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作者：Miao, Meng; Niu, Guanjie; Noe, Thomas
作者单位：Renmin University of China; Renmin University of China; University of Oxford
摘要：This paper documents the emergence of a large bank loan market in the absence of contracting institutions: the trusted assistant loan market in 19th century China. These loans were legally unenforceable, one-shot loans to poor scholars that funded the costs of assuming lucrative administrative appointments offering ample opportunities for corruption. The trusted assistant loan's distinguishing feature was a legally unenforceable stipulation that the borrower incorporate an agent of the credito...
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作者：Chinco, Alex; Neuhierl, Andreas; Weber, Michael
作者单位：University of Chicago; Washington University (WUSTL); National Bureau of Economic Research
摘要：The anomaly zoo has caused many to question whether researchers are using the right tests of statistical significance. But even if researchers are using the right tests, they will still draw the wrong conclusions from their econometric analyses if they start out with the wrong priors (i.e., if they start out with incorrect beliefs about the ex ante probability of encountering a tradable anomaly, the anomaly base rate). We propose a way to estimate it by combining two key insights: Empirical Ba...
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作者：Barro, Robert J.; Liao, Gordon Y.
作者单位：Harvard University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We derive an options-pricing formula from recursive preferences and estimate rare disaster probability. The new options-pricing formula applies to far out-of-the-money put options on the stock market when disaster risk dominates, the size distribution of disasters follows a power law, and the economy has a representative agent with a constant-relative-risk-aversion utility function. The formula conforms with options data on the Standard & Poor's (S&P) 500 Index from 1983 to 2018 and for analog...
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作者：Silvers, Roger
作者单位：Utah System of Higher Education; University of Utah
摘要：This study tests whether cooperation between securities regulators influences global mar-ket integration. I measure cooperation using arrangements between securities regulators that enable enhanced cross-border enforcement, better regulatory decisions, and reduced compliance obligations for cross-border activities. These arrangements-formed at different times for different country pairs-are associated with an 11% increase in cross-border in-vestment. I find similar increases using other proxie...
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作者：Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan
作者单位：Northwestern University; Yale University
摘要：We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of options contracts covering a variety of different markets. If uncertainty shocks are viewed as bad by investors, they should carry negative risk premiums. Empirically, however, uncertainty risk premiums are positive in most markets. Instead, it is the realization of large shocks to fundamentals that has historically carried a negative premium. In other words, we find that the return premium for gamma is ne...
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作者：Cao, Sean Shun; Fang, Vivian W.; Lei, Lijun (Gillian)
作者单位：University System of Georgia; Georgia State University; University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Greensboro
摘要：This paper provides first evidence of negative peer disclosure (NPD), an emerging corporate strategy to publicize adverse news of industry peers on social media. Consistent with NPDs being implicit positive self-disclosures, disclosing firms experience a two-day abnormal return of 1.6-1.7% over the market and industry. Further exploring the benefits and costs of such disclosures, we find that NPD propensity increases with the degree of product market rivalry and technology proximity and disclo...
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作者：Bogousslavsky, Vincent; Collin-Dufresne, Pierre; Saglam, Mehmet
作者单位：Boston College; University System of Ohio; University of Cincinnati
摘要：We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and volume-weighted average price slippage). Stocks in which the firm accumulates large long (short) positions increase (decrease) by about 4% during the glitch and become substantially more illiquid. It takes one day for prices and spread-based liquidity mea...
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作者：Ghent, Andra C.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：What makes an asset institutional quality? This paper proposes that one reason is the existing concentration of delegated investors in a market through a liquidity channel. Consistent with this intuition, it documents differences in investor composition across US cities and shows that delegated investors concentrate their investments in cities with higher turnover. It then estimates a search model showing how heterogeneity in liquidity preferences makes some markets more liquid, even when asse...
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作者：Briggs, Joseph; Cesarini, David; Lindqvist, Erik; Ostling, Robert
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; New York University; National Bureau of Economic Research; Stockholm University; Research Institute of Industrial Economics (IFN); Stockholm School of Economics
摘要：We exploit the randomized assignment of lottery prizes in a large administrative Swedish data set to estimate the causal effect of wealth on stock market participation. A $150,00 0 windfall gain increases the stock market participation probability by 12 percentage points among prelottery nonparticipants but has no discernible effect on prelottery stock owners. A structural life cycle model significantly overpredicts entry rates even for very high entry costs (up to $31,0 00). Additional analys...
