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作者：Grenadier, Steven R.; Malenko, Andrey; Strebulaev, Ilya A.
作者单位：Stanford University; National Bureau of Economic Research
摘要：We provide a real-options model of an industry in which agents time abandonment of their projects in an effort to protect their reputations. Agents delay abandonment attempting to signal quality. When a public common shock forces abandonment of a small fraction of projects irrespective of agents' quality, many agents abandon their projects strategically even if they are unaffected by the shock. Such blending in with the crowd effect creates an additional incentive to delay abandonment ahead of...
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作者：Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; Chomsisengphet, Souphala; Evanoff, Douglas D.
作者单位：National University of Singapore; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University System of Ohio; Ohio State University; National Bureau of Economic Research; United States Department of the Treasury; Office of the Comptroller of the Currency
摘要：We measure the effect of a 2006 antipredatory pilot program in Chicago on mortgage default rates to test whether predatory lending was a key element in fueling the subprime crisis. Under the program, risky borrowers or risky mortgage contracts or both triggered review sessions by housing counselors who shared their findings with the state regulator. The pilot program cut market activity in half, largely through the exit of lenders specializing in risky loans and through a decline in the share ...
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作者：Manela, Asaf
作者单位：Washington University (WUSTL)
摘要：How does the speed by which information diffuses affect its value to a stock market investor? In a structural model solved in closed-form, this speed has two opposing effects on the empirically dominant term of the value of information. Faster-diffusing information means quicker and less noisy profits, but, also increases competing informed trading, impounding more information into prices and eroding profits. Structural empirical analysis of stock market reaction to drug approvals using media ...
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作者：Grullon, Gustavo; Underwood, Shane; Weston, James P.
作者单位：Rice University; University of Alabama System; University of Alabama Tuscaloosa
摘要：We test the hypothesis that investment banking networks affect stock prices and trading behavior. Consistent with the notion that investment banks serve as information hubs for segmented groups of investors, the stock prices of firms that use the same lead underwriter during their equity offerings tend to move together. We also find that when firms switch underwriters between their initial public offering (IPO) and a seasoned equity offering (SEO), they comove less with the stocks associated w...
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作者：Kadan, Ohad; Liu, Fang
作者单位：Washington University (WUSTL)
摘要：Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (2008) and Foster and Hart (2009) as performance indices. We derive the moment properties of these indices and their sensitivity to rare disasters and show that they are consistent with the asset pricing literature. As applications, we show that anomalous investment strategies such as momentum or investment in private ...
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作者：Lim, Jongha; Minton, Bernadette A.; Weisbach, Michael S.
作者单位：University of Missouri System; University of Missouri Columbia; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：During the past decade, non-bank institutional investors are increasingly taking larger roles in the corporate lending than they historically have played. These non-bank institutional lenders typically have higher required rates of return than banks, but invest in the same loan facilities. In a sample of 20,031 leveraged loan facilities originated between 1997 and 2007, facilities including a non-bank institution in their syndicates have higher spreads than otherwise identical bank-only facili...
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作者：Hoffmann, Peter
作者单位：European Central Bank
摘要：This paper considers the role of high-frequency trading in a dynamic limit order market. Fast traders' ability to revise their quotes quickly after news arrivals helps to reduce the inefficiency that is rooted in the risk of being picked off, which increases trade. However, their presence induces slow traders to strategically submit limit orders with a lower execution probability, thereby reducing trade. Because speed is a source of market power, it enables fast traders to extract rents from o...
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作者：Rydqvist, Kristian; Spizman, Joshua; Strebulaev, Ilya
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; Loyola Marymount University; Stanford University; National Bureau of Economic Research
摘要：Since World War II, direct stock ownership by households across the globe has largely been replaced by indirect stock ownership by financial institutions. We argue that tax and retirement policies are among the factors behind these changes. We develop empirical measures of two tax incentives of holding stocks inside tax-deferred plans, tax-free investment income and the smoothing benefit. Using long time-series from eight countries, we show that the fraction of household ownership decreases wi...
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作者：Nyborg, Kjell G.; Oestberg, Per
作者单位：University of Zurich; University of Geneva; Center for Economic & Policy Research (CEPR)
摘要：We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the market for liquidity leads banks to engage in what we term liquidity pull-back, which involves selling financial assets either by banks directly or by levered investors. Empirical tests on the stock market are supportive. Tighter interbank markets are associated with relatively more volume in more liquid stocks;...
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作者：Johnson, Timothy C.; Lee, Jaehoon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of New South Wales Sydney
摘要：Some important puzzles in macro finance can be resolved in a model featuring systematically varying volatility of unpriced shocks to firms' earnings. In the data, the correlation between corporate debt and stock market valuations is low. The model accounts for this via the opposing effect of unpriced earnings risk on levered debt and equity prices. The model also explains the low (or nonexistent) risk-reward relation for the market portfolio of levered equity via the opposing effects of unpric...
