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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：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...
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作者：Holden, Craig W.; Lu, Dong; Lugovskyy, Volodymyr; Puzzello, Daniela
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Renmin University of China; Renmin University of China; Indiana University System; Indiana University Bloomington
摘要：Chinese interbank foreign exchange trading was originally conducted through a centralized, anonymous limit order book (LOB). We determine the impact of the introduction of a parallel decentralized over-the-counter (OTC) market. We find that: (1) most trading migrated to the OTC, (2) the LOB price function is upward-sloping versus the OTC price function is downward-sloping, and (3) the LOB market has a single price function versus the OTC market has multiple price functions. Next, we develop a ...
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作者：Bartram, Sohnke M.; Grinblatt, Mark
作者单位：University of Warwick; Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (alpha) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The strategy's 40-70 basis point per month alpha difference between emerging and developed markets contrast with prior research findings. A country's pre-transaction cost alpha is positively related to its tr...
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作者：Huang, Shiyang; Lin, Tse-Chun; Xiang, Hong
作者单位：University of Hong Kong; Renmin University of China; University of Hong Kong
摘要：We provide a psychological explanation for the delayed price response to news about eco-nomically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially ex -plain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to...
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作者：Kargar, Mahyar
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
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作者：Chabakauri, Georgy; Rytchkov, Oleg
作者单位：University of London; London School Economics & Political Science; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas trees. We identify two effects of indexing: lockstep trading of stocks increases market volatility and stock return correlations but reduction in risk sharing decreases them. Overall, indexing decreases market volatility but has an ambiguous effect on the correlations. Also, index investing decreases an investor's welfare, but indexing by other inve...
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作者：Wang, Zijun
作者单位：University of Texas System; University of Texas at San Antonio
摘要：Extending Kaniel et al. (2012) and many others, we present the first empirical evidence that indicates the high volume return premium is linked to economic fundamentals. The volume premium has strong predictive power for future industrial production growth and other macroeconomic indicators with or without controls for common equity pricing factors and business cycle variables. However, only a small portion of the volume premium can be attributed to its comovement with equity return factors an...
