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作者：Easley, David; de Prado, Marcos Lopez; O'Hara, Maureen
作者单位：Cornell University; Guggenheim Partners, LLC; United States Department of Energy (DOE); Lawrence Berkeley National Laboratory; Cornell University
摘要：How best to discern trading intentions from market data? We examine the accuracy of three methods for classifying trade data: bulk volume classification (BVC), tick rule and aggregated tick rule. We develop a Bayesian model of inferring information from trade executions and show the conditions under which tick rules or bulk volume classification predominates. Empirically, we find that tick rule approaches and BVC are relatively good classifiers of the aggressor side of trading, but bulk volume...
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作者：Kim, Hugh Hoikwang; Maurer, Raimond; Mitchell, Olivia S.
作者单位：University of South Carolina System; University of South Carolina Columbia; Goethe University Frankfurt; University of Pennsylvania; National Bureau of Economic Research
摘要：Many households display inertia in investment management over their life cycles. Our calibrated dynamic life cycle portfolio choice model can account for such an apparently 'irrational' outcome, by incorporating the fact that investors must forgo acquiring job-specific skills when they spend time managing their money, and their efficiency in financial decision making varies with age. Resulting inertia patterns mesh well with findings from prior studies and our own empirical results from Panel ...
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作者：Cremers, Martijn; Pareek, Ankur
作者单位：University of Notre Dame; Rutgers University System; Rutgers University New Brunswick
摘要：Among high active share portfolios whose holdings differ substantially from their benchmark only those with patient investment strategies (with holding durations of over two years) on average outperform, over 2% per year. Funds trading frequently generally underperform, including those with high active share. Among patient funds, separating closet index from high active share funds matters, as low active share funds on average under perform even with patient strategies. Our results suggest tha...
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作者：Jacobs, Heiko
作者单位：University of Mannheim
摘要：Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45 countries between 1994 and 2013, I document economically meaningful and statistically significant cross-sectional stock return predictability around the globe. In contrast to the widely held belief, mispricing associated with the 11 long/short anomalies underlying the composite ranking measure appears to be at least as prevalent in developed markets as in emerging markets. Additional support for this conjecture is obtaine...
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作者：Acemoglu, Daron; Johnson, Simon; Kermani, Amir; Kwak, James; Mitton, Todd
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of California System; University of California Berkeley; University of Connecticut; Brigham Young University
摘要：The announcement of Timothy Geithner as nominee for Treasury Secretary in November 2008 produced a cumulative abnormal return for financial firms with which he had a prior connection. This return was about 6% after the first full day of trading and about 12% after ten trading days. There were subsequently abnormal negative returns for connected firms when news broke that Geithner's confirmation might be derailed by tax issues. Personal connections to top executive branch officials can matter g...
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作者：Gu, Lifeng
作者单位：University of Hong Kong; University of Hong Kong
摘要：A standard real options model predicts a strong positive interaction effect between research and development (R&D) investment and product market competition. R&D-intensive firms tend to be riskier and earn higher expected returns than R&D-weak firms, particularly in competitive industries. Also, firms in competitiye industries earn higher expected returns than firms in concentrated industries, especially among R&D-intensive firms. Intuitively, R&D projects are more likely to fail in the presen...
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作者：Campbell, T. Colin; Galpin, Neal; Johnson, Shane A.
作者单位：University System of Ohio; Miami University; University of Melbourne; Texas A&M University System; Texas A&M University College Station
摘要：We use firm and chief executive officer (CEO) characteristics motivated by optimal contracting theory to estimate optimal CEO relative debt-equity incentive ratios. Equity values rise as firms adjust CEO incentive ratios toward their predicted optimums, whether that increases or decreases the relative incentive ratio. Debt values rise as firms adjust ratios upward and do not fall as they adjust them downward. Our predicted optimums explain changes in equity and debt values better than a model ...
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作者：Chernenko, Sergey; Hanson, Samuel G.; Sunderam, Adi
作者单位：University System of Ohio; Ohio State University; Harvard University; National Bureau of Economic Research
摘要：Many have argued that overoptimistic thinking on the part of lenders helps fuel credit booms. We use new micro-data on mutual funds' holdings of securitizations to examine which investors are susceptible to such boom-time thinking. We show that firsthand experience plays a key role in shaping investors' beliefs. During the 2003-2007 mortgage boom, inexperienced fund managers loaded up on securitizations linked to nonprime mortgages, accumulating twice the holdings of more seasoned managers. Mo...
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作者：Geske, Robert; Subrahmanyam, Avanidhar; Zhou, Yi
作者单位：University of California System; University of California Los Angeles; California State University System; San Francisco State University
摘要：We examine whether values of equity options traded on individual firms are sensitive to the firm's capital structure. We estimate the compound option (CO) model, which views equity as an option on the firm. Compared with the Black-Scholes model, the CO model with a term structure of volatility (TSV) reduces pricing errors by 20% on average. The compound option effect is particularly strong for highly levered firms and long-term options, in which the pricing improvement is up to 70% of the Blac...
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作者：Rajan, Raghuram; Ramcharan, Rodney
作者单位：University of Chicago; Reserve Bank of India; University of Southern California; University of Southern California
摘要：Using differences in regulation as a means of identification, we find that a reduction in local financial intermediation capacity reduces the recovery rates on assets of failing banks. It also depresses local land prices and is associated with subsequent distress in nearby banks. Fire sales appear to be one channel through which lower local intermediation capacity reduces the recovery rates on failed banks' assets. The paper provides a rationale for why bank failures are contagious, and why th...
