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作者：Lewis, Craig M.; Tan, Yongxian
作者单位：Vanderbilt University; Shanghai University of Finance & Economics
摘要：In this paper, we examine whether managers time their debt-equity choices to exploit market mispricing. Controlling for the level of external financing and corporate investment activities, we find evidence consistent with the market timing hypothesis. We find managers issue more equity relative to debt when analysts are relatively optimistic about firms' long-term growth prospects. Moreover, equity issuers earn lower returns than debt issuers at subsequent earnings announcements. Controlling f...
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作者：Boons, Martijn
作者单位：Universidade Nova de Lisboa
摘要：I study whether risk premiums for exposure to state variables in the cross-section of individual stocks are consistent with how these variables forecast macroeconomic activity in the time series. I find such time series and cross-sectional consistency. This finding suggests that investors are ultimately concerned about business cycle risk and therefore require a premium for exposure to variables that contain systematic economic news. This finding challenges recent portfolio-level evidence show...
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作者：Jiao, Yawen; Massa, Massimo; Zhang, Hong
作者单位：University of California System; University of California Riverside; INSEAD Business School; Tsinghua University
摘要：The existing literature treats the short side (i.e., short selling) and the long side of hedge fund trading (i.e., fund holdings) independently. The two sides, however, complement each other: opposite changes in the two are likely to be driven by information, whereas simultaneous increases (decreases) of the two may be motivated by hedging (unwinding) considerations. We use this intuition to identify informed demand and document that it exhibits highly significant predictive power over returns...
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作者：Bernile, Gennaro; Hu, Jianfeng; Tang, Yuehua
作者单位：Singapore Management University; State University System of Florida; University of Florida
摘要：Government agencies routinely allow pre-release access to information to accredited news agencies under embargo agreements. Using high-frequency data, we find evidence consistent with informed trading during embargoes of Federal Open Market Committee (FOMC) scheduled announcements. The E-mini Standard & Poor's 500 futures' abnormal order imbalances are in the direction of subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The esti...
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作者：Brown, Jeffrey R.; Farrell, Anne M.; Weisbenner, Scott J.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; University System of Ohio; Miami University; University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：This paper examines heterogeneity in the responsiveness to default options in a large state retirement plan, focusing on individuals' decision-making approaches as well as their economic and demographic characteristics. Analyses of a survey of plan participants show that procrastination and the need for cognitive closure are important determinants of the likelihood of default. This paper also explores an important implication of defaulting individuals who default are significantly more likely ...
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作者：Comerton-Forde, Carole; Jones, Charles M.; Putnins, Tails J.
作者单位：University of Melbourne; Columbia University; University of Technology Sydney
摘要：We examine returns, order flow, and market conditions in the minutes before, during, and after NYSE and Nasdaq short sales. We find two distinct types of short sales: those that provide liquidity, and those that demand it. Liquidity-supplying shorts are strongly contrarian at intraday horizons. They trade when spreads are unusually wide, facing greater adverse selection. Liquidity-demanding shorts trade when spreads are narrow and tend to follow short-term price declines. These results support...
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作者：Gao, Meng; Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper examines the hypothesis that hedge fund managers gain an informational advantage in securities trading through their connections with lobbyists. Using data sets on the long-equity holdings and lobbyist connections of hedge funds from 1999 through 2012, we show that hedge funds outperform passive benchmarks by 56-93 basis points per month on their political holdings when they are connected to lobbyists. Furthermore, the political outperformance of connected funds decreased significan...
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作者：Joos, Peter; Piotroski, Joseph D.; Srinivasan, Suraj
作者单位：INSEAD Business School; Stanford University; Harvard University
摘要：We use a data set of sell-side analysts' scenario-based equity valuation estimates to examine whether analysts can assess the state-contingent risk surrounding a firm's fundamental value. We find that the spread in analysts' scenario-based valuations captures the riskiness of operations and predicts the absolute magnitude of long-run valuation errors and future changes in firm fundamentals. We also show that analysts' assessment of fundamental risk and its predictive ability systematically imp...
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作者：Birru, Justin; Wang, Baolian
作者单位：University System of Ohio; Ohio State University; Fordham University
摘要：We explore the psychology of stock price levels and provide evidence that investors suffer from a nominal price illusion in which they overestimate the room to grow for low-priced stocks relative to high-priced stocks. While it has become increasingly clear that nominal price levels influence investor behavior, why prices matter to investors is a question that as of yet has gone unanswered. We find widespread evidence that investors systematically overestimate the skewness of low-priced stocks...
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作者：Giglio, Stefano; Kelly, Bryan; Pruitt, Seth
作者单位：University of Chicago; Arizona State University; Arizona State University-Tempe
摘要：This article studies how systemic risk and financial market distress affect the distribution of shocks to real economic activity. We analyze how changes in 19 different measures of systemic risk skew the distribution of subsequent shocks to industrial production and other macroeconomic variables in the US and Europe over several decades. We also propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and demonstrate their success in pred...
