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作者：Han, Yufeng; Huang, Dashan; Huang, Dayong; Zhou, Guofu
作者单位：University of North Carolina; University of North Carolina Charlotte; Singapore Management University; University of North Carolina; University of North Carolina Greensboro; Washington University (WUSTL)
摘要：We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation methods, and controlling for variables that are known to have amplification effects on mispricing. By attributing trading volume to investor disagreement, we show that our results are consistent with the rece...
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作者：An, Jiafu; Hou, Wenxuan; Lin, Chen
作者单位：University of Aberdeen; University of Portsmouth; Shanghai Lixin University of Accounting & Finance; University of Edinburgh; University of Hong Kong
摘要：We study the impact of an epidemic disease on modern financial development by exploiting geographic variations in the precolonial survival conditions of the TseTse fly, which transmits an epidemic disease that is harmful to humans and fatal to livestock in Africa. Using newly georeferenced data, we discover that firms and households in regions historically more exposed to the epidemic disease have less access to external financing today. Exploring the channels, we find that people in historica...
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作者：Bertomeu, Jeremy; Marinovic, Ivan; Terry, Stephen J.; Varas, Felipe
作者单位：Washington University (WUSTL); Stanford University; Boston University; National Bureau of Economic Research; Duke University
摘要：S C Firm managers likely have more information than outsiders. If managers strategically conceal information, market uncertainty will increase. We develop a dynamic corporate disclosure model, estimating the model using the management earnings forecasts of US public companies. The model, based on the buildup of reputations by managers over time, matches key facts about forecast dynamics. We find that 80% of firms strategically manage information, that managers have superior information around ...
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作者：Benzoni, Luca; Garlappi, Lorenzo; Goldstein, Robert S.; Ying, Chao
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of British Columbia; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Chinese University of Hong Kong
摘要：We investigate equilibrium debt dynamics for a firm that cannot commit to a future debt policy and is subject to a fixed restructuring cost. We formally characterize equilibria when the firm is not required to repurchase outstanding debt prior to issuing additional debt. For realistic values of issuance costs and debt maturity, the no-commitment policy generates tax benefits that are similar to those obtained by a benchmark policy with commitment. For positive but arbitrarily small issuance co...
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作者：Karnaukh, Nina; Vokata, Petra
作者单位：University System of Ohio; Ohio State University
摘要：We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip profes-sionals' revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision pre-dicts a contractionary policy news shock (positive change in bond yields), a negative GDP growth revision predicts an expansionary policy news shock (negative change in bond yields). Failing to account for this predictability biases the estimate...
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作者：Antill, Samuel
作者单位：Harvard University
摘要：In Chapter 11 bankruptcy cases in the United States, firms are either reorganized, acquired, or liquidated. I show that decisions to liquidate often reduce creditor recovery, costing creditors billions of dollars every year. I exploit the within-district random assignment of bankruptcy judges to estimate a structural model of bankruptcy. I estimate that liquidation is frequently chosen when a reorganization would have maximized total creditor recovery. Liquidations involving 363 sales, in whic...
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作者：Fathollahi, Maryam; Harford, Jarrad; Klasa, Sandy
作者单位：University of Oklahoma System; University of Oklahoma - Norman; University of Washington; University of Washington Seattle; University of Arizona; Fudan University; European Corporate Governance Institute
摘要：Theory predicts that horizontal acquisitions can effectively increase incumbent firms' market power in concentrated industries with high product similarity. Using a novel measure for industry product similarity, we show that in such industries firms' propensity to make horizontal acquisitions is greater and that the acquisitions result in more positive announcement returns for the acquirer and rival firms and in a larger premium paid for the target. Also, the deals harm dependent customer and ...
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作者：Obaid, Khaled; Pukthuanthong, Kuntara
作者单位：California State University System; California State University East Bay; University of Missouri System; University of Missouri Columbia
摘要：By applying machine learning to the accurate and cost-effective classification of photos based on sentiment, we introduce a daily market-level investor sentiment index (Photo Pessimism) obtained from a large sample of news photos. Consistent with behavioral mod -els, Photo Pessimism predicts market return reversals and trading volume. The relation is strongest among stocks with high limits to arbitrage and during periods of elevated fear. We examine whether Photo Pessimism and pessimism embedd...
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作者：Zhang, Shaojun
作者单位：University System of Ohio; Ohio State University
摘要：This paper shows the cross-sectional and time series momentum in currencies, which cannot be explained by carry and dollar factors, summarize the autocorrelation of these factors. These momentum strategies long currency factors following positive factor returns and short them following losses. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. By contrast, idiosyncratic currency returns contain little mome...
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作者：Payzan-LeNestour, Elise; Woodford, Michael
作者单位：University of New South Wales Sydney; Columbia University
摘要：How do people record information about the outcomes they observe in their environ-ment? Building on a well-established neuroscientific framework, we propose a model in which people are hampered in their perception of outcomes that they expect to seldom encounter. We provide experimental evidence for such outlier blindness and discuss how it provides a microfoundation for neglected tail risk by investors in financial markets. (c) 2021 Elsevier B.V. All rights reserved.
