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作者：Pyun, Sungjune
作者单位：National University of Singapore
摘要：This paper introduces a new out-of-sample forecasting methodology for monthly market returns using the variance risk premium (VRP) that is both statistically and economically significant. This methodology is motivated by the 'beta representation,' which implies that the market risk premium is related to the price of variance risk by the variance risk exposure. Hence, when the slope of the contemporaneous regression of market returns on variance innovation is larger, future returns are more sha...
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作者：Dyck, Alexander; Lins, Karl V.; Roth, Lukas; Wagner, Hannes F.
作者单位：University of Toronto; University of Alberta; Utah System of Higher Education; University of Utah; Bocconi University
摘要：This paper assesses whether shareholders drive the environmental and social (E&S) performance of firms worldwide. Across 41 countries, institutional ownership is positively associated with E&S performance with additional tests suggesting this relation is causal. Institutions are motivated by both financial and social returns. Investors increase firms' E&S performance following shocks that reveal financial benefits to E&S improvements. In cross section, investors increase firms' E&S performance...
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作者：Parlatore, Cecilia
作者单位：New York University
摘要：I develop a dynamic model of optimal funding to understand why financial assets are used as collateral instead of being sold to raise funds. Firms need funds to invest in risky projects with nonobservable returns. Since holding these assets allows firms to raise these funds, investing firms value the asset more than noninvesting ones. When assets are less than perfectly liquid and investment opportunities are persistent, collateralized debt minimizes asset transfers from investing to noninvest...
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作者：Chhaochharia, Vidhi; Kim, Dasol; Korniotis, George M.; Kumar, Alok
作者单位：University of Miami; United States Department of the Treasury; Office of Financial Research
摘要：This study examines whether mood affects the aggregate state-level macroeconomy through its impact on firm-level decisions. Using sky cloud cover as a proxy for mood, we show that mood affects the economic expectations of small business managers. After relatively sunnier periods, managers have more optimistic expectations, and the component of their expectations related to mood influences hiring and investment decisions. Consequently, mood affects state-level job creation and new business star...
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作者：le Bris, David; Goetzmann, William N.; Pouget, Sebastien
作者单位：Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education; Yale University; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We study asset pricing over the longue duree using share prices and net dividends from the Bazacle company of Toulouse, the earliest documented shareholding corporation. The data extend from the firm's foundation in 1372 to its nationalization in 1946. We find an average dividend yield of 5% per annum and near-zero long-term, real capital appreciation. Stationary dividends and stock prices enable us to directly study how prices relate to expected cash flows, without relying on a rate of return...
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作者：Grennan, Jillian
作者单位：Duke University
摘要：I show dividend policies have peer effects. My estimates indicate that firms speed up the time taken to make a dividend change by about 1.5 quarters and increase payments by 16% in response to peer changes. The peer effects matter in increases but not decreases. In contrast to dividends, repurchases show no peer effects. In addition, announcement returns indicate that investors partially anticipate the consequences of peer effects. Overall, peer interdependencies account for 12% of total divid...
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作者：Hautsch, Nikolaus; Horvath, Akos
作者单位：University of Vienna
摘要：Exploiting Nasdaq order book data and difference-in-differences methodology, we identify the distinct effects of trading pause mechanisms introduced on US stock exchanges after May 2010. We show that the mere existence of such a regulation makes market participants behave differently in anticipation of a pause. Pauses enhance price discovery during the break but have adverse effects on price stability and liquidity after the pause. We find that pauses ultimately do not cool off markets but cau...
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作者：Comerton-Forde, Carole; Gregoire, Vincent; Zhong, Zhuo
作者单位：Universite de Montreal; HEC Montreal; University of Melbourne
摘要：Stock exchanges compete for order flow through their fee models. A traditional model pays rebates to liquidity suppliers, and an inverted model pays rebates to liquidity demanders. Using a regulatory intervention to examine the interaction between tick size, restrictions on dark trading, and exchange fees, we show that traders use inverted venues to adjust for suboptimal tick sizes. Increased inverted venue activity improves pricing efficiency and liquidity, especially when the tick size is bi...
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作者：Andersen, Steffen; Hanspal, Tobin; Nielsen, Kasper Meisner
作者单位：Copenhagen Business School; Centre for Economic Policy Research - UK; Goethe University Frankfurt; Hong Kong University of Science & Technology
摘要：We study whether personal experiences are so powerful that they make individuals actively shy away from risk. Our research design relies on portfolio decisions relating to inheritances, which alter the active decision from one of choosing to take risk to one of choosing to reduce risk. Experience derives from investments in banks that defaulted following the 2007-2009 financial crisis. We classify experiences into first-hand experiences, resulting from personal losses; second-hand experiences,...
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作者：Malamud, Semyon; Zucchi, Francesca
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We build a model of endogenous, innovation-driven growth in which innovative firms have costly access to outside financing and hoard cash reserves to maintain financial flexibility. We show that financing frictions slow down Schumpeterian creative destruction by discouraging entry. As a result, financing frictions importantly affect the composition of growth, by reducing the contribution of entrants but spurring the contribution of incumbents. We investigate the net impact of these countervail...
