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作者：Aghamolla, Cyrus; An, Byeong-Je
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Nanyang Technological University
摘要：We study a dynamic voluntary disclosure setting where the manager's information and the firm's value evolve over time. The manager is not limited in her disclosure opportunities, but disclosure is costly. The results show that the manager discloses even if this leads to a price decrease in the current period. The manager absorbs this price drop in order to increase her option value of withholding disclosure in the future. That is, by disclosing today, the manager can improve her continuation v...
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作者：Ahnert, Toni; Forbes, Kristin; Friedrich, Christian; Reinhardt, Dennis
作者单位：Bank of Canada; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Bank of England
摘要：We use a new data set on macroprudential foreign exchange (FX) regulations to evaluate their effectiveness and unintended consequences. Our results support the predictions of a model in which banks and markets lend in different currencies, but only banks can screen firm productivity. Regulations significantly reduce bank FX borrowing, and firms respond by increasing FX debt issuance. Moreover, regulations reduce bank sensitivity to exchange rates but are less effective at reducing the sensitiv...
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作者：Da, Zhi; Huang, Xing; Jin, Lawrence J.
作者单位：University of Notre Dame; Washington University (WUSTL); California Institute of Technology
摘要：Using novel data from a crowdsourcing platform for ranking stocks, we investigate how investors form expectations about stock returns over the next week. We find that investors extrapolate from stocks' recent past returns, with more weight on more recent returns, especially when recent returns are negative, salient, or from a dispersed cross-section. Such extrapolative beliefs are stronger among nonprofessionals and large stocks. Moreover, consensus rankings negatively predict returns over the...
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作者：Bai, Hang
作者单位：University of Connecticut
摘要：Labor market frictions help explain the credit spread puzzle. In U.S. aggregate data and newly assembled U.S. industry-level and cross-country panel datasets, the relation between unemployment and credit risk is strong and positive. In a search model of equilibrium unemployment embedded with defaultable debt and capital accumulation, search frictions create downward rigidity in expected search costs, hindering firms from repaying creditors particularly in bad times and rendering corporate debt...
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作者：Guceri, Irem; Albinowski, Maciej
作者单位：University of Oxford; University of Oxford
摘要：We exploit a natural experiment in which two very similar investment subsidies were implemented in the same country, two years apart: once during a period of economic stability, and once during a period of very high uncertainty. Using rich administrative data, we find that, under low uncertainty, tax incentives have strong positive effects on average investment. Under high uncertainty, however, the story is different: there is vast heterogeneity in responses, with the firms that are sheltered ...
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作者：Dixon, Peter N.; Fox, Corbin A.; Kelley, Eric K.
作者单位：U.S. Securities & Exchange Commission (SEC); James Madison University; University of Tennessee System; University of Tennessee Knoxville
摘要：In a standard stock loan, the borrower reimburses the lender any dividends paid while the loan is outstanding. Since these substitute dividends may be taxed differently than dividend payments themselves, some investors have incentives to either remove their shares from lendable supply-if they pay high taxes on substitute dividends-or lend out their shares to arbitrageurs-if they pay high taxes on dividends. Consistent with these incentives, we find a significant tightening of the equity lendin...
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作者：Neuhierl, Andreas; Varneskov, Rasmus T.
作者单位：Washington University (WUSTL); Copenhagen Business School; CREATES; Danish Finance Institute
摘要：We provide a model-free framework for studying the dynamics of the state vector and its risk prices. Specifically, we derive a frequency domain decomposition of the unconditional asset return premium in a general setting with a log-affine stochastic discount factor (SDF). Importantly, we show that the cospectrum between returns and the SDF only displays frequency dependencies through the state vector and that its dynamics and risk prices can be inferred from covariances between asset (portfoli...
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作者：Hoffmann, Florian; Pfeil, Sebastian
作者单位：KU Leuven; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study non-contractible intangible investment in a dynamic agency model with mul-titasking. The manager's short-term task determines current performance, which deteri-orates with investment in the firm's future profitability, his long-term task. The optimal contract dynamically balances incentives for short-and long-term performance. Invest-ment is distorted upwards (downwards) relative to first-best in firms with high (low) re-turns to investment. These distortions decrease as good performa...
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作者：Girardi, Giulio; Hanley, Kathleen W.; Nikolova, Stanislava; Pelizzon, Loriana; Sherman, Mila Getmansky
作者单位：U.S. Securities & Exchange Commission (SEC); Lehigh University; University of Nebraska System; University of Nebraska Lincoln; Universita Ca Foscari Venezia; Goethe University Frankfurt; University of Massachusetts System; University of Massachusetts Amherst
摘要：We examine whether the concern about insurers selling similar assets due to an overlap in holdings is justified. We measure this overlap using cosine similarity and find that insurers with more similar portfolios have larger subsequent common sales. When faced with a shock to assets or liabilities, exposed insurers with greater portfolio similarity have larger common sales that impact prices. Our portfolio similarity measure can be used by regulators to predict the common selling of any instit...
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作者：Lewellen, Katharina; Lowry, Michelle
作者单位：Dartmouth College; Drexel University
摘要：A growing number of studies suggest that common ownership caused cooperation among firms to increase and competition to decrease. We take a closer look at four approaches used to identify these effects. We find that the effects that some studies have attributed to common ownership are caused by other factors, such as differential responses of firms (or industries) to the 2008 financial crisis. We propose a modification to one of the previously used empirical approaches that is less sensitive t...
