-
作者：Landier, Augustin; Sraer, David; Thesmar, David
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT)
摘要：The correlation in house price growth across US states increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and show that house price growth correlation is strongly related to this measure of financial integration. Our instrumental var...
-
作者：Bena, Jan; Ferreira, Miguel A.; Matos, Pedro; Pires, Pedro
作者单位：University of British Columbia; Universidade Nova de Lisboa; University of Virginia
摘要：This paper challenges the view that foreign investors lead firms to adopt a short-term orientation and forgo long-term investment. Using a comprehensive sample of publicly listed firms in 30 countries over the period 2001-2010, we find instead that greater foreign institutional ownership fosters long-term investment in tangible, intangible, and human capital. Foreign institutional ownership also leads to significant increases in innovation output. We identify these effects by exploiting the ex...
-
作者：Dessaint, Olivier; Matray, Adrien
作者单位：University of Toronto; Princeton University
摘要：We study how managers respond to hurricane events when their firms are located in the neighborhood of the disaster area. We find that the sudden shock to the perceived liquidity risk leads managers to increase corporate cash holdings and to express more concerns about hurricane risk in 10-Ks/10-Qs, even though the actual risk remains unchanged. Both effects are temporary. Over time, the perceived risk decreases, and the bias disappears. The distortion between perceived and actual risk is large...
-
作者：He, Zhiguo; Kelly, Bryan; Manela, Asaf
作者单位：University of Chicago; National Bureau of Economic Research; University of Chicago; Washington University (WUSTL)
摘要：We find that shocks to the equity capital ratio of financial intermediaries Primary Dealer counterparties of the New York Federal Reserve possess significant explanatory power for cross-sectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor is strongly ...
-
作者：Golinski, Adam; Spencer, Peter
作者单位：University of York - UK
摘要：We advocate the use of excess returns rather than yields or log prices in analysing the risk neutral dynamics of the term structure. We show that under standard assumptions, excess returns are affine in the risk neutral innovations in the factors. This framework has several important advantages. First, it allows for an easy estimation of models that are more flexible than the AR(1). Indeed, we estimate models with more general dynamics, like ARFIMA(p, d, q), almost as easily as AR(1). Second, ...
-
作者：Han, Bing; Subrahmanyam, Avanidhar; Zhou, Yi
作者单位：University of Toronto; Shanghai Jiao Tong University; University of California System; University of California Los Angeles; California State University System; San Francisco State University
摘要：We explore the link between credit and equity markets by considering the informational content of the term structure of credit spreads. A shallower credit term structure predicts decreases in default risk and increases in future profitability, as well as favorable earnings surprises. Further, the slope of the credit term structure negatively predicts future stock returns. While systematic slope risk is priced, information diffusion from the credit market to equities, particularly in less visib...
-
作者：Shue, Kelly; Townsend, Richard R.
作者单位：University of Chicago; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：The dramatic rise in CEO compensation during the 1990s and early 2000s is a long-standing puzzle. In this paper, we show that much of the rise can be explained by a tendency of firms to grant the same number of options each year. Number-rigidity implies that the grant-date value of option awards will grow with firm equity returns, which were very high on average during the tech boom. Further, other forms of CEO compensation did not adjust to offset the dramatic growth in the value of option pa...
-
作者：Edmans, Alex; Jayaraman, Sudarshan; Schneemeier, Jan
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Rochester; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：This paper shows that real decisions depend not only on the total amount of information in prices, but the source of this information-a manager learns from prices when they contain information not possessed by him. We use the staggered enforcement of insider trading laws across 27 countries as a shock to the source of information that leaves total information unchanged: enforcement reduces (increases) managers' (outsiders') contribution to the stock price. Consistent with the predictions of ou...
