2期

最新文章

• The labor effects of judicial bias in bankruptcy* AI翻译
  作者：Araujo, Aloisio; Ferreira, Rafael; Lagaras, Spyridon; Moraes, Flavio; Ponticelli, Jacopo; Tsoutsoura, Margarita
  作者单位：Getulio Vargas Foundation; Instituto Nacional de Matematica Pura e Aplicada (IMPA); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Universidade Federal do Rio de Janeiro; Northwestern University; National Bureau of Economic Research; Washington University (WUSTL); Centre for Economic Policy Research - UK
  摘要：We study the effect of judicial bias favoring firm continuation in bankruptcy on the labor market outcomes of employees by exploiting the random assignment of cases across courts in the State of Sa similar to o Paulo in Brazil. Employees of firms assigned to courts that favor firm continuation are more likely to stay with their employer, but they earn, on average, lower wages three to five years after bankruptcy. We discuss several potential mechanisms that can rationalize this result, and pro...
• Can the changes in fundamentals explain the attenuation of anomalies? AI翻译
  作者：Choy, Siu Kai; Lewis, Craig; Tan, Yongxian
  作者单位：University of London; King's College London; Vanderbilt University; Curtin University
  摘要：The existing literature attributes the recent decay of stock market anomalies to increased arbitrage activities (e.g., Chordia, Subrahmanyam, and Tong, 2014; McLean and Pontiff, 2016; Green, Hand, and Zhang, 2017). In this paper, we present evidence that the appar-ent demise of several prominent classes of stock market anomalies is better explained by changes in underlying fundamentals. The attenuation of anomalies in the Momentum, In-vestment, and Profitability categories are accompanied by a...
• Institutional investors, heterogeneous benchmarks and the comovement of asset prices AI翻译
  作者：Buffa, Andrea M.; Hodor, Idan
  作者单位：University of Colorado System; University of Colorado Boulder; Monash University
  摘要：We study the equilibrium implications of a multi-asset economy in which asset managers performance is tied to different benchmarks, reflecting heterogeneity in their investment mandates. Fluctuations in the capital asset managers invest for benchmarking purposes, scaled by the size of the economy, induce price pressure that results in negative spillovers across assets. We characterize a rich structure of asset price comovement within and across benchmarks by analyzing shock elasticities and cr...
• Economic uncertainty and investor attention AI翻译
  作者：Andrei, Daniel; Friedman, Henry; Ozel, N. Bugra
  作者单位：McGill University; University of Texas System; University of Texas Dallas
  摘要：This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms' characteristics. The model shows that heightened economic uncer-tainty amplifies stock price reactions to earnings announcements via increased investor attention, which varies by firm characteristics. Firms with higher systematic risk or more informative announcements attract more attention and exhibit stronger reactions to earn-ings announcements. Moreover, heightened investor attentio...
• The Big Three and board gender diversity: The effectiveness of shareholder voice AI翻译
  作者：Gormley, Todd A.; Gupta, Vishal K.; Matsa, David A.; Mortal, Sandra C.; Yang, Lukai
  作者单位：Washington University (WUSTL); University of Alabama System; University of Alabama Tuscaloosa; Northwestern University; National Bureau of Economic Research; Texas A&M University System; Texas A&M International University
  摘要：In 2017, The Big Three institutional investors launched campaigns to increase gender diversity on corporate boards. We estimate that their campaigns led American corporations to add at least 2.5 times as many female directors in 2019 as they had in 2016. Firms increased diversity by identifying candidates beyond managers' existing networks and by placing less emphasis on candidates' executive experience. Firms also promoted more female directors to key board positions, indicating firms' respon...
• Angel investment and first impressions AI翻译
  作者：Huang, Xing; Ivkovic, Zoran; Jiang, John Xuefeng; Wang, Isabel Yanyan
  作者单位：Washington University (WUSTL); Michigan State University; Michigan State University; Michigan State University
  摘要：We examine the role of first impressions in angel investor decision-making. Video stills of entrepreneurs pitching on the Shark Tank show and in Startup Battlefield competitions yield six measures of first impressions of entrepreneurs' facial traits and two principal components: one that captures general ability and the other that contrasts charm and managerial ability. We find positive associations between both components and the like-lihood of entrepreneurs receiving an investment offer or w...
• The fundamental-to-market ratio and the value premium decline AI翻译
  作者：Goncalves, Andrei S.; Leonard, Gregory
  作者单位：University System of Ohio; Ohio State University; University of North Carolina; University of North Carolina Chapel Hill
  摘要：Recent evidence indicates the value premium declined over time. We argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, F E, defined as the present value of cash flows under a common discount rate across firms. Specifically, we estimate F E for public US firms over time and find that the premium asso-ciated with the fundamental-to-market ratio, F E /ME , subsumes the BE /ME premium and has been relatively stable while the cross-sectional correl...
• Dynamics of subjective risk premia * AI翻译
  作者：Nagel, Stefan; Xu, Zhengyang
  作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; City University of Hong Kong
  摘要：We examine subjective risk premia implied by return expectations of individual investors and professionals for portfolios of stocks, bonds, currencies, and commodity futures. While in-sample predictive regressions with realized excess returns suggest that objective risk premia vary countercyclically with business-cycle and asset-valuation measures, subjective risk premia extracted from survey data are largely acyclical. Out-of-sample forecasts of ex -cess returns exhibit a similar lack of cycl...
• Pirates without borders: The propagation of cyberattacks through firms? supply chains AI翻译
  作者：Crosignani, Matteo; Macchiavelli, Marco; Silva, Andre F.
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Massachusetts System; University of Massachusetts Amherst; Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：This paper examines the supply chain effects of the most damaging cyberattack in his-tory so far. The attack propagated from the directly hit firms to their customers, causing a four-fold amplification of the initial drop in profits. These losses were larger for affected customers with fewer alternative suppliers. Internal liquidity buffers and increased bor-rowing, mainly through bank credit lines, helped firms navigate the shock. Nonetheless, the cyberattack led to persistent adjustments to ...
• Loan spreads and credit cycles: The role of lenders? personal economic experiences AI翻译
  作者：Carvalho, Daniel; Gao, Janet; Ma, Pengfei
  作者单位：Indiana University System; Indiana University Bloomington; Georgetown University
  摘要：We provide evidence that changes in lender optimism can lead to excessive fluctuations in credit spreads across the credit cycle. Using data on the real estate properties of loan officers originating large corporate loans, we find that credit spreads overreact to sophisti-cated lenders' recent local economic experiences, captured by local housing price growth. These effects are only present when borrowers own real estate assets and during times of greater uncertainty about real estate values, ...