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作者：Bai, Jennie; Goldstein, Robert S.; Yang, Fan
作者单位：Georgetown University; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Connecticut
摘要：Benchmark models that exogenously specify equity dynamics cannot explain the large spread in prices between put options written on individual banks and options written on the bank index during the financial crisis. However, theory requires that asset dynamics be specified exogenously and that endogenously determined equity dynamics exhibit a leverage effect that increases put prices by fattening the left tail of the distribution. The leverage effect is larger for puts on individual stocks than...
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作者：Agarwal, Sumit; He, Jia; Sing, Tien Foo; Song, Changcheng
作者单位：National University of Singapore; Nankai University; National University of Singapore; Singapore Management University
摘要：We use a large housing transaction data set in Singapore to study whether real estate agents use information advantages to buy houses at bargain prices. Agents bought their own houses at prices that are 2.54% lower than comparable houses bought by other buyers. Consistent with information asymmetries, agent buyers have more information advantages in less informative environments, and agent buyers are more likely to buy houses from agent sellers. Agent discounts are from both cherry picking and...
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作者：Malceniec, Laura; Malcenieks, Karlis; Putnins, Talis J.
作者单位：University of Technology Sydney
摘要：Using the staggered entry of Chi-X in 12 European equity markets as a source of exogenous variation in high frequency trading (HFT), we find that HFT causes significant increases in comovement in returns and in liquidity. About one-third of the increase in return comovement is due to faster diffusion of market-wide information. We attribute the remaining two-thirds to correlated trading strategies of HFTs. The increase in liquidity comovement is consistent with HFT liquidity providers being be...
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作者：Lou, Dong; Polk, Christopher; Skouras, Spyros
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Athens University of Economics & Business
摘要：We link investor heterogeneity to the persistence of the overnight and intraday components of returns. We document strong overnight and intraday firm-level return continuation along with an offsetting cross-period reversal effect, all of which lasts for years. We look for a similar tug of war in the returns of 14 trading strategies, finding in all cases that profits are either earned entirely overnight (for reversal and a variety of momentum strategies) or entirely intraday, typically with pro...
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作者：Bennedsen, Morten; Tsoutsoura, Margarita; Wolfenzon, Daniel
作者单位：University of Copenhagen; INSEAD Business School; Cornell University; National Bureau of Economic Research; Columbia University
摘要：We use detailed information on individual absent spells of all employees in 4140 firms in Denmark to show large differences in average absenteeism across firms. Using employees who switch firms, we decompose days absent into an individual component (e.g., motivation, work ethic) and a firm component (e.g., incentives, corporate culture). We find the firm component explains 50%-60% of the difference in absenteeism across firms, with the individual component explaining the rest. We present sugge...
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作者：Jang, Jeewon; Kang, Jangkoo
作者单位：Ajou University; Korea Advanced Institute of Science & Technology (KAIST)
摘要：We estimate an ex ante probability of extreme negative returns (crashes) of individual stocks as a measure of potential overpricing and find that stocks with a high probability of crashes earn abnormally low returns. Stocks with high crash probability are overpriced regardless of the level of institutional ownership or variations in investor sentiment, and moreover, they exhibit increasing institutional demand until their prices reach the peak of overvaluation. We also find that institutional ...
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作者：Moreira, Alan; Muir, Tyler
作者单位：University of Rochester; University of California System; University of California Los Angeles
摘要：A long-term investor who ignores variation in volatility gives up the equivalent of 2.4% of wealth per year. This result holds for a wide range of parameters that are consistent with US stock market data, and it is robust to estimation uncertainty. We propose and test a new channel, the volatility composition channel, for how investment horizon interacts with volatility timing. Investors respond substantially less to volatility variation if the amount of mean reversion in returns disproportion...
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作者：Guo, Bing; Perez-Castrillo, David; Toldra-Simats, Anna
作者单位：Universidad Carlos III de Madrid; Autonomous University of Barcelona; Barcelona School of Economics
摘要：We study the effect of analyst coverage on firms' innovation strategy and outcome. Using data of US firms from 1990 to 2012, we find evidence that an increase in financial analysts leads firms to cut research and development expenses, acquire more innovative firms, and invest in corporate venture capital. We attribute the first result to the effect of analyst pressure and the others to the informational role of analysts. We also find that financial analysts encourage firms to make more efficie...
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作者：Albagli, Elias; Ceballosa, Luis; Claro, Sebastian; Romero, Damian
作者单位：Central Bank of Chile; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pontificia Universidad Catolica de Chile
摘要：We show significant US monetary policy (MP) spillovers to international bond markets. Our methodology identifies US MP shocks as the change in short-term Treasury yields around Federal Open Market Committee meetings and traces their effects on international bond yields using panel regressions. We emphasize three main results. First, US MP spillovers to long-term yields have increased substantially after the 2007-2009 global financial crisis. Second, spillovers are large compared with the effec...
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作者：Heimer, Rawley; Simsek, Alp
作者单位：Boston College; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Does the provision of leverage to retail traders improve market quality or facilitate socially inefficient speculation that enriches financial intermediaries? We evaluate the effects of 2010 regulations that cap leverage in the U.S. retail foreign exchange market. Using three unique data sets and a difference-in-differences approach, we document that the leverage-constraint reduces trading volume by 23%, alleviates high-leverage traders' losses by 40%, and reduces brokerages' operating capital...
