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作者：Colonnelli, Emanuele; Lagaras, Spyridon; Ponticelli, Jacopo; Prem, Mounu; Tsoutsoura, Margarita
作者单位：University of Chicago; Centre for Economic Policy Research - UK; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; National Bureau of Economic Research; Universidad del Rosario; Cornell University
摘要：We study how the disclosure of corrupt practices affects the growth of firms involved in illegal interactions with the government using randomized audits of public procurement in Brazil. On average, firms exposed by the anti-corruption program grow larger after the audits, despite experiencing a decrease in procurement contracts. We manually collect new data on the details of thousands of corruption cases, through which we uncover a large heterogeneity in our firm-level effects depending on th...
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作者：Schlingemann, Frederik P.; Stulz, Rene M.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Publicly traded firms contribute less to total nonfarm employment and GDP now than in the 1970s. Major reasons for this development are the decline of manufacturing, the shift towards more production abroad in manufacturing, and the growth of the service economy as firms providing services are less likely to be listed on exchanges. A firm's stock market capitalization is much less instructive about its employment now than earlier. Market capitalizations have not become systematically less info...
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作者：Fonseca, Julia; Van Doornik, Bernardus
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Central Bank of Brazil
摘要：We estimate the effect of increased access to bank credit on the employment and wages of high-and low-skilled workers. To do so, we consider a bankruptcy reform that led to an expansion of bank credit to Brazilian firms. We use administrative data and exploit cross-sectional variation in the enforcement of the new legislation arising from differences in the congestion of civil courts. We find that the credit expansion led to an increase in the skill intensity of firms and in within-firm return...
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作者：Kumar, Alok; Rantala, Ville; Xu, Rosy
作者单位：University of Miami; Chinese University of Hong Kong
摘要：This study examines whether sell-side equity analysts engage in social learning in which their earnings forecasts for certain firms are influenced by the forecasts and outcomes of peer analysts associated with other firms in their respective portfolios. We find that ana -lyst optimism is negatively correlated with recent forecast errors, by peers, on other firms in the analyst's portfolio. An analyst is also more likely to issue bold forecasts when peers recently issued similar forecasts for o...
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作者：Gormley, Todd A.; Kaplan, Zachary; Verma, Aadhaar
作者单位：Washington University (WUSTL)
摘要：Fund trades and stock prices vary systematically with the quarterly reporting cycle. Funds accelerate trades that complete the building of existing positions at quarter-end but de-lay trades that initiate the building of new positions until the start of the new quarter. Evidence suggests these trade dynamics are driven by a dual desire to make disclosures more informative about future holdings but avoid disclosing incomplete positions. Con-sistent with disclosure-based motives unrelated to new...
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作者：Hirshleifer, David; Sheng, Jinfei
作者单位：University of Southern California; University of California System; University of California Irvine
摘要：We study how the arrival of macro-news affects the stock market's ability to incorpo-rate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings an-nouncements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drif...
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作者：Chen, Hailiang; Hwang, Byoung-Hyoun
作者单位：University of Hong Kong; Nanyang Technological University
摘要：A large literature in neuroscience and social psychology shows that humans are wired to be meticulous about how they are perceived by others. In this paper, we propose that impression management considerations can also end up guiding the content that investors transmit via word of mouth and inadvertently lead to the propagation of noise. We analyze server log data from one of the largest investment-related websites in the United States. Consistent with our proposition, we find that investors m...
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作者：Choi, Jaewon; Kronlund, Mathias; Oh, Ji Yeol Jimmy
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; Tulane University; Hanyang University
摘要：We find evidence of widespread stale pricing in bond mutual funds and the resulting risks of dilution and fragility. A principal driver of this phenomenon is the high illiquidity of funds' holdings, which makes accurate pricing difficult and provides funds with greater discretion over valuation. Consequently, net asset values (NAVs) are extremely stale and fund returns are predictable over several days and weeks, particularly during market crises. Opportunistic traders withdraw capital from ov...
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作者：Huang, Shiyang; Lee, Charles M. C.; Song, Yang; Xiang, Hong
作者单位：University of Hong Kong; Stanford University; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
摘要：We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the aefrog in the pang(FIP) momentum effect is pervasive in co-...
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作者：Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Mannheim; University of Neuchatel
摘要：This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of ex-pected stock returns. We derive an extended linear model with a positive premium for MCRASH, and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures, or stoc...
