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作者：Kowaleski, Zachary T.; Sutherland, Andrew G.; Vetter, Felix W.
作者单位：University of Notre Dame; Massachusetts Institute of Technology (MIT); University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
摘要：We study the consequences of a 2010 change in the investment adviser qualification exam that reallocated coverage from the rules and ethics section to the technical material section. Comparing advisers with the same employer in the same location and year, we find those passing the exam with more rules and ethics coverage are one-fourth less likely to commit misconduct. The exam change appears to affect advisers' perception of acceptable conduct and not just their awareness of specific rules or...
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作者：Chen, Zhuo; He, Zhiguo; Liu, Chun
作者单位：Tsinghua University; University of Chicago; National Bureau of Economic Research; Tsinghua University
摘要：The upsurge of shadow banking is typically driven by rising financing demand from certain real sectors. In China, the 4 trillion yuan stimulus package in 2009 was behind the rapid growth of shadow banking after 2012, expediting the development of Chinese corporate bond markets in the poststimulus period. Chinese local governments financed the stimulus through bank loans in 2009 and then resorted to nonbank debt financing after 2012 when faced with rollover pressure from bank debt coming due. C...
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作者：Branikas, Ioannis; Hong, Harrison; Xu, Jiangmin
作者单位：University of Oregon; Columbia University; Peking University
摘要：Households hold undiversified stock portfolios of firms headquartered near their city of residence. Leading explanations assign a causal role for proximity. The literature neglects that distance is endogenous. Households may locate based on unobservables such as optimism about a city's economic prospects, which can be correlated with latent local-stock demand. We use location-choice models to account for this selection. We propose as instruments that older households prefer to locate in recrea...
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作者：Pitkajarvi, Aleksi; Suominen, Matti; Vaittinen, Lauri
作者单位：Aalto University
摘要：We document a new phenomenon in bond and equity markets that we call cross-asset time series momentum. Using data from 20 countries, we show that past bond market returns are positive predictors of future equity market returns and past equity market returns are negative predictors of future bond market returns. We use this predictability to construct a diversified cross-asset time series momentum portfolio that yields a Sharpe ratio 45% higher than a standard time series momentum portfolio. We...
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作者：Berlin, Mitchell; Nini, Greg; Yu, Edison G.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Drexel University
摘要：We find that corporate loan contracts frequently concentrate control rights with a subset of lenders. Despite the rise in term loans without financial covenants-so-called covenant-lite loans-borrowing firms' revolving lines of credit almost always retain traditional financial covenants. This split structure gives revolving lenders the exclusive right and ability to monitor and to renegotiate the financial covenants, and we confirm that loans with split control rights are still subject to the d...
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作者：Frattaroli, Marc
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：I study a protectionist anti takeover law introduced in 2014 that covers a subset of all firms in the economy. The law decreased affected firms' likelihood of becoming the target of a merger or acquisition and had a negative impact on shareholder value. There is no evidence that management of those firms subsequently altered firm policies in its interest. Investment, employment, wages, profitability, and capital structure remain unchanged. The share of annual CEO compensation consisting of equ...
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作者：Chakraborty, Indraneel; Goldstein, Itay; MacKinlay, Andrew
作者单位：University of Miami; University of Pennsylvania; Virginia Polytechnic Institute & State University
摘要：The US Federal Reserve purchased both agency mortgage-backed securities (MBS) and Treasury securities to conduct quantitative easing. Using micro-level data, we find that banks benefiting from MBS purchases increase mortgage origination, compared with other banks. At the same time, these banks reduce commercial lending and firms that borrow from these banks decrease investment. The effect of Treasury purchases is different: either positive or insignificant in most cases. Our results suggest th...
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作者：Aghamolla, Cyrus; Hashimoto, Tadashi
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Yeshiva University
摘要：We study informational freeriding in a model where agents privately acquire information and then decide when to reveal it by taking an action. Examples of such freeriding are prevalent in financial markets, e.g., the timing of initial public offerings, analysts' forecasts, and mutual funds' investment decisions. The main results show that, in large populations, few agents provide significant information while the vast majority of agents freeride. We highlight the role of uncertainty and market...
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作者：Augustin, Patrick; Chernov, Mikhail; Song, Dongho
作者单位：McGill University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Johns Hopkins University
摘要：Sovereign credit default swap quanto spreads tell us how financial markets view the interaction between a country's likelihood of default and associated currency devaluations (the Twin Ds). A no-arbitrage model applied to the term structure of eurozone quanto spreads can isolate the Twin Ds and can gauge the associated risk premiums. Conditional on the occurrence of default, the true and risk-adjusted one-week probabilities of devaluation are 42% (2%) and 90% (55%) for the core (periphery) cou...
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作者：Hirshleifer, David; Jiang, Danling; DiGiovanni, Yuting Meng
作者单位：University of California System; University of California Irvine; National Bureau of Economic Research; State University of New York (SUNY) System; Stony Brook University; Southwest Jiaotong University; State University System of Florida; University of South Florida
摘要：Existing research has found cross-sectional seasonality of stock returns-the periodic out-performance of certain stocks during the same calendar months or weekdays. We hypothesize that assets' different sensitivities to investor mood explain these effects and imply other seasonalities. Consistent with our hypotheses, relative performance across individual stocks or portfolios during past high or low mood months and weekdays tends to recur in periods with congruent mood and reverse in periods w...
