-
作者：Duffie, Darrell; Dworczak, Piotr
作者单位：Stanford University; National Bureau of Economic Research; Northwestern University
摘要：A B S T R A C T We model the design of a benchmark fixing as an estimator of fair market value. The fixing data are the transactions of agents whose profits depend on the fixing, implying incentives for manipulation. We derive the optimal linear fixing under an assumption that transaction weights are unidimensional. We also axiomatically characterize the unique linear fixing that is robust to a certain form of collusion among traders. Our analysis provides a foundation for the commonly used vo...
-
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...
-
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...
-
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...
-
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 ...
-
作者：O'Hara, Maureen; Zhou, Xing Alex
作者单位：Cornell University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Technology transformed the trading of financial assets but has been slower to come to corporate bond trading. Combining proprietary data from MarketAxess with regulatory TRACE data, we investigate how electronic request for quote (RFQ) trading affects bond dealers and trading more generally. We demonstrate that electronic trading remains fairly small and segmented, but has wide-ranging effects on transaction costs and execution quality in both electronic and voice trading, and the interdealer ...
-
作者：Gustafson, Matthew T.; Ivanov, Ivan T.; Meisenzahl, Ralf R.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We directly measure banks' monitoring of syndicated loans. Banks typically demand borrower information on at least a monthly basis. About 20% of loans involve active monitoring (i.e., site visits or third-party appraisals). Monitoring increases with the lead bank's incentives and the value of information and is negatively associated with loan spreads and maturity. The monitoring captured by our measures can either complement or substitute for covenant-based monitoring, depending on whether the...
-
作者：Barrios, John M.; Hochberg, Yael, V
作者单位：Washington University (WUSTL); National Bureau of Economic Research; Rice University
摘要：Politics may color interpretations of facts, and thus perceptions of risk. We find that a higher share of Trump voters in a county is associated with lower perceptions of risk during the COVID-19 pandemic. Controlling for COVID-19 case counts and deaths, as Trump's vote share rises in the local area, individuals search less for information on the virus and its potential economic impacts, and engage in fewer visits to non-essential businesses. Our results suggest that politics and the media may...
-
作者：Bennedsen, Morten; Mehrotra, Vikas; Shim, Jungwook; Wiwattanakantang, Yupana
作者单位：Centre for Economic Policy Research - UK; INSEAD Business School; University of Copenhagen; University of Alberta; Kyoto Sangyo University; National University of Singapore
摘要：Dynastic-controlled firms are led by founding-family CEOs while the family owns an in-significant share of equity (defined as less than 5%). They represent 7.4% of listed firms in post-war Japan, include well-known firms such as Casio, Suzuki, and Toyota, and are often grouped with widely held firms in the literature. These firms differ in key performance measures from both traditional family firms and non-family firms, and evolve from the former as equity-financed growth dilutes family owners...
-
作者：Pedersen, Lasse Heje; Fitzgibbons, Shaun; Pomorski, Lukasz
作者单位：Copenhagen Business School; Centre for Economic Policy Research - UK
摘要：We propose a theory in which each stock's environmental, social, and governance (ESG) score plays two roles: (1) providing information about firm fundamentals and (2) affecting investor preferences. The solution to the investor's portfolio problem is characterized by an ESG-efficient frontier, showing the highest attainable Sharpe ratio for each ESG level. The corresponding portfolios satisfy four-fund separation. Equilibrium asset prices are determined by an ESG-adjusted capital asset pricing...
