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作者：Bansal, Ravi; Shaliastovich, Ivan
作者单位：University of Pennsylvania; National Bureau of Economic Research; Duke University
摘要：We develop a general equilibrium model in which income and dividends are smooth but asset prices contain large moves (jumps). These large price jumps are triggered by optimal decisions of investors to learn the unobserved state. We show that learning choice is determined by preference parameters and the conditional volatility of income process. An important model prediction is that income volatility predicts future jump periods, while income growth does not. Consistent with the model, large mo...
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作者：Tetlock, Paul C.
作者单位：Columbia University
摘要：This article tests whether stock market investors appropriately distinguish between new and old information about firms. I define the staleness of a news story as its textual similarity to the previous ten stories about the same firm. I find that firms' stock returns respond less to stale news. Even so, a firm's return on the day of stale news negatively predicts its return in the following week. Individual investors trade more aggressively on news when news is stale. The subsequent return rev...
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作者：Dasgupta, Amil; Prat, Andrea; Verardo, Michela
作者单位：University of London; London School Economics & Political Science
摘要：We develop a simple model of the price impact of institutional herding. The empirical literature indicates that institutional herding positively predicts short-term returns but negatively predicts long-term returns. We offer a theoretical resolution to this dichotomy. In our model, career-concerned money managers trade with security dealers endowed with market power and exhibit an endogenous tendency to imitate past trades. This tendency is exploited by dealers and thus affects prices. In equi...
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作者：Conyon, Martin J.; Core, John E.; Guay, Wayne R.
作者单位：IE University; University of Pennsylvania; Massachusetts Institute of Technology (MIT)
摘要：We compute and compare risk-adjusted CEO pay in the United States and United Kingdom, where the risk adjustment is based on estimated risk premiums stemming from the equity incentives borne by CEOs. Controlling for firm and industry characteristics, we find that U.S. CEOs have higher pay, but also bear much higher stock and option incentives than U.K. CEOs. Using reasonable estimates of risk premiums, we find that risk-adjusted U.S. CEO pay does not appear to be large compared to that of U.K. ...
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作者：Kyle, Albert S.; Hui Ou-Yang; Wei, Bin
作者单位：University System of Maryland; University of Maryland College Park; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This article endogenizes information acquisition and portfolio delegation in a one-period strategic trading model. We find that, when the informed portfolio manager is relatively risk tolerant (averse), price informativeness increases (decreases) with the amount of noise trading. When noise trading is endogenized, the linear equilibrium in the traditional literature breaks down under a wide range of parameter values. In contrast, a linear equilibrium always exists in our model. In a convention...
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作者：Hennessy, Christopher A.; Zechner, Josef
作者单位：Vienna University of Economics & Business; University of London; London Business School
摘要：We analyze determinants of secondary debt market liquidity, identifying conditions under which a large investor can profitably buy stakes from small bondholders and offer unilateral debt relief to a distressed firm. We show that endogenous trading by small bondholders may result in multiple equilibria. Some equilibria entail vanishing liquidity and sharp increases in yields absent changing fundamentals. In turn, anticipation of illiquid equilibria induces firms to eschew public debt financing,...
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作者：Loutskina, Elena; Strahan, Philip E.
作者单位：University of Virginia; University of Pennsylvania; Boston College; National Bureau of Economic Research
摘要：Mortgage lenders that concentrate in a few markets invest more in information collection than diversified lenders. Concentrated lenders focus on the information-intensive jumbo market and on high-risk borrowers. They are better positioned to price risks and, thus, ration credit less. Adverse selection, however, leads to higher retention of mortgages relative to diversified lenders. Finally, concentrated lenders have higher profits than diversified lenders, their profits vary less systematicall...
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作者：Leary, Mark T.; Michaely, Roni
作者单位：Washington University (WUSTL); Reichman University
摘要：We document the cross-sectional properties of corporate dividend-smoothing policies and relate them to extant theories. We find that younger, smaller firms, firms with low dividend yields and more volatile earnings and returns, and firms with fewer and more disperse analyst forecasts smooth less. Firms that are cash cows, with low growth prospects, weaker governance, and greater institutional holdings, smooth more. We also document that dividend smoothing has steadily increased over the past 8...
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作者：Ball, Eric; Chiu, Hsin Hui; Smith, Richard
作者单位：University of California System; University of California Riverside; California State University System; California State University Northridge; Claremont Colleges; Claremont Graduate University
摘要：We use a sample of 8,163 venture-backed companies over three decades to test the competing hypotheses that levels and relative shares of IPO (initial public offering) and M&A(mergers and acquisitions) exits are affected by market timing, versus pseudo-market timing that reflects market conditions. We find evidence of pseudo-market timing. Venture-backed issuers react to market or sector runups but do not predict downturns. We find no evidence that firm-specific market timing contributes to IPO...
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作者：Tong, Hui; Wei, Shang-Jin
作者单位：International Monetary Fund; Columbia University; National Bureau of Economic Research
摘要：This article studies whether the volume and composition of capital flows affect the degree of credit crunch during the 2007-2009 crisis. Using data on 3,823 firms in 24 emerging countries, we find that, on average, the decline in stock prices was more severe for firms that are intrinsically more dependent on external finance for working capital. Interestingly, while the volume of capital flows per se has no significant effect, the composition matters a lot. In particular, greater dependence on...
