-
作者：Bar-Isaac, Heski; Shapiro, Joel
作者单位：University of Toronto; University of Oxford
摘要：Blockholders play a large role in corporate governance. We examine their voting behavior by adding a voter with many votes, i.e., a blockholder, to a standard voting model. A blockholder may not vote with all of her shares. This is efficient because it prevents her from drowning out the information in others' votes. This effect holds even when shares may be traded. Consequently, regulations prohibiting abstention will harm information aggregation, though such regulations may promote informatio...
-
作者：Bernard, Darren; Blackburne, Terrence; Thornock, Jacob
作者单位：University of London; London Business School; Oregon State University; Brigham Young University
摘要：Using a novel pairwise measure of firms' acquisition of rivals' disclosures, we show that investment opportunities drive interfirm information flows. We find that these flows predict subsequent mergers and acquisitions as well as how and how much firms invest, relative to rivals. Moreover, firms' use of rivals' information often hinges on the similarities of their products. Our results suggest that rivals' public information, far from being unusable, helps facilitate investment and product dec...
-
作者：Malmendier, Ulrike; Pouzo, Demian; Vanasco, Victoria
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：How do macrofinancial shocks affect investor behavior and market dynamics? Recent evidence on experience effects suggests a long-lasting influence of personally experienced outcomes on investor beliefs and investment but also significant differences across older and younger generations. We formalize experience-based learning in an overlapping generations (OLG) model, where different cross-cohort experiences generate persistent heterogeneity in beliefs, portfolio choices, and trade. The model a...
-
作者：Gao, Pengjie; Lee, Chang; Murphy, Dermot
作者单位：University of Notre Dame; Korea Advanced Institute of Science & Technology (KAIST); University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We examine how local newspaper closures affect public finance outcomes for local governments. Following a newspaper closure, municipal borrowing costs increase by 5-11 basis points, costing the municipality an additional $650,000 per issue. This effect is causal and not driven by underlying economic conditions. The loss of government monitoring resulting from a closure is associated with higher government wages and deficits and increased likelihoods of costly advance refundings and negotiated ...
-
作者：Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu
作者单位：University College Dublin; The Chinese University of Hong Kong, Shenzhen; Hong Kong University of Science & Technology
摘要：We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using earnings announcements as information events, we show that AIV is positively associated with informed return run-ups, abnormal insider trading, short selling, and institutional trading during pre -earnings-announcement periods. ...
-
作者：Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani T.; Nikolaev, Valeri
作者单位：University of Chicago; Dartmouth College; University of Southern California; National Bureau of Economic Research
摘要：Book value of equity consists of two economically different components: retained earnings and contributed capital. We predict that book-to-market strategies work because the retained earnings component of the book value of equity includes the accumulation and, hence, the averaging of past earnings. Retained earnings-to-market predicts the cross section of average returns in U.S. and international data and subsumes book-to-market. Contributed capital-to-market has no predictive power. We show t...
-
作者：Grullon, Gustavo; Kaba, Yamil; Nunez-Torres, Alexander
作者单位：Rice University; City University of New York (CUNY) System; Lehman College (CUNY)
摘要：This paper examines whether predictable seasonal patterns in firm fundamentals generate time variation in stock returns. Our findings indicate that stock returns are counterseasonal. Specifically, a long-short strategy of buying low-sales season stocks and shorting high-sales season stocks produces an annual alpha of 8.4% (14.5% over the last decade). This seasonal effect has a relatively high Sharpe ratio and occurs independently of previously documented seasonal anomalies. We analyze several...
-
作者：Bae, Kyounghun; Kim, Daejin
作者单位：Hanyang University; Ulsan National Institute of Science & Technology (UNIST)
摘要：We investigate the effect of exchange-traded fund (ETF) liquidity on ETF tracking errors, returns, and volatility in the US. We find that illiquid ETFs have large tracking errors. The effect is more pronounced when underlying assets are less liquid. Returns and liquidity of illiquid ETFs are more sensitive to underlying index returns or ETF market liquidity, or both. Thus, a positive liquidity premium exists in US ETF markets. The ETF variance could be larger than its net asst value variance o...
-
作者：Chattopadhyay, Akash; Shaffer, Matthew D.; Wang, Charles C. Y.
作者单位：University of Toronto; University of Southern California; Harvard University
摘要：After decades of de-prioritizing shareholders' economic interests and low corporate profitability, Japan introduced the JPX-Nikkei400 in 2014. The index highlighted the country's best-run companies by annually selecting the 400 most profitable of its large and liquid firms. We find that managers competed for inclusion in the index by significantly increasing return on equity (ROE), and they did so at least in part due to their reputational or status concerns. The ROE increase was predominantly...
-
作者：Choi, Jaewon; Hoseinzade, Saeid; Shin, Sean Seunghun; Tehranian, Hassan
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; Suffolk University; Aalto University; Boston College
摘要：Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policy makers that large redemptions will lead to asset fire sales. We find little evidence, however, that bond fund redemptions drive fire sale price pressure after controlling for time-varying issuer-level information that could also affect funds' trading decisions, using a novel identification strategy that exploits same-issuer bonds held by funds with differing outflows. We attribute our fi...
