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作者：Bogousslavsky, Vincent
作者单位：Boston College
摘要：I investigate cross-sectional variation in stock returns over the trading day and overnight to shed light on what drives asset pricing anomalies. Margin requirements are higher overnight, and lending fees are typically charged only on positions held overnight. Such institutional constraints and overnight risk incentivize arbitrageurs who trade on mispric-ing to reduce their positions before the end of the day. Consistent with this intuition, a mispricing factor earns positive returns throughou...
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作者：Bongaerts, Dion; Van Achter, Mark
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; KU Leuven
摘要：We model endogenous technology adoption and competition among liquidity providers with access to High-Frequency Trading (HFT) technology. HFT technology provides speed and information advantages. Information advantages may restore excessively toxic markets. Speed advantages may reduce resource costs for liquidity provision. Both effects increase liquidity and welfare. However, informationally advantaged HFTs may impose a winner's curse on traditional market makers, who in response reduce their...
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作者：Begley, Taylor A.; Purnanandam, Amiyatosh
作者单位：Washington University (WUSTL); University of Michigan System; University of Michigan
摘要：A B S T R A C T The incidence of misselling, fraud, and poor customer service by retail banks is significantly higher in areas with higher proportions of poor and minority borrowers and in areas where government regulation promotes an increased quantity of lending. Specifically, low-to-moderate-income (LMI) areas targeted by the Community Reinvestment Act have significantly worse outcomes, and this effect is larger for LMI areas with a high minority population share. The results highlight an u...
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作者：Cahn, Christophe; Girotti, Mattia; Landier, Augustin
作者单位：European Central Bank; Bank of France; Hautes Etudes Commerciales (HEC) Paris
摘要：We analyze how public information on past entrepreneurial failure affects entrepreneurs' ability to borrow and start new ventures. We exploit a policy shock from 2013 in France, which eliminated a widely used means of public reporting to banks of the identity of en-trepreneurs involved in past corporate liquidations. We find that the elimination of this flag increases failed entrepreneurs' probability of starting a new business by at least 19%. Restarters create companies that have a higher pr...
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作者：Liu, Claire; Masulis, Ronald W.; Stanfield, Jared
作者单位：University of Sydney; University of New South Wales Sydney; University of Oklahoma System; University of Oklahoma - Norman
摘要：We study how the existence of important production contracts affects the choice of chief executive officer (CEO) compensation contracts. We hypothesize that having major cus-tomers raises the costs associated with CEO risk-taking incentives and leads to lower option-based compensation. Using industry-level import tariff reductions as exogenous shocks to customer relationships, we find that firms with major customers subsequently reduce CEO option-based compensation significantly. We also show ...
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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：This study attests to the important role of US midterm elections in asset pricing, even more important than presidential elections. In months following the midterms, equity premiums, mutual fund flows, and real investment growth rates are significantly higher and Treasury premiums are lower. This is consistent with theoretical models relating higher asset prices to lower future discount rates when post-election political uncertainty decreases. The results are robust to different measures of un...
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作者：Schlag, Christian; Thimme, Julian; Weber, Ruediger
作者单位：Goethe University Frankfurt; Helmholtz Association; Karlsruhe Institute of Technology; Vienna University of Economics & Business
摘要：We introduce implied volatility duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand, on average, more than 5% return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that late stocks can only have higher expected returns than early stocks if the investor exhibits a preference for early r...
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作者：Xu, Nancy R.
作者单位：Boston College
摘要：Duffee (2005) shows that the amount of consumption risk (i.e., the conditional covariance between market returns and consumption growth) is procyclical. In light of this Duffee Puzzle, I empirically demonstrate that the conditional covariance between dividend growth (i.e., the immediate cash flow part of market returns) and consumption growth is (1) procyclical and (2) a consistent source of procyclicality in the puzzle. Moreover, I solve an external habit formation model that incorporates rea...
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作者：Berg, Tobias; Saunders, Anthony; Schafer, Larissa; Steffen, Sascha
作者单位：Frankfurt School Finance & Management; New York University; Centre for Economic Policy Research - UK
摘要：We document a 24% decline in loan issuances in the UK syndicated loan market after the Brexit vote relative to a set of comparable loan markets. The decline in lending is driven by a pervasive reduction in demand by UK firms. Changes in GDP forecast around the Brexit vote explain about 61% of the decline in lending. We do not find evidence, however, that the United Kingdom loses its attractiveness as a financial center for cross-border lending. Our results point to the resilience of global fin...
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作者：Huang, Dashan; Li, Jiangyuan; Wang, Liyao
作者单位：Singapore Management University; Shanghai University of Finance & Economics; Hong Kong Baptist University
摘要：Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both inand out-of-sample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high-sentiment periods, is posi...
