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作者：Albuquerque, Rui; Fos, Vyacheslav; Schroth, Enrique
作者单位：Boston College; Universite Catholique de Lille; EDHEC Business School; European Corporate Governance Institute; Centre for Economic Policy Research - UK
摘要：We measure value creation by activist investors via structural estimation of a model of the choice between passive investment and activism. Our estimates imply that average returns following activist intent announcements consist of 74.8% expected value creation, or treatment, 13.4% stock picking, and 11.8% sample selection effects. Higher treatment values predict improvements in firm performance and lower proxy contest probabilities, whereas abnormal announcements returns do not, suggesting th...
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作者：Leippold, Markus; Wang, Qian; Zhou, Wenyu
作者单位：University of Zurich; Zhejiang University; Zhejiang University
摘要：We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of return prediction factors using various machine learning algorithms. Contrasting previous studies for the US market, liquidity emerges as the most important predictor, leading us to closely examine the impact of transaction costs. The retail investors' dominating presence positively affects short-term predictability, particularly for small stocks. Another fe...
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作者：Gao, Lin; Hitzemann, Steffen; Shaliastovich, Ivan; Xu, Lai
作者单位：Rutgers University System; Rutgers University New Brunswick; University of Wisconsin System; University of Wisconsin Madison; Syracuse University
摘要：The option-implied oil price volatility is a strong negative predictor of economic growth beyond traditional uncertainty measures. A rise in oil volatility also predicts an increase in oil inventories and a reduction in oil consumption, in line with a propagation channel through the oil sector. We explain these findings within a macro-finance model featuring stochastic uncertainties and precautionary oil inventories: firms increase oil inventories when oil volatility rises, which curbs oil use...
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作者：Gupta, Arpit; Mittal, Vrinda; Peeters, Jonas; Van Nieuwerburgh, Stijn
作者单位：New York University; Columbia University; University of Pennsylvania
摘要：We show that the COVID-19 pandemic brought house price and rent declines in city cen-ters, and price and rent increases away from the center, thereby flattening the bid-rent curve in most U.S. metropolitan areas. Across MSAs, the flattening of the bid-rent curve is larger when working from home is more prevalent, housing markets are more regu-lated, and supply is less elastic. Housing markets predict an urban revival with urban rent growth exceeding suburban rent growth for the foreseeable fut...
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作者：Whited, Toni M.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
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作者：Barrero, Jose Maria
作者单位：Instituto Tecnologico Autonomo de Mexico
摘要：This paper studies how biases in managerial beliefs affect managerial decisions, firm performance, and the macroeconomy. Using a new survey of US managers I establish three facts. (1) Managers are not overoptimistic: sales growth forecasts on average do not exceed realizations. (2) Managers are overprecise: they underestimate future sales growth volatility. (3) Managers overextrapolate: their forecasts are too optimistic after positive shocks and too pessimistic after negative shocks. To quant...
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作者：Li, Teng; Qian, Wenlan; Xiong, Wei A.; Zou, Xin
作者单位：Sun Yat Sen University; Sun Yat Sen University; National University of Singapore; University of Hong Kong; Shenzhen Stock Exchange (SZSE); Hong Kong Baptist University
摘要：This paper uses individual-level data linking stock investments with work performance to examine how changes in stock market wealth affect worker output. We document that a 10% increase in monthly income from stock market investments is associated with a decrease of 3.8% in the same investor's next-month work output. The negative output re-sponse is not driven by concurrent economic conditions and is unexplained by investor -specific liquidity needs. Consistent with the reference dependence in...
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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：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：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...
