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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. ...
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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...
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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...
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作者：Begenau, Juliane
作者单位：Stanford University
摘要：This paper develops a dynamic general equilibrium model to quantify the effects of bank capital requirements. Households' preferences for liquid assets imply a liquidity premium on deposits. The banking sector supplies deposits and has excessive risk-taking incentives. I show that the scarcity of deposits created by an increased capital requirement can reduce the cost of capital for banks and increase bank lending. A higher capital requirement also increases banks' monitoring incentives, which...
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作者：Bernstein, Shai; Dev, Abhishek; Lerner, Josh
作者单位：Stanford University; National Bureau of Economic Research; Harvard University
摘要：This paper explores the creation and evolution of new stock exchanges around the world geared toward entrepreneurial companies, known as second-tier exchanges. Using handcollected novel data, we show the proliferation of these exchanges in many countries, their significant volume of Initial Public Offerings (IPOs), and lower listing requirements. Shareholder protection strongly predicted exchange success, even in countries with high levels of venture capital activity, patenting, and financial ...
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作者：Makinen, Taneli; Sarno, Lucio; Zinna, Gabriele
作者单位：European Central Bank; Bank of Italy; University of Cambridge; Centre for Economic Policy Research - UK
摘要：Applying standard portfolio-sort techniques to bank asset returns for 15 countries from 2004 to 2018, we uncover a risk premium associated with implicit government guarantees. This risk premium is intimately tied to sovereign risk, suggesting that guaranteed banks, defined as those of particular importance to the national economy, inherit the risk of the guarantor. Indeed, this premium does not exist in safe-haven countries. We rationalize these findings with a model in which implicit governme...
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作者：Collin-Dufresne, Pierre; Daniel, Kent; Saglam, Mehmet
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Columbia University; National Bureau of Economic Research; University System of Ohio; University of Cincinnati
摘要：We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios in all future states. The trading speed is higher in more persistent, riskier, and higher-liquidity states. It can be optimal to overweight low Sharpe-ratio assets such as Treasury bonds because they remain liquid even in crisis states. We il...
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作者：Kwon, Sungjoung; Lowry, Michelle; Qian, Yiming
作者单位：Wayne State University; Drexel University; University of Connecticut
摘要：Historically, a key advantage of being a public firm was broader access to capital, from a disperse group of shareholders. In recent years, such capital has increasingly become available to private firms as well. We document a dramatic increase over the past twenty years in the number of mutual funds participating in private markets and in the dollar value of these private firm investments. We evaluate several factors that potentially contribute to this trend: firms seeking extra capital to po...
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作者：Chen, Sheng-Syan; Chen, Yan-Shing; Kang, Jun-Koo; Peng, Shu-Cing
作者单位：National Chengchi University; National Taiwan University; Nanyang Technological University; National Central University
摘要：We investigate how a shock to corporate demand for experienced directors (i.e., U.S. Congress' grant of Permanent Normal Trade Relations status to China in 2000) affects U.S. firms' board structure and board advisory role. We find that firms appoint more outside directors with China-related experience after the grant. Firms with such directors realize higher returns around announcements of investments involving Chinese firms and bet-ter post-deal operating performance, particularly when these ...
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作者：Bai, Jennie; Goldstein, Robert S.; Yang, Fan
作者单位：Georgetown University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Connecticut
摘要：We revisit Feldhater and Schaefer (FS, 2018), who report evidence of a credit spread puzzle for high-yield but not investment-grade bonds. We show their results are reversed when their model is calibrated to market values of debt (as required by theory) rather than book values. We then demonstrate that using credit spreads rather than historical default rates to identify the default boundary provides the statistical power necessary to reject their assumption that firm dynamics follow geometric...
