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作者：Shu, Tao; Tian, Xuan; Zhan, Xintong
作者单位：The Chinese University of Hong Kong, Shenzhen; Tsinghua University; Fudan University
摘要：This paper attempts to study the causal effect of examiner busyness on patent quality and firm value. Using a broad set of patent quality measures, we find strong evidence that patents allowed by busy examiners exhibit significantly lower quality. Further, examiner busyness of firms' patents negatively predicts the firms' future stock returns, which is consistent with investor underreaction to examiner busyness. Examiners' experience helps attenuate the negative effect of examiner busyness. (c...
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作者：Guiso, Luigi; Pozzi, Andrea; Tsoy, Anton; Gambacorta, Leonardo; Mistrulli, Paolo Emilio
作者单位：University of Toronto; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK; European Central Bank; Bank of Italy
摘要：We build a model of the mortgage market in which banks attain their optimal mortgage portfolio by setting rates and steering customers. Sophisticated households know which mortgage type is best for them; naive households are susceptible to banks' steering. Using data on the universe of Italian mortgages, we estimate the model and quantify the welfare implications of steering. The average cost of the distortion is equivalent to 16% of the an-nual mortgage payment. A financial literacy campaign ...
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作者：Kilic, Mete; Yang, Louis; Zhang, Miao Ben
作者单位：University of Southern California
摘要：Asset pricing predictions from the investment CAPM depend on the cross-sectional relation between investment and profitability. In samples of U.S. stocks featuring high cross-sectional investment-profitability correlation, both investment and profitability premiums are weak. Consistent with the conditional predictions from the investment CAPM, triple sorts on size, investment, and profitability as in Hou et al. (2015)'s q-factors resurrect the premiums in the high-correlation samples. We find ...
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作者：Chan, Kam Fong; Marsh, Terry
作者单位：University of Western Australia; University of California System; University of California Berkeley
摘要：Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days, defined as leading earnings announcement days (LEADs), are times when an aggregate of influential S&P 500 firms disclose quarterly earnings news early in the earnings season. The positive return-to-beta relation holds for various test portfolios, individual stocks, and Treasuries; and is robust to different data frequencies and testing procedures. On days other than LE...
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作者：Hennessy, Christopher A.; Chemla, Gilles
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Imperial College London; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Building parable economies embedding econometricians, we view alternative estimators (Instrumental variables, fuzzy regression discontinuity, natural experiments, OLS, event studies) from the perspective of privately informed decision-makers, e.g., CFOs. Instrumental variable estimates can be misleading since randomization through observable instruments eliminates signal content arising from discretion. If the goal is informing discretionary decisions, rather than predicting outcomes after for...
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作者：Merkoulova, Yulia; Veld, Chris
作者单位：Monash University; Monash University
摘要：Optimal stock investment decisions rely on assessments of the distribution of expected returns. Using a representative sample, we find over half the US population cannot answer simple questions on expected stock returns. Respondents who are unable to make any return prediction, who cannot answer questions on the distribution of expected returns, or who reveal unlikely distributional beliefs participate less in the stock market and have smaller stock investments. However, overoptimistic investo...
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作者：Akbas, Ferhat; Boehmer, Ekkehart; Jiang, Chao; Koch, Paul D.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Singapore Management University; University of South Carolina System; University of South Carolina Columbia; Iowa State University
摘要：A higher frequency of positive overnight returns followed by negative trading day rever-sals during a month suggests a more intense daily tug of war between opposing investor clienteles, who are likely composed of noise traders overnight and arbitrageurs during the day. We show that a more intense daily tug of war predicts higher future returns in the cross section. Additional tests support the conclusion that, in a more intense tug of war, daytime arbitrageurs are more likely to discount the ...
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作者：Kruttli, Mathias S.; Monin, Phillip J.; Watugala, Sumudu W.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Office of Financial Research; United States Department of the Treasury; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：Using novel credit data, we show that hedge fund borrowing is significantly overcollateral-ized, primarily with rehypothecable securities. An idiosyncratic liquidity shock to a major prime broker significantly decreases credit to connected hedge funds. The dominant chan-nel behind this shock transmission is credit supply reduction rather than precautionary demand reduction. Funds posting more rehypothecable collateral are less affected because their collateral alleviates prime broker liquidity...
