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作者：Muravyev, Dmitriy; Ni, Xuechuan (Charles)
作者单位：Boston College; Michigan State University; Michigan State University's Broad College of Business
摘要：Average delta hedged returns for Standard & Poor's 500 index options are large: -0.7% per day. When we decompose these option returns into intraday and overnight components, average close-to-open returns are -1% per day and open-to-close returns are positive, 0.3%. A similar return pattern holds for all maturity and moneyness categories and equity options. These positive intraday returns are particularly difficult to explain. However, our results are consistent with option prices' failing to a...
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作者：Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan
作者单位：Singapore Management University; Columbia University; Tsinghua University
摘要：The total effects of a regulatory change consist of direct effects and indirect effects (spillovers), but the standard difference-in-difference approach mostly ignores potential indirect effects. During the 2007 full repeal of the uptick rule, short-sellers become much more aggressive across the board, even in control stocks where the uptick rule is already suspended. This finding is consistent with positive and significant indirect effects on control stocks, likely driven by aggressive broad ...
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作者：Cong, Lin William; Grenadier, Steven R.; Hu, Yunzhi
作者单位：University of Chicago; Stanford University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We model a dynamic economy with strategic complementarity among investors and study how endogenous government interventions mitigate coordination failures. We establish equilibrium existence and uniqueness, and we show that one intervention can affect another through altering the public information structure. A stronger initial intervention helps subsequent interventions through increasing the likelihood of positive news, but also leads to negative conditional updates. Our results suggest opti...
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作者：Goldstein, Michael A.; Hotchkiss, Edith S.
作者单位：Babson College; Boston College
摘要：We examine market making behavior of dealers for 55,988 corporate bonds, many of which trade infrequently. Dealers have a substantially higher propensity to offset trades within the same day rather than committing capital for longer periods for riskier and less actively traded bonds. Dealers' holding periods do not decline with a bond's prior trading activity and in fact are lowest for some of the least active bonds. As a result, cross-sectional estimates of roundtrip trading costs do not incr...
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作者：Della Seta, Marco; Morellec, Erwan; Zucchi, Francesca
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed with equity and short-term debt and cannot freely optimize their default decision because of financing frictions. We show that when firms are close to distress, the dynamic interaction of operating and rollover losses fuels default risk. In suc...
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作者：Guo, Li; Li, Frank Weikai; Wei, K. C. John
作者单位：Fudan University; Fudan University; Shanghai Institute of International Finance & Economics; Singapore Management University; Hong Kong Polytechnic University
摘要：We examine the value and efficiency of analyst recommendations through the lens of capital market anomalies. We find that analysts do not fully use the information in anomaly signals when making recommendations. Analysts tend to give more favorable consensus recommendations to stocks classified as overvalued and, more important, these stocks subsequently tend to have particularly negative abnormal returns. Analysts whose recommendations are better aligned with anomaly signals are more skilled ...
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作者：Conrad, Jennifer; Wahal, Sunil
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Arizona State University; Arizona State University-Tempe
摘要：We examine realized spreads and price impact in clock and trade time following each trade in all common stocks from 2010 to 2017. The term structure of realized spreads (price impact) is sharply downward (upward) sloping, implying that (a) market maker profitability is sensitive to speed, and (b) the choice of the horizon of measurement is critical when drawing inferences from spread decompositions. The majority of the price impact of trades in large (small)-capitalization stocks takes place w...
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作者：Dahlquist, Magnus; Hasseltoft, Henrik
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK
摘要：Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a significant alpha when controlling for standard carry, momentum, and value strategies. The economic momentum strategy subsumes the alpha of carry trades, suggesting that differences in past economic trends ca...
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作者：Cortes, Kristle R.; Demyanyk, Yuliya; Li, Lei; Loutskina, Elena; Strahan, Philip E.
作者单位：University of New South Wales Sydney; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Federal Reserve System - USA; University of Virginia; Boston College; National Bureau of Economic Research
摘要：Post-crisis stress tests have altered banks' credit supply to small business. Banks most affected by stress tests reallocate credit away from riskier markets and toward safer ones. They also raise interest rates on small loans. Quantities fall most in high-risk markets where stress-tested banks own no branches, and prices rise mainly where they do. The results suggest that banks price the stress-test induced increase in capital requirements where they have local knowledge, and exit where they ...
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作者：Bretscher, Lorenzo; Hsu, Alex; Tamoni, Andrea
作者单位：University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope movements. Shocks to government spending level and uncertainty are also priced in the cross-section of bond and stock portfolios. Theoretically, government spending level shocks raise inflation when marginal utility is high, thus generating positive inflation risk premia (term structure level effect). Uncertainty shocks steepe...
