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作者：Hirshleifer, David; Sheng, Jinfei
作者单位：University of Southern California; University of California System; University of California Irvine
摘要：We study how the arrival of macro-news affects the stock market's ability to incorpo-rate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings an-nouncements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drif...
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作者：Diamond, Douglas W.; Hu, Yunzhi; Rajan, Raghuram G.
作者单位：University of Chicago; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We develop a theory of how corporate lending and financial intermediation change based on the fundamentals of the firm and its environment. We focus on the interaction be-tween the prospective net worth or liquidity of an industry and the firm's internal gover-nance or pledgeability. Variations in prospective liquidity can induce changes in the nature, covenants, and quantity of loans that are made, the identity of the lender, and the extent to which the lender is leveraged. We offer predictio...
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作者：Biswas, Sonny; Koufopoulos, Kostas
作者单位：University of Bristol; University of York - UK
摘要：We study bank regulation under optimal contracting, absent exogenous distortions. In equilibrium, banks offer a senior claim (deposits) to external investors and retain equity; the return on equity is higher than the return on deposits due to a scarcity of skilled bankers. Inefficient equilibria emerge under asymmetric information. Optimally designed regulation restores efficiency. Our main result is that disclosure requirements by themselves can be endogenously costly because they may push th...
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作者：Busaba, Walid Y.; Restrepo, Felipe
作者单位：Western University (University of Western Ontario)
摘要：We investigate the effect of the 7% solution-the fact that underwriters in the U.S. charge a 7% spread to most IPOs between $20 million and $100 million in size-on the ensuing pricing of the offerings. Our identification exploits the variation in spreads that is due to distinct kinks in the relation between spread and offer size at these two thresholds. We find the spread positively influences underpricing but also the offer-price adjustment from the filing range's midpoint. Our evidence indic...
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作者：Schmeling, Maik; Schrimpf, Andreas; Steffensen, Sigurd A. M.
作者单位：Goethe University Frankfurt; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK
摘要：How are financial markets pricing the monetary policy outlook? We use surveys to decom-pose excess returns on money market instruments into expectation errors and term pre-mia. Excess returns are primarily driven by expectation errors, whereas term premia are negligible. Investors face challenges when learning about the Federal Reserve's response to large, but infrequent, negative shocks in real-time. Rather than reflecting risk compen-sation, excess returns stem from investors underestimating...
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作者：Bernhardt, Dan; Koufopoulos, Kostas; Trigilia, Giulio
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of York - UK; University of Rochester
摘要：Classical security design papers equate competitive capital markets to securities being fairly priced in expectation. We revisit Nachman and Noe's (1994) adverse selection set-ting, modeling capital market competition as free entry of investors and allowing firms to propose prices for their securities, as happens in private securities placements and bank lending. We identify equilibria in which high types issue underpriced debt, which yields positive expected profits to uninformed lenders, whi...
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作者：Boudoukh, Jacob; Israel, Ronen; Richardson, Matthew
作者单位：New York University; National Bureau of Economic Research
摘要：Analogous to Stambaugh (1999) , this paper derives the small sample bias of estimators in J-horizon predictive regressions, providing a closed-form solution in terms of the sample size, horizon and persistence of the predictive variable. For large J , the bias is linear in J T with a slope that depends on the predictive variable's persistence. The paper offers a num-ber of other useful results, including (i) important extensions to the original Stambaugh (1999) setting, (ii) closed-form bias f...
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作者：Bernstein, Asaf; Billings, Stephen B.; Gustafson, Matthew T.; Lewis, Ryan
作者单位：University of Colorado System; University of Colorado Boulder; National Bureau of Economic Research; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Is climate change partisanship reflected in residential decisions? Comparing individual properties in the same zip code with similar elevation and proximity to the coast, houses exposed to sea level rise (SLR) are increasingly more likely to be owned by Republicans and less likely to be owned by Democrats. We find a partisan residency gap for even mod-erately SLR exposed properties of more than 5 percentage points, which has more than doubled over the past six years. Findings are unchanged con...
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作者：David, Joel M.; Schmid, Lukas; Zeke, David
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Southern California; University of Southern California
摘要：We develop a theory linking misallocation, i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm -level risk and (ii) the magnitude of risk premia. Stock market-based measures imply that risk considerations explain about 25% of MPK dispersion among US firms and rationalize a large persistent component in firm-level MPK, consistent with the micro-level data. Time -varying risk premia lead to countercyclical MPK disp...
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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
