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作者：Merkoulova, Yulia; Veld, Chris
作者单位：Monash University; Monash University
摘要：Optimal stock investment decisions rely on assessments of the distribution of expected returns. Using a representative sample, we find over half the US population cannot answer simple questions on expected stock returns. Respondents who are unable to make any return prediction, who cannot answer questions on the distribution of expected returns, or who reveal unlikely distributional beliefs participate less in the stock market and have smaller stock investments. However, overoptimistic investo...
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作者：Clarke, Charles
作者单位：University of Kentucky
摘要：I develop a method to extract only the priced factors from stock returns. The first step estimates expected returns based on firm characteristics. The second step uses the estimated expected returns to form portfolios. The last step uses principal component analysis to extract factors from the portfolio returns. The procedure isolates and emphasizes the comovement across assets that is related to expected returns as opposed to firm characteristics. It produces three factors-level, slope, and c...
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作者：Benmelech, Efraim; Kumar, Nitish; Rajan, Raghuram
作者单位：Northwestern University; National Bureau of Economic Research; State University System of Florida; University of Florida; University of Chicago; National Bureau of Economic Research
摘要：Credit spreads for secured debt are lower than for unsecured debt, especially when a firm's credit quality deteriorates, the economy slows, or average credit spreads widen. Yet investment-grade firms tend to be reluctant to issue secured debt at all times. In contrast, we find that for firms that are rated below investment grade, the likelihood of secured debt issuance increases as firm credit quality deteriorates, the economy slows, or average credit spreads widen. This differential pattern o...
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作者：Akbas, Ferhat; Boehmer, Ekkehart; Jiang, Chao; Koch, Paul D.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Singapore Management University; University of South Carolina System; University of South Carolina Columbia; Iowa State University
摘要：A higher frequency of positive overnight returns followed by negative trading day rever-sals during a month suggests a more intense daily tug of war between opposing investor clienteles, who are likely composed of noise traders overnight and arbitrageurs during the day. We show that a more intense daily tug of war predicts higher future returns in the cross section. Additional tests support the conclusion that, in a more intense tug of war, daytime arbitrageurs are more likely to discount the ...
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作者：Glode, Vincent; Opp, Christian C.; Sverchkov, Ruslan
作者单位：University of Pennsylvania; University of Rochester; National Bureau of Economic Research; University of Warwick
摘要：We study security issuers' decisions on whether to pool assets when facing counter-parties endowed with market power, as is common in over-the-counter markets. Our analysis reveals how buyers' market power may render the pooling of assets suboptimal - both privately and socially - in particular, when the potential gains from trade are large. Pooling assets then reduces the elasticity of trade volume in the relevant part of the payoff distribution, exacerbating the inefficient rationing associa...
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作者：Goldman, Eitan; Martel, Jordan; Schneemeier, Jan
作者单位：Indiana University System; Indiana University Bloomington
摘要：We present a model of media coverage of corporate announcements. Firms strategically use the media to communicate corporate announcements to a group of traders who observe announcements not directly but through media reports. Journalists strategically select which announcements to report to readers. Media coverage inadvertently incentivizes firms to manipulate the underlying announcements. In equilibrium, media coverage is tilted towards less manipulated negative news. The presence of financia...
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作者：Hitzemann, Steffen; Sokolinski, Stanislav; Tai, Mingzhu
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Hong Kong
摘要：We examine how investor demand for leverage shapes asset management fees. We show that in the sample of U.S. equity mutual funds: (1) fees increase in fund market beta pre-cisely for beta larger than one; (2) this relation becomes stronger and high-beta funds experience larger inflows when leverage constraints tighten; and (3) low net alphas are especially common among high-beta funds. These results are consistent with a model in which asset managers compete for leverage-constrained investors ...
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作者：Fakos, Alexandros; Sakellaris, Plutarchos; Tavares, Tiago
作者单位：Instituto Tecnologico Autonomo de Mexico; Athens University of Economics & Business; Instituto Tecnologico Autonomo de Mexico
摘要：Using new census-type data and a dynamic structural model, we study the effect of credit supply on investment by manufacturing firms during the Greek depression. Real factors (profitability, uncertainty, and taxes) account for only a fraction of the substantial drop in investment observed in the data. The reduction in credit supply has significant real effects, explaining 11-32% of the investment slump. We also find that exporting firms, which reduce investment and deleverage despite their imp...
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作者：Bernstein, Shai; Colonnelli, Emanuele; Malacrino, Davide; McQuade, Tim
作者单位：Harvard University; University of Chicago; International Monetary Fund; University of Colorado System; University of Colorado Boulder
摘要：We examine the characteristics of the individuals who become entrepreneurs when local opportunities arise. We identify local demand shocks by linking fluctuations in global commodity prices to municipality-level agricultural endowments in Brazil. We find that the firm creation response is mostly driven by young and skilled individuals. The characteristics of these responsive entrepreneurs are significantly different from those of average entrepreneurs in the economy. By structurally estimating...
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作者：Kruttli, Mathias S.; Monin, Phillip J.; Watugala, Sumudu W.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Office of Financial Research; United States Department of the Treasury; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Using novel credit data, we show that hedge fund borrowing is significantly overcollateral-ized, primarily with rehypothecable securities. An idiosyncratic liquidity shock to a major prime broker significantly decreases credit to connected hedge funds. The dominant chan-nel behind this shock transmission is credit supply reduction rather than precautionary demand reduction. Funds posting more rehypothecable collateral are less affected because their collateral alleviates prime broker liquidity...
