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作者：Linnainmaa, Juhani T.
作者单位：University of Chicago
摘要：When agents can learn about their abilities as active investors, they rationally trade to learn even if they expect to lose from active investing. The model used to develop this insight draws conclusions that are consistent with empirical study of household trading behavior: Households' portfolios underperform passive investments; their trading intensity depends on past performance; and they begin by trading small sums of money. Using household data from Finland, the article estimates a struct...
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作者：Han, Yufeng; Lesmond, David
作者单位：Tulane University; University of Colorado System; University of Colorado Denver
摘要：We model a microstructure effect on daily security returns, embodied by zero returns and the bid-ask spread, and derive a closed-form solution for the resulting bias in the estimated idiosyncratic volatility. Our empirical tests show that controlling for the bias eliminates the ability of idiosyncratic volatility estimates to predict future returns. We also find a significant reduction in the pricing ability of idiosyncratic volatility after exogenous shocks to liquidity evidenced in the 1997 ...
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作者：Korniotis, George M.; Kumar, Alok
作者单位：University of Miami; University of Texas System; University of Texas Austin
摘要：We investigate whether the adverse effects of investors' behavioral biases extend beyond the domain of financial markets to the broad macro-economy. Focusing on the income risk-sharing role of financial markets, we find that risk sharing is higher (more than double) in U.S. states where investors are more sophisticated and exhibit weaker behavioral biases. The potential for risk sharing varies geographically, but states with better risk-sharing opportunities are able to achieve higher levels o...
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作者：Cassar, Gavin; Gerakos, Joseph
作者单位：University of Pennsylvania; University of Chicago
摘要：We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast to prior research on the anomalous properties of hedge fund returns, we observe the mechanisms used to price the fund's investment positions and report the fund's performance to investors, thereby allowing us to differentiate between asset illiquidity and misreporting-based explanations. We find that funds using less verifiable pricing sources and funds that provide managers with greater discretion...
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作者：Piskorski, Tomasz; Tchistyi, Alexei
作者单位：Columbia University; University of California System; University of California Berkeley
摘要：We characterize the optimal mortgage contract in a continuous-time setting with stochastic growth in house price and income, costly foreclosure, and a risky borrower who requires incentives to repay his debt. We show that many features of subprime loans can be consistent with properties of the optimal contract and that, when house prices decline, mortgage modification can create value for borrowers and lenders. Our model provides a number of empirical predictions that relate the features of mo...
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作者：Chiang, Yao-Min; Hirshleifer, David; Qian, Yiming; Sherman, Ann E.
作者单位：DePaul University; National Chengchi University; University of California System; University of California Irvine; University of Iowa
摘要：We examine how experience affects the decisions of individual investors and institutions in IPO auctions to bid in subsequent auctions, and their bidding returns. We track bidding histories for all 31,476 individual investors and 1,232 institutional investors across all 84 IPO auctions during the period from 1995 to 2000 in Taiwan. For individual bidders, (1) high returns in previous IPO auctions increase the likelihood of participating in future auctions; (2) bidders' returns decrease as they...
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作者：Klein, April; Zur, Emanuel
作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：In contrast to previous studies documenting positive abnormal returns to target shareholders, we find that hedge fund activism significantly reduces bondholders' wealth. The average excess bond return is -3.9% around the initial 13D filing, and is an additional -4.5% over the remaining year. Excess bond returns are related inversely to subsequent changes in cash and assets (loss of collateral effects) and directly to changes in total debt. Confrontational campaigns and the acquisition of at le...
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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：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...
