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作者：Frank, Murray Z.; Sanati, Ali
作者单位：University of Minnesota System; University of Minnesota Twin Cities; American University
摘要：Using a comprehensive set of news stories, we find a stark difference in market responses to positive and negative price shocks accompanied by new information. When there is a news story about a firm, positive price shocks are followed by reversal, while negative ones result in drift. This is interpreted as the stock market overreaction to good news and underreaction to bad news. These seemingly contradictory results can be explained in a single framework, considering the interaction of retail...
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作者：La Spada, Gabriele
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Do asset managers reach for yield because of competitive pressures in a low rate environment? I propose a tournament model of money market funds (MMFs) to study this question. When funds care about relative performance, an increase in the risk premium leads funds with lower default costs to increase risk taking, while funds with higher default costs decrease risk taking. Without changes in the premium, lower risk-free rates reduce the risk taking of all funds. I show that these predictions are...
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作者：Weber, Michael
作者单位：University of Chicago; National Bureau of Economic Research
摘要：The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross-section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor models can explain only 50% of the return differential, and the difference in returns is three times larger after periods of high investor sentiment. Analysts extrapolate from past earnings growth into th...
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作者：Abel, Andrew B.
作者单位：University of Pennsylvania
摘要：I analyze investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. I introduce classical measurement error and derive closed -form expressions for the coefficients in regressions of investment on q and cash flow. The cash -flow coefficient is positive and larger for faster growing firms, yet there are no financial frictions in the model. I develop the concepts of bivariate attenuation and weight shifting to interpret the estimated co...
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作者：Golez, Benjamin; Koudijs, Peter
作者单位：University of Notre Dame; Stanford University; National Bureau of Economic Research
摘要：We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629-1812), UK (1813-1870), and US (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time varying. In part, this variation is related to the business ...
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作者：Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, Lasse Heje; Vrugt, Evert B.
作者单位：New York University; Yale University; Copenhagen Business School; Vrije Universiteit Amsterdam; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its carry, an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from thes...
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作者：Baghai, Ramin P.; Becker, Bo
作者单位：Stockholm School of Economics
摘要：Rating agencies produce ratings used by investors, but obtain most of their revenue from issuers, leading to a conflict of interest. We employ a unique data set on the use of non-rating services, and the associated payments, in India, to test if this conflict affects ratings quality. Agencies rate issuers that pay them for non-rating services higher (than agencies not hired for such services). Such issuers also have higher default rates. Both effects are increasing in the amount paid. These re...
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作者：von Beschwitz, Bastian
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This article studies the effect of cash windfalls on the acquisition policy of companies. As identification, I use a German tax reform that permitted firms to sell their equity stakes tax free. Companies that could realize a cash windfall by selling equity stakes see an increase in the probability of acquiring another company by 14%. I find that these additional acquisitions destroy firm value. Following the tax reform, affected firms experience a decrease of 1.2 percentage points in acquisiti...
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作者：Bartram, Sohnke M.; Grinblatt, Mark
作者单位：University of Warwick; University of California System; University of California Los Angeles
摘要：To assess stock market informational efficiency with minimal data snooping, we take the view of a statistician with little knowledge of finance. The statistician uses techniques such as least squares to estimate peer-implied fair values from the market values of replicating portfolios with the same accounting statements as the company being valued. Divergence of a company's peer-implied value estimate from its market value represents mispricing, motivating a convergence trade that earns risk-a...
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作者：Mian, Atif; Santos, Joao A. C.
作者单位：Princeton University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：We show that firm demand-side factors are strong drivers of procyclical refinancing behavior over the credit cycle using novel data from the Shared National Credit program. Firms are more likely to refinance early when credit conditions are good to keep the effective maturity of their loans long and hedge against having to refinance in tight credit conditions. High credit quality firms are better able to hedge, making their refinancing propensity more sensitive to credit cycles than less credi...
