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作者：Fedyk, Anastassia; Hodson, James
作者单位：University of California System; University of California Berkeley; Slovenian Academy of Sciences & Arts (SASA); Jozef Stefan Institute
摘要：What drives the puzzle of market reactions to old news? Motivated by theories of cor-relation neglect, we conduct an experiment on finance professionals and show that even sophisticated investors have difficulty identifying old information that recombines content from multiple sources. We evaluate the market implications of this mechanism using a unique dataset of 17 million news articles from the Bloomberg terminal. Recombination of old information prompts larger price moves and subsequent re...
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作者：Herskovic, Bernard; Kind, Thilo; Kung, Howard
作者单位：University of California System; University of California Los Angeles; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Size and value premia comove strongly with one another at low frequencies, but they are both negatively related to long-run movements in the equity premium. We explain these patterns in an investment-based asset pricing model featuring persistent micro and macro uncertainty. Micro uncertainty generates size and value premia waves, while macroeco-nomic uncertainty produces equity premium waves. The negative correlation between mi-cro and macro uncertainty at low frequencies explains why the equ...
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作者：Kaniel, Ron; Lin, Zihan; Pelger, Markus; Van Nieuwerburgh, Stijn
作者单位：University of Rochester; Reichman University; Stanford University; Stanford University; Columbia University
摘要：We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, before and after fees. The outperformance persists for more than three years. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance, while characteristics of the stocks that funds hold are not predictive. Returns of predictive long-short portfolios are higher following a period of high sentiment. Our estimation with ne...
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作者：Huh, Yesol; Kim, You Suk
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study optimal securitization in the agency mortgage-backed securities (MBS) market. Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces adverse selection due to cheapest-to-deliver pricing. We find that lenders pool high-value loans separately and trade them in a less liquid market. We estimate a model of MBS pooling and trading to study welfare implications of pooling policies. TBA market structure produces a trade-off between efficiency and equity; broade...
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作者：Chen, Zilin; Da, Zhi; Huang, Dashan; Wang, Liyao
作者单位：Southwestern University of Finance & Economics - China; University of Notre Dame; Singapore Management University; Hong Kong Baptist University
摘要：We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president's handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR b...
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作者：Gokkaya, Sinan; Liu, Xi; Stulz, Rene M.
作者单位：University System of Ohio; Ohio University; University System of Ohio; Ohio State University; University System of Ohio; Miami University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：We open the black box of the M&A decision process by examining whether specialized M&A staff, who perform a wide range of acquisition-related functions, improve acquisi-tion performance. We find that the presence and the quality of specialized M&A staff is one of the most economically important determinants of acquisition performance. We ex-plore mechanisms through which specialized M&A staff improve acquisition performance and investigate why only less than half of US firms employ such staff....
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作者：Escobar, Laura; Pedraza, Alvaro
作者单位：Universidad de La Sabana; The World Bank
摘要：We study the influence from social interactions on equity trading. Using unique data on stock transactions, we exploit the quasi-random assignment of students to classrooms in a financial training program to identify how peer experience affects investor behavior. We find that individuals react more to peer gains than to peer losses. Students enrolled in courses where peers have positive outcomes: (i) are more likely to start trading, (ii) purchase similar stocks as their classmates, and (iii) ...
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作者：Derrien, Francois; Fresard, Laurent; Slabik, Victoria; Valta, Philip
作者单位：Hautes Etudes Commerciales (HEC) Paris; Universita della Svizzera Italiana; University of Bern; University of Geneva; Centre for Economic Policy Research - UK
摘要：Revaluations of industry peers around horizontal acquisitions are negative when targets are private, but positive when they are public. We posit this revaluation spread arises because acquiring managers favor private targets when public firms are overvalued. Targets' ownership status thus conveys information about industry assets' misvaluation and triggers predictable revaluations. Supporting this idea, private acquisitions occur when private targets appear cheaper than public firms based on v...
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作者：Chen, Sophia; Lee, Do
作者单位：International Monetary Fund; New York University
摘要：We show that the TFP growth of European micro, small, and medium-sized firms (SMEs) diverged from large firms after the global financial crisis. The average postcrisis TFP growth of medium-sized, small, and micro firms was, respectively, 1.1, 2.9, and 5.4 percentage points lower than that of large firms. This SME productivity gap is larger for firms with more severe credit supply shocks. The gap is partially attributable to a larger postcrisis reduction in intangible capital at SMEs than at la...
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作者：Howard, Greg; Liebersohn, Jack; Ozimek, Adam
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of California System; University of California Irvine
摘要：Remote work has increased the demand for housing and changed the demand for the location of that housing. Because housing supply is heterogeneous across space and more elastic in the long-run, the effects on rents and populations may differ over time. We use the lens of a spatial housing model with heterogeneous housing supply elasticities to identify the housing and location demand changes from 2020-2022, and show that the same shocks will have different effects in the long run. Even though r...
