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作者：Birru, Justin; Young, Trevor
作者单位：University System of Ohio; Ohio State University; Tulane University
摘要：Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Accordingly, we show that a one-standard-deviation increase in ag-gregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. For the cross-section of returns, the predictive ability of sentiment for assets expected to be most sensitive to sentiment, including existing measures of both risk and mi...
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作者：Coles, Jeffrey L.; Heath, Davidson; Ringgenberg, Matthew C.
作者单位：Utah System of Higher Education; University of Utah
摘要：We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower in-formation production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged. These findings are consistent with an equi-librium in which investors choose to gather private information whenever it is profitable. As index investing increases, there are fewer privately-i...
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作者：Smith, Simon C.; Timmermann, Allan
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California San Diego
摘要：We apply a new methodology for identifying pervasive and discrete changes (breaks) in cross-sectional risk premia. Size, value, and investment risk premia have fallen offto the point where they are insignificantly different from zero at the end of the sample period. The market risk premium has also declined systematically over time but remains significant and positive as do the momentum and profitability risk premium. We construct a new instability risk factor from cross-sectional differences ...
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作者：Cvijanovic, Dragana; Dasgupta, Amil; Zachariadis, Konstantinos E.
作者单位：Cornell University; University of London; London School Economics & Political Science; University of London; Queen Mary University London
摘要：The growth of the asset management industry has made it commonplace for firms to have multiple institutional blockholders. In such firms, the strength of governance via exit depends on how blockholders react to each other's exit. We present a model to show that open-ended institutional investors such as mutual funds react strongly to an informed blockholder's exit, leading to correlated exits that enhance corporate governance. Our analysis points to a new role for mutual funds in corporate gov...
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作者：Kim, Donghyun; Wang, Qinghai; Wang, Xiaoqiong
作者单位：Chung Ang University; State University System of Florida; University of Central Florida; Indiana University System; Indiana University Kokomo
摘要：The U.S. money management industry is geographically concentrated and diverges from the geographic clustering of public firms. We find that firms located in states with strong institutional investor presence have high valuation. These firms invest more and their investments are less dependent on internal cash flow. They are more likely to issue equity than debt for financing needs, and local institutions hold more of the newly issued equity. The results show the geographic dislocation between ...
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作者：Demiroglu, Cem; James, Christopher; Velioglu, Guner
作者单位：Koc University; State University System of Florida; University of Florida; Loyola University Chicago
摘要：Past studies find that commercial loan spreads are sticky in the sense that they do not fully respond to changes in open market rates or observable firm credit risk characteristics. In this paper, we provide evidence that the appearance of stickiness arises, in part, because the intensity of bank screening varies inversely with changes in both observable firm credit risk characteristics and credit market conditions. Our analysis demonstrates that stickiness in loan spreads does not necessarily...
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作者：Chen, Jie; Su, Xunhua; Tian, Xuan; Xu, Bin
作者单位：University of Leeds; Norwegian School of Economics (NHH); Tsinghua University
摘要：We find strong evidence that when a firm's customer base is more concentrated, the firm's CEO receives more risk-taking incentives in her compensation package. This finding is robust to numerous alternative measures, alternative specifications, alternative subsamples, and different attem pts that mitigate endogeneity concerns. Further, the positive effect of customer concentration on CEO risk-taking incentive provision is more prominent when the CEO is more reluctant to take risks, when the fi...
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作者：Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao
作者单位：University of Manitoba; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Amsterdam
摘要：We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor. The estimated price of risk of this novel global factor is consistently negative in currency carry and momentum portfolios, and in portfolios of other asset c...
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作者：Cookson, J. Anthony; Gilje, Erik P.; Heimer, Rawley Z.
作者单位：University of Colorado System; University of Colorado Boulder; Arizona State University; Arizona State University-Tempe
摘要：Using individual credit bureau data matched with cash windfalls from fracking, we esti-mate that windfall recipients reduce debt-to-income by 2.4 percentage points relative to no-windfall controls. Debt repayment effects are 3 times stronger for subprime individuals than for prime individuals. Based on the timing of upfront versus continuing cash pay-ments, debt repayment coincides with the timing of payments but not with news about future payments. These findings present a challenge for purel...
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作者：DeFusco, Anthony A.; Nathanson, Charles G.; Zwick, Eric
作者单位：Northwestern University; University of Chicago; National Bureau of Economic Research
摘要：Using data on 50 million home sales from the last U.S. housing cycle, we document that much of the variation in volume came from the rise and fall in speculation. Cities with larger speculative booms have larger price booms, sharper increases in unsold listings as the market turns, and more severe busts. We present a model in which predictable price increases endogenously attract short-term buyers more than long-term buyers. Short-term buyers amplify volume by selling faster and destabilize pr...
