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作者：Bansal, Ravi; Miller, Shane; Song, Dongho; Yaron, Amir
作者单位：Duke University; National Bureau of Economic Research; Duke University; University of Michigan System; University of Michigan; Johns Hopkins University; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel
摘要：We estimate a regime-switching model for the equity term structure with Bayesian methods. Our approach accounts for the data sample being unrepresentative of the population distribution of regimes. We find that (i) the term structure of expected equity dividend strip returns is downward sloping in recessions and upward sloping in expansions, and (ii ) the unconditional term structure of expected equity returns is positively sloped. Our estimation shows that the sample unrepresentativeness indu...
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作者：Li, Jennifer (Jie); Massa, Massimo; Zhang, Hong; Zhang, Jian
作者单位：Shanghai Jiao Tong University; INSEAD Business School; Tsinghua University; University of Hong Kong
摘要：Inspired by the recent health science findings that air pollution affects mental health and cognition, we examine whether air pollution can intensify the cognitive bias observed in the financial markets. Based on a proprietary data set obtained from a large Chinese mutual fund family consisting of complete trading information for more than 773,198 ac-counts in 247 cities, we find that air pollution significantly increases investors' disposition effects. Analysis based on two plausible exogenou...
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作者：Nyborg, Kjell G.; Wang, Zexi
作者单位：University of Zurich; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Lancaster University
摘要：Enhanced stock liquidity increases a firm's propensity to hold cash. This is surprising given the view that improved stock liquidity reduces financial constraints. We propose that firms have a repurchase motive for holding cash. Higher stock liquidity strengthens this incentive. Consistent with this, firms with more liquid stock increase cash holdings relatively more when restrictions to repurchases are eased. The effect of stock liquidity on cash holdings is not influenced by access to credit...
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作者：Denis, David J.; McKeon, Stephen B.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Oregon; University of Oregon
摘要：Firms with negative net cash flows (NCFs) play an empirically important role in recent decades' increase in the average cash-balance ratio of publicly held non-financial firms. Since 1971, negative NCFs have become much more pervasive, persistent, and greater in magnitude, and these patterns hold within the growing set of firms that have high intan-gible capital. In recent years, firms with negative NCFs tend to build cash balances through frequent equity offerings. The high cash balances tend...
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作者：Francis, Bill B.; Hasan, Iftekhar; Shen, Yinjie (Victor); Wu, Qiang
作者单位：Rensselaer Polytechnic Institute; Fordham University; Bank of Finland; University of Sydney; University System of Ohio; Cleveland State University; Hong Kong Polytechnic University
摘要：Using a comprehensive US hedge fund activism dataset from 2003 to 2018, we find that ac-tivist hedge funds are about 52% more likely to target firms with female CEOs compared to firms with male CEOs. We find that firm fundamentals, the existence of a glass cliff, gen -der discrimination bias, and hedge fund activists' inherent characteristics do not explain the observed gender effect. We also find that the transformational leadership style of fe -male CEOs is a plausible explanation for this g...
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作者：Matray, Adrien
作者单位：Princeton University; Center for Economic & Policy Research (CEPR)
摘要：This paper provides evidence of local innovation spillovers (i.e., innovation by one firm fostering innovation by neighboring firms). First, I document that exogenous shocks to in-novation by listed firms affect innovation by private firms in the same geographical area and that such local innovation spillovers decline rapidly with distance. Second, these local innovation spillovers stem from knowledge diffusing locally through two channels: learn-ing across local firms and inventors moving fro...
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作者：Whited, Toni M.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
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作者：Dou, Winston Wei; Ji, Yan; Wu, Wei
作者单位：University of Pennsylvania; Hong Kong University of Science & Technology; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：We build an asset-pricing model with dynamic strategic competition to explain the strong joint fluctuations in aggregate discount rates, competition intensity, profitability, and asset prices. Product market competition endogenously intensifies as discount rates rise, because firms compete more aggressively for current cash flows by undercutting each other as the value of future cooperation decreases. In industries with a lower turnover rate of market leaders, firms' profit margins tend to be ...
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作者：Keloharju, Matti; Linnainmaa, JuhaniT.; Nyberg, Peter
作者单位：Aalto University; Centre for Economic Policy Research - UK; Research Institute of Industrial Economics (IFN); Dartmouth College; National Bureau of Economic Research
摘要：Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka, 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year, which is consistent with seasonalities being driven by temporary mispricing. Sea...
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作者：Rosch, Dominik
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：I study how arbitrage affects liquidity by analyzing several billion trades in the American Depositary Receipt (ADR) market from 2001 to 2016. Price deviations persist, on average, for 12 min, and mainly arise because of price pressure. Impulse response functions estimated at 1 min intervals indicate that a positive shock to arbitrage-simultaneous trades of the ADR and the home-market share in the opposite direction-decreases deviations and bid-ask spreads. I confirm these findings by exploiti...
