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作者：Ge, Li; Lin, Tse-Chun; Pearson, Neil D.
作者单位：Monash University; University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature. We find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than trades related to synthetic long positions. Purchases of calls that open new positions are the strongest predictor of returns, followed by call sales that close out existing purchased call positions. Overall...
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作者：Dimmock, Stephen G.; Kouwenberg, Roy; Mitchell, Olivia S.; Peijnenburg, Kim
作者单位：Nanyang Technological University; Mahidol University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Pennsylvania; National Bureau of Economic Research; Bocconi University
摘要：We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, ...
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作者：Avdis, Efstathios
作者单位：University of Alberta
摘要：In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where it acts as noise, in dynamic markets stochastic supply contains information about risk premiums. Acquiring private dividend information helps investors disentangle dividend information from discount-rate information contained in prices. For uninformed investors, however, as more informed investors enter the economy prices become more informative about divide...
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作者：Parlatore, Cecilia
作者单位：New York University
摘要：Money market funds (MMFs), which are crucial to short-term funding markets, rely on voluntary support of fund sponsors to maintain stable share values. I develop a general equilibrium model of MMFs to study how sponsor support affects the industry's fragility and regulation. Adverse asset-quality shocks lead MMFs to liquidate assets. When liquidity in asset markets is limited, asset prices are lower if more funds liquidate. Lower asset prices, in turn, make sponsor support costlier and even mo...
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作者：Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor
作者单位：Duke University; National Bureau of Economic Research; CREATES; Michigan State University; Michigan State University's Broad College of Business; Northwestern University
摘要：We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost 1,000 stocks over two decades, we find that the two rough betas associated with intraday discontinuous and overnight returns entail significant risk premiums, while the intraday continuous beta does not. These higher risk premiums for the ...
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作者：Li, Jay Yin; Tang, Dragon Yongjun
作者单位：City University of Hong Kong; University of Hong Kong
摘要：This paper provides the first empirical evidence of the externalities of credit default swaps (CDS). We find that a firm's leverage is lower when a larger proportion of its revenue is derived from CDS-referenced customers. This finding is robust to alternative samples and measures, placebo tests, and the selection of customers by suppliers. Moreover, firms affected by customer CDS trading issue equity to lower leverage, and their equity issuance costs are lower. These findings are consistent w...
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作者：Schepens, Glenn
作者单位：European Central Bank
摘要：This paper shows that a reduction in tax discrimination between debt and equity funding leads to better capitalized financial institutions. The paper exploits exogenous variation in the tax treatment of debt and equity created by the introduction of a tax shield for equity. The results demonstrate that a more equal treatment of debt and equity increases bank capital ratios, driven by an increase in common equity. The change also leads to a significant reduction in risk taking for ex-ante low c...
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作者：Fischer, Marcel; Gallmeyer, Michael F.
作者单位：Copenhagen Business School; University of Konstanz; University of Virginia
摘要：We study the out-of-sample performance of portfolio trading strategies used when an investor faces capital gain taxation and proportional transaction costs. Overlaying simple tax trading heuristics on trading strategies improves out-of-sample performance. For medium to large transaction costs, no trading strategy can outperform a 1/N trading strategy augmented with a tax heuristic, not even the most tax and transaction cost-efficient buy-and hold strategy. Overall, the best strategy is 1/N aug...
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作者：Cremers, Martijn; Ferreira, Miguel A.; Matos, Pedro; Starks, Laura
作者单位：University of Notre Dame; Universidade Nova de Lisboa; University of Virginia; University of Texas System; University of Texas Austin
摘要：We examine the relation between indexing and active management in the mutual fund industry worldwide. Explicit indexing and closet indexing by active funds are associated with countries' regulatory and financial market environments. We find that actively managed funds are more active and charge lower fees when they face more competitive pressure from low-cost explicitly indexed funds. A quasi-natural experiment using the exogenous variation in indexed funds generated by the passage of pension ...
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作者：Calomiris, Charles W.; Carlson, Mark
作者单位：Columbia University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors; Bank for International Settlements (BIS)
摘要：We examine bank governance and risk choices from the 1890s, a period without distortions from deposit insurance or other government assistance to banks. We link differences in managerial ownership to different corporate governance policies, risk, and methods of risk management. Formal corporate governance and high manager ownership are negatively correlated. Managerial salaries and self-lending are greater when managerial ownership is higher and lower when formal governance is employed. Banks ...
