-
作者：Caggese, Andrea; Cunat, Vicente; Metzger, Daniel
作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; University of London; London School Economics & Political Science; Stockholm School of Economics
摘要：Firms consider wages, current and expected productivity, as well as firing and hiring costs when firing a worker. Financing constraints distort this intertemporal trade-off, leading firms to sub-optimally fire short-tenured workers with high future expected productivity. We provide empirical evidence of this distortion using matched employer-employee data from the Swedish population between 2000 and 2010. We propose a new empirical strategy that uses credit ratings to identify financing constr...
-
作者：Benmelech, Efraim; Frydman, Carola; Papanikolaou, Dimitris
作者单位：Northwestern University; National Bureau of Economic Research
摘要：We provide new evidence that a disruption in credit supply played a quantitatively significant role in the unprecedented contraction of employment during the Great Depression using a novel, hand-collected dataset of large industrial firms. Our identification strategy exploits preexisting variation in the need to raise external funds at a time when public bond markets essentially froze. Local bank failures inhibited firms' ability to substitute public debt for private debt, which exacerbated fi...
-
作者：Lu, Zhongjin; Murray, Scott
作者单位：University System of Georgia; University of Georgia; University System of Georgia; Georgia State University
摘要：We test whether bear market risk, time variation in the probability of future bear market states, is priced. We construct an Arrow-Debreu security that pays off in bear market states (AD Bear) from traded Standard & Poor's (S&P) 500 index options and use its returns to measure bear market risk. We find that bear beta (exposure to bear market risk) has a strong relation with expected stock returns that is robust, persistent, and remains strong among liquid and large stocks. Historical bear beta...
-
作者：Akiyoshi, Fumio
作者单位：Kwansei Gakuin University
摘要：This study investigates how firms are affected by the separation of commercial and investment banking, using unique data from the dissolution of Japan's Daiwa Securities SMBC, a joint venture investment bank. This event prevented its client firms from receiving a combination of lending and underwriting services. After the dissolution, these firms experienced a sharper decline in market value, more frequent switching of seasoned equity offering (SEO) underwriters, and the disappearance of lower...
-
作者：Kapadia, Nishad; Zekhnini, Morad
作者单位：Tulane University
摘要：We show that idiosyncratic jumps are a key determinant of mean stock returns from both an ex post and ex ante perspective. Ex post, the entire annual average return of a typical stock accrues on the four days on which its price jumps. Ex ante, idiosyncratic jump risk earns a premium: a value-weighted weekly long-short portfolio that buys (sells) stocks with high (low) predicted jump probabilities earns annualized mean returns of 9.4% and four-factor alphas of 81%. This strategy's returns are l...
-
作者：Keys, Benjamin J.; Wang, Jialan
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Using a data set covering one quarter of the U.S. general-purpose credit card market, we document that 29% of accounts regularly make payments at or near the minimum payment. To explain the prevalence of low payment amounts, we exploit changes in issuers' minimum payment formulas to quantify the explanatory power of two potential theories: liquidity constraints and anchoring. At least 22% of near-minimum payers (and 9% of all accounts) respond to the formula changes in a manner consistent with...
-
作者：Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.
作者单位：Ulsan National Institute of Science & Technology (UNIST); Rutgers University System; Rutgers University New Brunswick; Carnegie Mellon University
摘要：This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multifaceted dynamics in the market. These include autocorrelated order flow, sunshine trading, endogenous learning, and short-term speculation. The model has testable implications for intraday patterns in volume, liquidity, price volatility, order-flow autocorrelati...
-
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...
-
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...
-
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,...
