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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF, 1993). The five-factor model's main problem is its failure to capture the low average returns on small stocks whose returns behave like those of firms that invest a lot despite low profitability. The model's performance is not sensitive to the way its factors are defined. With the addition of profitability...
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作者：Eraker, Bjorn; Ready, Mark
摘要：We study returns on over-the-counter stocks and find that these returns are extremely negative on average. The distribution of OTC stock returns is highly positively skewed: while many of the stocks in our sample become worthless, a few do extremely well. We investigate whether this negative return premium can be rationalized by investors' preference for positively skewed payoffs. We show that the equilibrium model of Barberis and Huang (2008) provides a plausible explanation for the negative ...
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作者：Goel, Anand M.; Thakor, Anjan V.
作者单位：Washington University (WUSTL)
摘要：An enduring puzzle is why credit rating agencies (CRAs) use a few categories to describe credit qualities lying in a continuum, even when ratings coarseness reduces welfare. We model a cheap-talk game in which a CRA assigns positive weights to the divergent goals of issuing firms and investors. The CRA wishes to inflate ratings but prefers an unbiased rating to one whose inflation exceeds a threshold. Ratings coarseness arises in equilibrium to preclude excessive rating inflation. We show that...
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作者：Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei
作者单位：Yale University; Harvard University; Harvard University
摘要：Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other investors hold fully rational beliefs. We find that the model captures many features of actual prices and ...
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作者：Jotikasthira, Chotibhak; Anh Le; Lundblad, Christian
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Yield curve fluctuations across different currencies are highly correlated. This paper investigates this phenomenon by exploring the channels through which macroeconomic shocks are transmitted across borders. Macroeconomic shocks affect current and expected future short-term rates as central banks react to changing economic environments. Investors could also respond to these shocks by altering their required compensation for risk. Macroeconomic shocks thus influence bond yields both through a ...
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作者：Levi, Shai; Zhang, Xiao-Jun
作者单位：Tel Aviv University; University of California System; University of California Berkeley
摘要：Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce their sales as much as their purchases in the days before announcements. Investors needing liquidity sell stocks at a discount relative to the post-announcement price, and these preannouncement liquidity ...
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作者：Amihud, Yakov; Hameed, Allaudeen; Kang, Wenjin; Zhang, Huiping
作者单位：New York University; National University of Singapore; Renmin University of China; Shanghai University of Finance & Economics
摘要：We examine the illiquidity premium in stock markets across 45 countries and present two findings. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on illiquid-minus-liquid stocks or by the coefficient of stock illiquidity estimated from cross section Fama-MacBeth regressions. Second, a commonality exists across countries in the illiquidity return premium, con...
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作者：Cronqvist, Henrik; Siegel, Stephan; Yu, Frank
作者单位：China Europe International Business School; University of Washington; University of Washington Seattle
摘要：We find that several factors explain an individual investor's style, i.e., the value versus growth orientation of the investor's stock portfolio. First, we find that an investor's style has a biological basis and is partially ingrained in an investor from birth. Second, we show that an investor's hedging demands as well as behavioral biases explain investment style. Finally, an investor's style is explained by life course theory in that experiences, both earlier and later in life, are related ...
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作者：Mironov, Maxim
摘要：This paper examines the interaction between the propensity to corrupt (PTC) and firm performance. Using a unique data set of Moscow traffic violations, I construct the PTC of every Muscovite with a driver's license. Next, I determine the PTC for the top management of 58,157 privately held firms. I find that a 1 standard deviation increase in management PTC corresponds to a 3.6% increase in income diversion and that firms with corrupt management significantly outperform their counterparts. This...
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作者：Bliss, Barbara A.; Cheng, Yingmei; Denis, David J.
作者单位：University of San Diego; State University System of Florida; Florida State University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We document significant reductions in corporate payouts-both dividends and (to a larger extent) share repurchases-during the 2008-2009 financial crisis. Payout reductions are more likely in firms with higher leverage, more valuable growth options, and lower cash balances, i.e., those more susceptible to the negative consequences of an external financing shock. Moreover, firms appear to use the proceeds from the reduction in payout to maintain cash levels and to fund investment. These findings ...
