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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...
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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...
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作者：Wang, Xue; Yan, Xuemin (Sterling); Zheng, Lingling
作者单位：University of International Business & Economics; University of Missouri System; University of Missouri Columbia; Lehigh University; Renmin University of China
摘要：Shorting flows remain a significant predictor of negative future stock returns during 2010-2015, when daily short-sale volume data are published in real time. This predictability decays slowly and lasts for a year. Long-term shorting flows are more informative than short-term shorting flows. Indeed, abnormal short-term shorting flows do not predict future returns or anticipate bad news. We find that short sellers exploit prominent anomalies. A comparison with the Regulation SHO data indicates ...
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作者：Segura, Anatoli; Zeng, Jing
作者单位：European Central Bank; Bank of Italy; University of Vienna; Frankfurt School Finance & Management
摘要：Off-balance sheet financing of an investment is covered by limited liability, whereas on-balance sheet financing creates unlimited liability towards the bank's asset-in-place. Off-balance sheet funding thus gives the bank flexibility to voluntarily support debt repayments when the investment fails, which allows the bank to signal information about the quality of its future projects, improving investment efficiency. Yet, limited liability reduces the bank's effort incentives. Off-balance sheet ...
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作者：Henderson, Brian J.; Pearson, Neil D.; Wang, Li
作者单位：George Washington University; University of Illinois System; University of Illinois Urbana-Champaign; University System of Ohio; Case Western Reserve University
摘要：We find evidence consistent with previously unrecognized market manipulation by broker-dealers. Specifically, we show that pre-trade hedging, which is distinct from front-running, alters prices at which derivative trades occur. We show this behavior is intentional by exploiting variation in the design of structured equity products (SEPs). We find positive abnormal returns on SEP pricing dates for which issuers benefit from altering closing stock prices but no such returns on pricing dates of o...
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作者：Jacobs, Heiko; Mueller, Sebastian
作者单位：University of Duisburg Essen
摘要：Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 241 cross-sectional anomalies in 39 stock markets. We find, based on more than two million anomaly country-months, that the United States is the only country with a reliable post-publication decline in long-short returns. Collectively, our meta-analysis of return predictors suggests that barriers to arbitrage trading can create segmented markets and that anomalies tend to represent mispricin...
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作者：Dittmar, Amy; Duchin, Ran; Zhang, Shuran
作者单位：University of Michigan System; University of Michigan; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
摘要：The likelihood of seasoned equity offerings (SEOs) jumps discontinuously when the stock price equals the most recent equity offer price. Anchoring on the last offer price holds after considering executive turnovers, stock splits, earnings management, or dividend adjustments. Using a fuzzy regression discontinuity design around this cutoff, which exploits local randomness in stock prices, we investigate the consequences of anchoring in SEOs. We find significant increases in cash holdings and ac...
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作者：Braun, Reiner; Jenkinson, Tim; Schemmerl, Christoph
作者单位：Technical University of Munich; University of Oxford
摘要：Investors increasingly look for private equity managers to provide opportunities for co-investing outside the fund structure, thereby saving fees and carried interest payments. In this paper, we use a large sample of buyout and venture capital co-investments to test how such deals compare with the remaining fund investments. In contrast to Fang, Ivashina, and Lerner (2015), we find no evidence of adverse selection. Gross return distributions of co-investments and other deals are similar. Co-in...
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作者：Davila, Eduardo; Walther, Ansgar
作者单位：Yale University; Imperial College London
摘要：We explore how large and small banks make funding decisions when system-wide bailouts are possible. We show that bank size, purely on strategic grounds, is a key determinant of banks' leverage choices, even when bailout policies treat large and small banks symmetrically. Large banks leverage more than small banks because they internalize that their decisions directly affect bailout policies. In equilibrium, this effect is amplified by strategic spillovers to small banks since banks' leverage c...
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作者：Maturana, Gonzalo; Nickerson, Jordan
作者单位：Emory University; Boston College
摘要：This paper studies the effects of financial distress on workers' productivity, using detailed data from the public school system in Texas. We show that the student passing rate in the median-sized grade decreases by 1.2 percentage points following a declaration of bankruptcy by one teacher in the grade. The effect of financial distress increases with the complexity of the task. Overall, our results suggest a potential feedback effect of worker financial distress on local economic conditions an...
