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作者：Ait-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J. A.
作者单位：Princeton University; National Bureau of Economic Research; University of Amsterdam
摘要：We propose a model to capture the dynamics of asset returns, with periods of crises that are characterized by contagion. In the model, a jump in one region of the world increases the intensity of jumps both in the same region (self-excitation) as well as in other regions (cross-excitation), generating episodes of highly clustered jumps across world markets that mimic the observed features of the data. We develop and implement moment-based estimation and testing procedures for this model. The e...
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作者：Hanson, Samuel G.; Shleifer, Andrei; Stein, Jeremy C.; Vishny, Robert W.
作者单位：Harvard University; University of Chicago
摘要：We examine the business model of traditional commercial banks when they compete with shadow banks. While both types of intermediaries create safe money-like claims, they go about this in different ways. Traditional banks create money-like claims by holding illiquid fixed-income assets to maturity, and they rely on deposit insurance and costly equity capital to support this strategy. This strategy allows bank depositors to remain sleepy: they do not have to pay attention to transient fluctuatio...
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作者：Yuan, Yu
作者单位：Shanghai Jiao Tong University
摘要：Market-wide attention-grabbing events - record levels for the Dow and front-page articles about the stock market - predict the trading behavior of investors and, in turn, market returns. Both aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following...
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作者：Erel, Isil; Myers, Stewart C.; Read, James A., Jr.
作者单位：University System of Ohio; Ohio State University; Massachusetts Institute of Technology (MIT); The Brattle Group
摘要：We present a theory of risk capital and of how tax and other costs of risk capital should be allocated in a financial firm. Risk capital is equity investment that backs obligations to creditors and other liability holders and maintains the firm's credit quality. Credit quality is measured by the ratio of the value of the firm's option to default to the default-free value of its liabilities. Marginal default values provide a full and unique allocation of risk capital. Efficient capital allocati...
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作者：Hvide, Hans K.; Oestberg, Per
作者单位：University of Bergen; Centre for Economic Policy Research - UK; University of Aberdeen; University of Zurich; Swiss Finance Institute (SFI)
摘要：Stock market investment decisions of individuals are positively correlated with those of coworkers. Sorting of unobservably similar individuals to the same workplaces is unlikely to explain this pattern, as evidenced by the investment behavior of individuals who move between plants. Purchases made under stronger coworker purchase activity are not associated with higher returns. Moreover, social interaction appears to drive the purchase of within-industry stocks. Overall, we find a strong influ...
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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：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 ...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Variables with strong marginal explanatory power in cross-section asset pricing regressions typically show less power to produce increments to average portfolio returns, for two reasons. (1) Adding an explanatory variable can attenuate the slopes in a regression. (2) Adding a variable with marginal explanatory power always attenuates the values of other explanatory variables in the extremes of a regression's fitted values. Without a restriction on portfolio weights, the maximum Sharpe ratios i...
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作者：Kaustia, Markku; Rantala, Ville
作者单位：Aalto University
摘要：We find that firms are more likely to split their stock if their peer firms have recently done so. The effect is comparable to an increase of 40-50% in the share price. Splitting probability is also increasing in the announcement returns of peer splits. These results are consistent with social learning from peers' actions and outcomes. The unique features of the setting and various further tests render alternative explanations unlikely. We find no clear benefit in following successful peer spl...
