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作者：Chague, Fernando; De-Losso, Rodrigo; De Genaro, Alan; Giovannetti, Bruno
作者单位：Universidade de Sao Paulo
摘要：High loan fees generate short-selling constraints and, therefore, reduce price efficiency. Despite the importance of loan fees, empirical evidence on their determinants is scarce. Using a market-wide deal-by-deal data set on the Brazilian equity lending market which uniquely identifies borrowers, brokers, and lenders, we are able to construct a proxy of search costs at the borrower-stock-day level. We find that for the same stock, on the same day borrowers with higher search costs pay signific...
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作者：Ali, Usman; Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：We show that opportunistic insiders can be identified through the profitability of their trades prior to quarterly earnings announcements (QEAs) and that opportunistic trading is associated with various kinds of firm or managerial misconduct. A value-weighted trading strategy based on (not necessarily pre-QEA) trades of opportunistic insiders earns monthly four-factor alphas of over 1%, which is much higher than in past insider trading literature and substantial and significant even on the sho...
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作者：Jens, Candace E.
作者单位：Tulane University
摘要：I examine the link between political uncertainty and firm investment using U.S. gubernatorial elections as a source of plausibly exogenous variation in uncertainty. Investment declines 5% before all elections and up to 15% for subsamples of firms particularly susceptible to political uncertainty. I use term limits as an instrumental variable (IV) for election closeness. Because close elections are related to economic downturns, I find that the effect of close elections on investment is underst...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Average stock returns for North America, Europe, and Asia Pacific increase with the book-to-market ratio (B/M) and profitability and are negatively related to investment. For Japan, the relation between average returns and B/M is strong, but average returns show little relation to profitability or investment. A five-factor model that adds profitability and investment factors to the three-factor model of Fama and French (1993) largely absorbs the patterns in average returns. As in Fama and Fren...
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作者：Caporin, Massimiliano; Kolokolov, Aleksey; Reno, Roberto
作者单位：University of Padua; Goethe University Frankfurt; University of Verona
摘要：The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and correlations when they come along with bad (good) news. These systemic events and their implications can be easily overlooked by traditional univariate jump statistics applied to stock indices. They are instead ...
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作者：Andrei, Daniel; Cujean, Julien
作者单位：University of California System; University of California Los Angeles; University System of Maryland; University of Maryland College Park
摘要：We propose a joint theory of time -series momentum and reversal based on a rational expectations model. We show that a necessary condition for momentum to arise in this framework is that information flows at an increasing rate. We focus on word-ofmouth communication as a mechanism that enforces this condition and generates shortterm momentum and long-term reversal. Investors with heterogeneous trading strategies contrarian and momentum traders coexist in the marketplace. Although a significant...
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作者：Boissel, Charles; Derrien, Francois; Ors, Evren; Thesmar, David
作者单位：Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：We study how crises affect Central Clearing Counterparties (CCPs). We focus on a large and safe segment of the CCP-cleared repo market during the Eurozone sovereign debt crisis. We develop a simple model to infer CCP stress, which is measured as repo rates' sensitivity to sovereign credit default swaps (CDS) spreads and jointly captures (1) the effectiveness of haircut policies, (2) CCP-member default risk (conditional on sovereign default), and (3) CCP default risk (conditional on both sovere...
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作者：Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y.
作者单位：University System of Georgia; Georgia State University; Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine; University of London; London Business School
摘要：This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the Chicago Board Options Exchange (CBOE) volatility index, VIX. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we ...
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作者：Brown, David C.; Cederburg, Scott; O'Doherty, Michael S.
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：We investigate the optimal savings decisions for investors with access to pre-tax (traditional) and post-tax (Roth) versions of tax-advantaged retirement accounts. The model features a progressive tax schedule and uncertainty over future tax rates. Traditional accounts are valuable for hedging retirement account performance and managing current income near tax-bracket cutoffs, whereas Roth accounts allow investors to mitigate uncertainty over future tax schedules. The optimal asset location po...
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作者：Prilmeier, Robert
作者单位：Tulane University
摘要：Despite the importance of banks' role as delegated monitors, little is known about how non-price terms of loan contracts are structured to optimize information production in a lending relationship. Using a large sample of corporate loans, this paper examines the effect of relationship lending on covenant choice. Consistent with information asymmetry theories, covenant tightness is relaxed over the duration of a relationship, especially for opaque borrowers. In contrast, the effect of lending r...
