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作者：Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline
作者单位：University of Southern Denmark; University of Southern Denmark; Danish Finance Institute
摘要：We relate time-varying aggregate ambiguity about volatility (V-VSTOXX) to individual investor trading. We use the trading records of more than 10 0,0 0 0 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking, which does not reverse over the following days. Ambiguity averse investors are more prone to ambiguity shocks. These resu...
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作者：Aiello, Darren J.
作者单位：Brigham Young University
摘要：Financially constrained mortgage servicers destroyed substantial MBS investor value during the financial crisis through their management of delinquent mortgages. Servicers advance to investors monthly payments missed by borrowers. In order to minimize this obligation to extend financing to distressed borrowers, constrained servicers aggressively pursued foreclosures and modifications at the expense of investors, borrowers, and future mortgage performance. When agency frictions between the serv...
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作者：Belo, Frederico; Gala, Vito D.; Salomao, Juliana; Vitorino, Maria Ana
作者单位：INSEAD Business School; Pacific Investment Management Company, LLC; University of Minnesota System; University of Minnesota Twin Cities; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：What are the economic determinants of a firm's market value? We answer this question through the lens of a generalized neoclassical model of investment with quasi-fixed labor and three heterogeneous capital inputs. We estimate the structural model using firm-level data on US firms and find that, on average and depending on the industry, installed labor force accounts for 14-21% of firms' market value, physical capital accounts for 30-40%, knowledge capital accounts for 20-43%, and brand capita...
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作者：Ranaldo, Angelo; de Magistris, Paolo Santucci
作者单位：University of St Gallen; Swiss Finance Institute (SFI); Luiss Guido Carli University; CREATES; Aarhus University
摘要：We study the liquidity of the global currency market by analyzing the price impact of trading volume. We analyze a decade of CLS intraday data representative of global foreign exchange (FX) trading by developing a refinement of the popular Amihud (2002) illiquidity measure that we call realized Amihud, which is the ratio between realized volatility and trading volume. Inversely related to market depth, price impact increases with trans-action costs, money market stress, uncertainty, and risk a...
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作者：Duong, Huu Nhan; Goyal, Abhinav; Kallinterakis, Vasileios; Veeraraghavan, Madhu
作者单位：Monash University; University College Cork; University of Liverpool
摘要：We find a negative relation between democracy and initial public offering (IPO) underpricing for a sample of 23,050 IPOs across 45 countries. The effect of democracy on underpricing is weaker for IPOs audited by Big 4 auditing firms, backed by venture capital firms, and with better disclosure specificity of use of proceeds. Democracy exerts a larger influence on underpricing for firms with higher agency problems, in countries with weaker institutional quality or shareholder protection, and dur...
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作者：Altavilla, Carlo; Burlon, Lorenzo; Giannetti, Mariassunta; Holton, Sarah
作者单位：European Central Bank; Centre for Economic Policy Research - UK; Stockholm School of Economics; European Corporate Governance Institute; European Central Bank; Central Bank of Ireland
摘要：Exploiting confidential data from the euro area, we show that sound banks pass negative rates on to their corporate depositors and that pass-through is not impaired when policy rates move into negative territory. We do not observe a contraction in deposits, reflecting a general increase in corporate liquidity during the sample period. When their banks charge negative rates on deposits, firms with ex ante high liquidity invest more than comparable firms that are not charged negative rates and i...
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作者：Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
作者单位：University of Pennsylvania; New York University
摘要：Between 2003 and 2006, the Federal Reserve raised rates by 4.25%. Yet it was precisely during this period that the housing boom accelerated, fueled by rapid growth in mortgage lending. There is deep disagreement about how, or even if, monetary policy impacted the boom. Using differences in exposure to the deposits channel of monetary policy, we show that Fed tightening induced a large reduction in banks' deposit funding, which led banks to contract portfolio mortgage lending by 32%. However, t...
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作者：Chen, Deqiu; Ma, Yujing; Martin, Xiumin; Michaely, Roni
作者单位：University of International Business & Economics; Hong Kong Polytechnic University; Washington University (WUSTL); University of Hong Kong; European Corporate Governance Institute
摘要：Using the introduction of high-speed rail (HSR) as an exogenous shock to costs of information acquisition, we show reductions in information-acquisition costs lead to (i) a significant increase in information production, evidenced by a higher frequency of analysts visiting portfolio firms and (ii) improvement in output quality, manifested in higher forecast accuracy and better recommendations. The effect is more pronounced for firms with information that is difficult to produce. Importantly, m...
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作者：Gomez-Cram, Roberto; Grotteria, Marco
作者单位：University of London; London Business School
摘要：We study the price discovery process on FOMC days. For several asset classes, we find that price movements around the post-meeting statement release are strong predictors of price movements around the subsequent press conference. The correlation is 58% for medium-term Eurodollar futures and 44% for the S&P50 0 index. We then time-stamp the words pronounced in press conference videos and align these words with high-frequency financial data. Minutes in which the chairman discusses changes in the...
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作者：Mayer, Simon
作者单位：University of Chicago; Hautes Etudes Commerciales (HEC) Paris
摘要：In a dynamic principal-agent model, the principal, financing the project, cannot observe project failure and the agent, developing the project, can hide failure. As there is a tension between incentives for disclosure of failure and project development, the optimal contract does not reward failure and incentivize disclosure of failure during an initial unconditional financing stage. During the subsequent disclosure stage, time-decreasing rewards for failure provide incentives for disclosure of...
