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作者：Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu
作者单位：Bank of England; University of Hong Kong; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Tsinghua University
摘要：Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information on each transaction, including the identities of both counterparties. We find that hedge funds' daily trading positively forecasts gilt returns in the following one to five days, which is then fully reversed in the following month. A part of this short-term return predi...
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作者：Alperovych, Yan; Cumming, Douglas; Czellar, Veronika; Groh, Alexander
作者单位：emlyon business school; State University System of Florida; Florida Atlantic University; SKEMA Business School; University of Birmingham
摘要：We examine 68,044 completed or abandoned M&A transactions involving unlisted targets to determine the effect of transaction rumors on deal-closing propensity and transaction values. Estimation is challenging because rumors may be spread on purpose or emerge accidentally while transaction values are only observable for completed deals and no regulation requires to disclose them. We use indirect inference to overcome these challenges. We find that (a) M&A rumors are deal breakers, (b) rumored bu...
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作者：Della Corte, Pasquale; Kozhan, Roman; Neuberger, Anthony
作者单位：Imperial College London; University of Warwick; City St Georges, University of London
摘要：We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes-a volatility carry strategy-generates significant excess returns. The covariation with volatility carry returns fully explains the cross-sectional variation of our slope-sorted portfolios. The lower the slope, the more the forward volatility agreeme...
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作者：Wang, Liying
作者单位：University of Nebraska System; University of Nebraska Lincoln
摘要：Using newly available data on initial prices, this study is the first to analyze the price updating process associated with corporate bond (CB) offerings. Similar to the case for equity IPOs, the evidence shows bookbuilding theories help explain the CB offering price. In particular, CB price updates reduce underwriters' pricing errors. The partial adjustment phenomenon exists, and underwriters propose a lower initial price in cases of greater uncertainty. However, the CB price update has a lar...
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作者：Noh, Suzie; So, Eric C.; Verdi, Rodrigo S.
作者单位：Stanford University; Massachusetts Institute of Technology (MIT)
摘要：We develop a novel methodology for studying the causal impact of announcement tim-ing. Our methodology uses firms' earnings announcements and leverages quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in announcement timing as calendar rotations, which are uncorrelated with proxies for announcement content. In applying our methodology, we show announcements moved forward by calendar rotations receive height...
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作者：Kamiya, Shinichi; Kang, Jun-Koo; Kim, Jungmin; Milidonis, Andreas; Stulz, Rene M.
作者单位：Nanyang Technological University; Hong Kong Polytechnic University; University of Cyprus; University System of Ohio; Ohio State University
摘要：We develop a model where a firm has an optimal exposure to cyber risk. With rational, fully informed agents and with no hysteresis, a successful cyberattack should have no impact on a financially unconstrained target's reputation and post-attack policies. In contrast, when a successful attack involves the loss of personal financial information, there is a significant shareholder wealth loss, which is much larger than the attack's out-of-pocket costs. This excess loss is higher when the attack ...
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作者：Liu, Yan
作者单位：Purdue University System; Purdue University
摘要：I develop a new spectrum of moment bounds on the pricing kernel. They stem from the solution of an optimization problem that is complementary to Hansen and Jagannathan (1991) approach. Economically, they measure the discrepancy between what an optimizing agent could achieve if all assets (that are priced by the pricing kernel) were tradable and what she can actually achieve in the real-world market. Through the lens of these bounds, I examine leading macro-finance models using index option ret...
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作者：Chava, Sudheer; Ganduri, Rohan; Paradkar, Nikhil; Zhang, Yafei
作者单位：University System of Georgia; Georgia Institute of Technology; Emory University; University System of Georgia; University of Georgia
摘要：Using comprehensive credit bureau data, we document that consumers who borrow from marketplace lending (MPL) platforms have lower credit scores and higher default rates in the long run relative to observably similar applicants for bank loans. The long-run credit scores and default rates of MPL borrowers are especially worse when the MPL platforms provide less information to MPL investors, when MPL borrowers are benchmarked against relationship bank borrowers, and for one-time MPL borrowers as ...
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作者：Liu, Yan; Wu, Jing Cynthia
作者单位：Purdue University System; Purdue University; University of Notre Dame; National Bureau of Economic Research
摘要：The constant maturity zero-coupon yield curve for the US Treasuries is one of the most studied datasets. We construct a new yield curve using a non-parametric kernel-smoothing method with a novel adaptive bandwidth specifically designed to fit the Treasury yields. Our curve is globally smooth while still capturing important local variation. Economically, we show that applying our data leads to different conclusions from using the leading alternative data of Gurkaynak et al. (2007) (GSW) when w...
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作者：Lewis, Kurt F.; Longstaff, Francis A.; Petrasek, Lubomir
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We use a unique sample of corporate bonds guaranteed by the full faith and credit of the US to test recent theories about why asset prices may diverge from fundamental values. A key feature of our study is access to proprietary data on the haircuts, funding costs, and inventory positions of the primary dealers making markets in the individual bonds. The results provide strong support for the cross-sectional implications of the safe-asset, intermediary-constraints, and search-frictions literatu...
