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作者：Chen, Yong; Da, Zhi; Huang, Dayong
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Notre Dame; University of North Carolina; University of North Carolina Greensboro
摘要：Short selling efficiency (SSE), measured each month by the slope coefficient of cross sectionally regressing abnormal short interest on a mispricing score, significantly and negatively predicts stock market returns both in-sample and out-of-sample, suggesting that mispricing gets corrected after short sales are executed on the right stocks. We show conceptually and empirically that SSE has favorable predictive ability over aggregate short interest, as SSE reduces the effect of noises in short ...
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作者：Chang, Jeffery (Jinfan); Du, Huancheng; Lou, Dong; Polk, Christopher
作者单位：The Chinese University of Hong Kong, Shenzhen; Central University of Finance & Economics; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We exploit information in sovereign CDS spreads and the international trade network to provide causal evidence of the propagation of global economic shocks. We show that trade links are an important source of shock transmission using the natural experiments of the Japanese tsunami and the COVID-19 lockdown in China. We then confirm more general and gradual information flows along the trade network by showing extensive country-level credit/equity cross-sectional return predictability. News abou...
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作者：Brav, Alon; Cain, Matthew; Zytnick, Jonathon
作者单位：Duke University; University of California System; University of California Berkeley
摘要：We study retail shareholder voting using a nearly comprehensive sample of U.S. ownership and voting records. Analyzing turnout within a rational-choice framework, we find participation increases with ownership and expected benefits from winning and decreases with higher costs of participation. Even shareholders with a negligible likelihood of affecting the outcome have non zero turnout, consistent with consumption benefits from voting. Conditional on participation, retail shareholders punish t...
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作者：Grieser, William; Hadlock, Charles; LeSage, James; Zekhnini, Morad
作者单位：Texas Christian University; Michigan State University; Texas State University System; Texas State University San Marcos
摘要：We present a spatial econometrics framework for estimating peer effects in capital struc-ture. This approach exploits the heterogeneous and intransitive nature of peer networks to identify economically informative structural coefficients. In models of leverage levels, we detect significant peer-effect leverage coefficients that are on the order of 0.20, indicating a moderate but substantive level of strategic complementarity in capital structure decisions. We argue that prior estimates in the ...
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作者：Campbell, John Y.; Sigalov, Roman
作者单位：Harvard University; National Bureau of Economic Research
摘要：We show that reaching for yield-a tendency to take more risk when the real interest rate declines while the risk premium remains constant-results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is initially low, reaching for yield intensifies. The sustainable spend-ing constraint also affects the response of risk-taking to a change in the risk premium, which can even change sign. In a variant of the m...
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作者：Chen, Qi; Goldstein, Itay; Huang, Zeqiong; Vashishtha, Rahul
作者单位：Duke University; University of Pennsylvania; Yale University
摘要：One of the most widely discussed issues in banking regulation and research is trans-parency. Yet, whether depositors - banks' most important claimholders - are affected by transparency, is an empirical open question. Analyzing US commercial banks from 1994 to 2019, we show that uninsured deposit flows are more sensitive to information about bank performance when banks are more transparent. We also link transparency to deposit rates, banks' investment funding patterns, and profitability. In add...
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作者：Hu, Grace Xing; Pan, Jun; Wang, Jiang; Zhu, Haoxiang
作者单位：Tsinghua University; Shanghai Jiao Tong University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we propose a two-risk model with the uncertainty about the magnitude of the impending news' market impact as an additional risk, and link the pre-announcement return directly to the accumulation of heightened uncertainty and its later resolution prior to the announcement. We empirically test and verify the model's distin...
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作者：Santos, Tano; Veronesi, Pietro
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Chicago
摘要：A frictionless general equilibrium model featuring heterogeneous time-varying risk tolerance explains the business cycle dynamics of intermediary leverage, aggregate credit, and other asset markets' facts. In booms, when risk tolerance is high, households borrow more and aggregate credit increases funded by higher intermediary debt. In recessions, credit contracts and intermediaries delever. Yet, their debt-to-equity ratios increase as equity drops when risk aversion increases. Because househo...
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作者：Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, Marti G.; Tomio, Davide
作者单位：McGill University; Universite de Montreal; HEC Montreal; New York University; New York University; University of Virginia
摘要：A B S T R A C T The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country's fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of sovereign default risk to the intensity of the virus's spread for fiscally constrained governments. Supporting the fiscal channel, we confirm the results for Eurozone countries and U.S. state...
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作者：Catherine, Sylvain
作者单位：University of Pennsylvania
摘要：Using French administrative data on job-creating entrepreneurs, I estimate a life-cycle model in which risk-averse individuals can start businesses and return to paid employment. Then, I use the dynamic model to value the option of returning to the labor market in case of failure. For new entrepreneurs, this option is worth 6.4 x the average net wage in the country, which represented 136,0 0 0 euro in 2018. This option value is explained by the unobserved heterogeneity in entrepreneurial abili...
