyncratic vola...
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作者：Pagano, Marco; Volpin, Paolo
作者单位：University of London; London Business School; University of Naples Federico II
摘要：We present a model in which issuers of asset-backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity. The degree of transparency is inefficiently low if the social value of secondary market liquidity exceeds its private value. We show that various types of public intervention (mandatory transparency standards, provision of liquidity to distressed banks, or secondary market price support) have qu...
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作者：Erickson, Timothy; Whited, Toni M.
作者单位：University of Rochester
摘要：We compare the ability of three measurement error remedies to deliver unbiased estimates of coefficients in investment regressions. We examine high-order moment estimators, dynamic panel estimators, and simple instrumental variables estimators that use lagged mismeasured regressors as instruments. We show that recent investigations of this question are largely uninformative. We find that all estimators can pet-form well under correct specification, all can be biased under misspecification, and...
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作者：Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat
作者单位：University of Auckland; Massey University; Massey University
摘要：We examine the performance of liquidity proxies in commodities. The Amihud measure has the largest correlation with liquidity benchmarks. Amivest and Effective Tick measures also perform well. These proxies are useful for studies of commodity liquidity over a long time period and those that lack access to high-frequency data. We use various aspects of transaction costs, such as spread, depth, immediacy, and resiliency, to give insight into the costs of different execution approaches. Transacti...
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作者：Dong, Ming; Hirshleifer, David; Teoh, Siew Hong
作者单位：York University - Canada
摘要：We test whether and how equity overvaluation affects corporate financing decisions using an ex ante misvaluation measure that filters firm scale and growth prospects from market price. We find that equity issuance and total financing increase with equity overvaluation, but only among overvalued stocks, and that equity issuance is more sensitive than debt issuance to misvaluation. Consistent with managers catering to maintain overvaluation and with investment-scale economy effects, the sensitiv...
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作者：Dziuda, Wioletta; Mondria, Jordi
作者单位：University of Toronto; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a model of delegated asset management that can explain the following empirical regularities in international markets: the presence of home bias, the lower proportion of mutual funds investing domestically, and the higher market value of mutual funds investing domestically. In the model, fund managers choose whether to specialize in domestic or foreign assets. Individual investors are uncertain about managers' abilities, and they are more informed about domestic markets. This makes d...
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作者：Denis, David J.; McKeon, Stephen B.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Oregon
摘要：Firms that intentionally increase leverage through substantial debt issuances do so primarily as a response to operating needs rather than a desire to make a large equity payout. Subsequent debt reductions are neither rapid, nor the result of proactive attempts to rebalance the firm's capital structure toward a long-run target. Instead, the evolution of the firm's leverage ratio depends primarily on whether or not the firm produces a financial surplus. In fact, firms that generate subsequent d...
