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作者：Muravyev, Dmitriy; Pearson, Neil D.; Broussard, John Paul
作者单位：Boston College; University of Illinois System; University of Illinois Urbana-Champaign; Rutgers University System; Rutgers University Camden; Rutgers University New Brunswick
摘要：We use tick-by-tick quote data for 39 liquid US stocks and options on them, and we focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option market quotes adjust to eliminate the disagreement, while the stock market quotes behave normally, as if there were no disagreement. The disagreement events are typically precipitated by stock price move...
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作者：Hirshleifer, David; Schwert, G. William; Singleton, Kenneth J.
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作者：Kahle, Kathleen M.; Stulz, Rene M.
作者单位：University of Arizona; University System of Ohio; Ohio State University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：During the recent financial crisis, corporate borrowing and capital expenditures fall sharply. Most existing research links the two phenomena by arguing that a shock to bank lending (or, more generally, to the corporate credit supply) caused a reduction in capital expenditures. The economic significance of this causal link is tenuous, as we find that (1) bank-dependent firms do not decrease capital expenditures more than matching firms in the first year of the crisis or in the two quarters aft...
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作者：Li, Yan; Ng, David T.; Swaminathan, Bhaskaran
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Cornell University
摘要：Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and out-of-sample, and is robust to alternative implementations. We also find that ICCs of size and book-to-market portfolios predict corresponding p...
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作者：Parsons, Christopher A.; Van Wesep, Edward D.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
摘要：There exists large and persistent variation in not only how, but when employees are paid, a fact unexplained by existing theory. This paper develops a simple model of optimal pay timing for firms. When workers have self-control problems, they under-save and experience volatile consumption between paychecks. Thus, pay whose delivery matches the timing of workers' consumption needs will reduce wage costs. The model also explains why pay timing should be regulated (as it is in practice): although...
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作者：Israel, Ronen; Moskowitz, Tobias J.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is weak among the largest stocks. Momentum profits, however, exhibit no reliable relation with size. These effects are robust over 86 year...
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作者：Eisfeldt, Andrea L.; Kuhnen, Camelia M.
作者单位：University of California System; University of California Los Angeles; Northwestern University
摘要：There is widespread concern about whether Chief Executive Officers (CEOs) are appropriately punished for poor performance. While CEOs are more likely to be forced out if their performance is poor relative to the industry average, overall industry performance also matters. This seems puzzling if termination is disciplinary, however, we show that both absolute and relative performance-driven turnover can be natural and efficient outcomes in a competitive assignment model in which CEOs and firms ...
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作者：Oh, Frederick Dongchuhl
作者单位：Korea Advanced Institute of Science & Technology (KAIST)
摘要：This paper presents a model in which the contagion of a liquidity crisis between two nonfinancial institutions occurs because of learning activity within a common creditor pool. After creditors observe what occurs in a rollover game for a firm, they conjecture one another's type or attitude toward the risk associated with the firm's investment project. Creditors' inference about one another's type then influences their decision to lend to the next firm. By providing an analysis of the incidenc...
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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：This paper considers the term structure of interest rates implied by a production-based asset pricing model in which the fundamental drivers are investment in equipment and structures as well as inflation. The model matches the average yield curve up to five-year maturity almost perfectly. Longer term yields are roughly as volatile as in the data. The model also generates time-varying bond risk premiums. In particular, when running Fama-Bliss regressions of excess returns on forward premiums, ...
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作者：Hau, Harald; Lai, Sandy
作者单位：University of Geneva; University of Geneva; University of Hong Kong
摘要：This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007-2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most financially cons...
