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作者：Albuquerque, Rui; Song, Shiyun; Yao, Chen
作者单位：Boston College; European Corporate Governance Institute; Centre for Economic Policy Research - UK; The Vanguard Group, Inc.; Chinese University of Hong Kong
摘要：Do stock prices of publicly listed companies respond to changes in transaction costs? Using the SEC's pilot program that increased the tick size for approximately 1,200 randomly chosen stocks, we find a stock price decrease between 1.75% and 3.2% for small spread stocks affected by the larger tick size relative to a control group. We find that the increase in the present value of transaction costs accounts for a small percentage of the price decrease. We study channels of price variation due t...
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作者：Donaldson, Jason Roderick; Gromb, Denis; Piacentino, Giorgia
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; Hautes Etudes Commerciales (HEC) Paris; Columbia University; National Bureau of Economic Research
摘要：We develop a model in which collateral serves to protect creditors from the claims of other creditors. We find that, paradoxically, borrowers rely most on collateral when pledgeability is high. This is when taking on new debt is easy, which dilutes existing creditors. Creditors thus require collateral for protection against possible dilution by collateralized debt. There is a collateral rat race. But collateralized borrowing has a cost: it encumbers assets, constraining future borrowing and in...
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作者：Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; Gunaydin, A. Doruk
作者单位：Sabanci University; Georgetown University
摘要：This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the US and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the persistence in left-tail risk and overprice stocks with large recent losses. Thus, low returns in the left-tail of the distribution persist into the future causing left-tail return momentum. We find that the left-t...
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作者：Ewens, Michael; Townsend, Richard R.
作者单位：California Institute of Technology; University of California System; University of California San Diego
摘要：We study whether early stage investors have gender biases using a proprietary data set from AngelList that allows us to observe private interactions between investors and fundraising startups. We find that male investors express less interest in female entrepreneurs compared to observably similar male entrepreneurs. In contrast, female investors express more interest in female entrepreneurs. These findings do not appear to be driven by within-gender screening/monitoring advantages or gender di...
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作者：Kozak, Serhiy; Santosh, Shrihari
作者单位：University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：The price of discount rate risk reveals whether increases in equity risk premia represent good or bad news to rational investors. Employing a new empirical methodology, we find that the price is negative, which suggests that discount rates are high during times of high marginal utility of wealth. Our approach relies on using future realized market returns to consistently estimate covariances of asset returns with the market risk premium. Covariances drive observed patterns in a broad cross sec...
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作者：Zentefis, Alexander K.
作者单位：Yale University
摘要：I present a model in which bank net worth determines both loan market competition and monetary transmission to firm borrowing rates. In the model, banks are local monopolists for borrowers near them. When they are flush with equity, banks expand their lending, compete for customers at the edges of their markets, and pass through changes in the monetary policy rate to their loan rates. When they lose substantial equity, banks consolidate, retreat from rivalry, and frustrate monetary transmissio...
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作者：Choi, Yong Seok; Doshi, Hitesh; Jacobs, Kris; Turnbull, Stuart M.
作者单位：University of Houston System; University of Houston
摘要：We introduce a top-down no-arbitrage model for pricing structured products. Losses are described by Cox processes whose intensities depend on economic variables. The model provides economic insight into the impact of structured products on financial institutions' risk exposure and systemic risk. We estimate the model using CDO data and find that spreads decrease with higher interest rates and increase with volatility and leverage. Volatility is the primary determinant of variation in tranche s...
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作者：Chung, Kee H.; Lee, Albert J.; Rosch, Dominik
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Sungkyunkwan University (SKKU)
摘要：Using limit order books across all US exchanges, we show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity for large orders (e.g., the cumulative depth and the price impact of multiple trades) improves after the implementation of the Tick Size Pilot Program. We find significant spillover effects on liquidity for small and large orders that extend beyond the top of the book. Finally, we show that the pilot program results in an improvement in pr...
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作者：Chabi-Yo, Fousseni; Loudis, Johnathan
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Notre Dame
摘要：We derive lower and upper bounds on the conditional expected excess market return that are related to risk-neutral volatility, skewness, and kurtosis indexes. The bounds can be calculated in real time using a cross section of option prices. The bounds require a no-arbitrage assumption, but they do not depend on distributional assumptions about market returns or past observations. The bounds are highly volatile, positively skewed, and fat-tailed. They imply that the term structure of expected e...
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作者：Field, Laura Casares; Souther, Matthew E.; Yore, Adam S.
作者单位：University of Delaware; University of South Carolina System; University of South Carolina Columbia; University of Missouri System; University of Missouri Columbia
摘要：We explore the labor market effects of gender and race by examining board leadership appointments. Prior studies are often limited by observing only hired candidates, whereas the boardroom provides a controlled setting where both hired and unhired candidates are observable. Although diverse (female and minority) board representation has increased, diverse directors are significantly less likely to serve in leadership positions despite possessing stronger qualifications than nondiverse director...
