-
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...
-
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...
-
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...
-
作者：Chodorow-Reich, Gabrie; Darmouni, Olivier; Luck, Stephan; Plosser, Matthew
作者单位：Harvard University; Columbia University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We use supervisory loan-level data to document that small firms (SMEs) obtain shorter maturity credit lines than large firms, post more collateral, have higher utilization rates, and pay higher spreads. We rationalize these facts as the equilibrium outcome of a trade -off between lender commitment and discretion. Using the COVID recession, we test the prediction that SMEs are subject to greater lender discretion. Consistent with this hypothe-sis, SMEs did not draw down whereas large firms did,...
-
作者：Meirowitz, Adam; Pi, Shaoting
作者单位：Yale University; Iowa State University
摘要：We study governance when shareholders vote and can also buy or sell shares. We find that voting for the policy that one believes is better for the firm maximizes portfolio value only when pivotal; otherwise, it is better to vote against one's information, distort the market, and then trade at the distorted price. Equilibrium voting informativeness balances these forces and is demonstrably low. As the number of shareholders grows, the proba-bility of making the correct decision becomes lower th...
-
作者：Moench, Emanuel; Soofi-Siavash, Soroosh
作者单位：Deutsche Bundesbank; Goethe University Frankfurt; Centre for Economic Policy Research - UK; Bank of Lithuania; Vilnius University; Frankfurt School Finance & Management
摘要：We identify a yield news shock as an innovation that does not move Treasury yields con-temporaneously but explains a maximum share of their future variation. Yields do not immediately respond to the news shock as the initial reaction of term premiums and ex-pected short rates offset each other. While the impact on term premiums fades quickly, expected short rates and thus yields decline persistently. As a result, the shock explains a staggering 50% of Treasury yield variation several years out...
-
作者：Moon, Terry; Schoenherr, David
作者单位：University of British Columbia; Princeton University
摘要：We document that networks that gain access to political power and use it for patronage appointments also gain control over resource allocation in the private sector. Specifically, following a presidential election in Korea, the president appoints members of his network into important positions in government, and private banks respond by appointing execu-tives from the same network to establish links to the administration. Consequently, firms linked to the network obtain more credit at a lower ...
-
作者：Howes, Cooper
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：The decline of the U.S. manufacturing share since 1960 has occurred disproportionately during recessions. Using evidence from two natural experiments-the collapse of Lehman Brothers in 2008 and U.S. interstate banking deregulation in the 1980s-I find a role for credit reallocation in explaining this phenomenon by showing that losing access to credit disproportionately hurt manufacturing firms, and that the creation of new credit disproportionately benefited nonmanufacturing firms. These result...
-
作者：Akey, Pat; Gregoire, Vincent; Martineau, Charles
作者单位：University of Toronto; Universite de Montreal; HEC Montreal
摘要：A B S T R A C T From 2010 to 2015, a group of traders illegally accessed earnings information before their public release by hacking several newswire services. We use this scheme as a natural experiment to investigate how informed investors select among private signals and how efficiently financial markets incorporate private information contained in trades into prices. We construct a measure of qualitative information using machine learning and find that the hackers traded on both qualitative...
-
作者：Guernsey, Scott; Sepe, Simone M.; Serfling, Matthew
作者单位：University of Tennessee System; University of Tennessee Knoxville; University of Arizona; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; European Corporate Governance Institute
摘要：During market-wide shocks that cause large drops in stock prices, firms with more state endorsed antitakeover provisions (ATPs) experience smaller declines in value. Two channels appear to drive this finding. First, by giving boards more bargaining power to fight opportunistic bids, firms with more ATPs extract higher takeover premiums during market shocks. Second, having more ATPs attenuates the effect of market shocks on firm value by protecting relationship-specific investments with stakeho...
