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作者：Boyarchenko, Nina; Kovner, Anna; Shachar, Or
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Centre for Economic Policy Research - UK
摘要：We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF) on corporate bond markets. Conditions in primary markets improve once the facilities are announced, particularly for issuers that need to refinance before 2022. Issuance accelerates before spreads normalize. The secondary market points to a causal role for the facilities, with a differential impact on eligible issues and a significant effect of direct bond purchases, but less so for purchases through ET...
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作者：Eaton, Gregory W.; Guo, Feng; Liu, Tingting; Officer, Micah S.
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; Iowa State University; Loyola Marymount University
摘要：Using unique data, this paper examines investment banks' choice of peers in comparable companies analysis in mergers and acquisitions. We find strong evidence that product mar-ket space is amongst the most important factors in peer selection, but Standard Industrial Classification (SIC) codes, particularly three and four digit codes, do a poor job of catego-rizing related firms in this setting. Banks strategically select large, high growth peers with high valuation multiples, factors that are ...
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作者：Reichenbacher, Michael; Schuster, Philipp
作者单位：Helmholtz Association; Karlsruhe Institute of Technology; University of Stuttgart
摘要：We develop new liquidity measures for bond markets. Existing measures suffer from the combination of two effects. First, transaction costs in OTC markets strongly depend on trade size. Second, many bonds trade only scarcely with strongly differing trading vol-umes. Therefore, changes in average transaction costs often indicate changing trade sizes rather than changing liquidity. We combine full-sample information for the size-cost re-lation with individual transaction data to eliminate such me...
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作者：Titman, Sheridan; Wei, Chishen; Zhao, Bin
作者单位：University of Texas System; University of Texas Austin; Singapore Management University; Thammasat University
摘要：We identify a group of suspicious firms that use stock splits, perhaps along with other activities, to artificially inflate their share prices. Following the initiation of suspicious splits, share prices temporarily increase, and subsequently decline below their presplit levels. Using account level data, we find that small retail investors acquire shares in firms initiating suspicious splits, while more sophisticated investors accumulate positions before suspicious split announcements and sell...
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作者：Kuvshinov, Dmitry; Zimmermann, Kaspar
作者单位：Barcelona School of Economics; Pompeu Fabra University
摘要：We study trends and drivers of long-run stock market growth in 17 advanced economies. Between 1870 and the 1980s, stock market capitalization grew in line with GDP. But over subsequent decades, an unprecedented expansion saw market cap to GDP ratios triple and remain persistently high. While most historical stock market growth was driven by is-suances, this recent expansion was fueled by rising equity prices. We show that the key driver of this structural break was a profit shift towards liste...
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作者：Bond, Philip; Zeng, Yao
作者单位：University of Washington; University of Washington Seattle; University of Pennsylvania
摘要：We examine voluntary disclosure decisions when firms are uncertain about audience preferences and are risk averse. In contrast to classic unraveling results, some firms remain silent in equilibrium. Silence is safer than disclosure; silence reduces the sensitivity of a firm's payoff to audience preferences. Increases in firm (audience) risk-aversion reduce (increase) disclosure. Our model explains why some firms do not disclose earnings breakdowns, executive compensation, or Environmental, Soc...
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作者：Hutton, Amy; Shu, Susan; Zheng, Xin
作者单位：Boston College; University of British Columbia
摘要：Does enhanced regulatory transparency facilitate alignment of private and public enforcement? Utilizing the SEC's 2004 decision to publicly disclose its comment letters, we explore the actions of the SEC and shareholder litigants. We find the two parties converge more on enforcement targets after the public disclosure. The increased alignment is attributable to public scrutiny of SEC oversight enhancing regulator incentives and reducing regulatory capture, and to shareholder plaintiffs gaining...
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作者：Liu, Hong; Tang, Xiaoxiao; Zhou, Guofu
作者单位：Washington University (WUSTL); University of Texas System; University of Texas Dallas
摘要：The Federal Open Market Committee (FOMC) meetings are among the most important economic events. We propose a novel method to recover the FOMC risk premium and drift sizes. Empirically, we find that for the 192 meetings from 1996 to 2019, the FOMC risk premium varies across meetings, from 1 to 326 basis points (bps) with an average of 45 bps. We obtain an out-of-sample R 2 of 7.51% when using the recovered FOMC premium to predict the meeting returns around the announcement. The average predicte...
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作者：Barrios, John M.; Hochberg, Yael, V; Yi, Hanyi
作者单位：Washington University (WUSTL); Rice University; Boston College; National Bureau of Economic Research
摘要：We utilize the staggered arrival of Uber and Lyft-large sources of on-demand, platform enabled gig opportunities-in U.S. cities to examine the effect of the arrival of flexible gig work opportunities on new business formation. The introduction of gig opportunities is associated with an increase of-5% in the number of new business registrations in the local area, and a correspondingly-sized increase in small business lending to newly registered businesses. Internet searches for entrepreneurship...
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作者：Pedersen, Lasse Heje
作者单位：Copenhagen Business School
摘要：I present closed-form solutions for prices, portfolios, and beliefs in a model where four types of investors trade assets over time: naive investors who learn via a social network, fanatics possibly spreading fake news, and rational short- and long-term investors. I show that fanatic and rational views dominate over time, and their relative importance depends on their following by influencers. Securities markets exhibit social network spillovers, large effects of influencers and thought leader...
