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作者：Engelberg, Joseph E.; Reed, Adam V.; Ringgenberg, Matthew C.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego; Washington University (WUSTL)
摘要：We find that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database of news releases, we show that the well-documented negative relation between short sales and future returns is twice as large on news days and four times as large on days with negative news. Further, we find that the most informed short sales are not from market makers but rather from clients, and we ...
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作者：Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje
作者单位：University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University
摘要：We document significant time series momentum in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset ...
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作者：Johnson, Travis L.; So, Eric C.
作者单位：Stanford University
摘要：We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the lowest decile of the option to stock volume ratio (O/S) outperform the highest decile by 0.34% per week (19.3% annualized). Our model and empirics both indicate that O/S is a stronger signal when short-sale...
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作者：Wurgler, Jeffrey
作者单位：New York University; National Bureau of Economic Research
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作者：Ovtchinnikov, Alexei V.; Pantaleoni, Eva
作者单位：Vanderbilt University; Vanderbilt University
摘要：We present evidence that individuals make political contributions strategically by targeting politicians with power to affect their economic well-being. Individuals in Congressional districts with greater industry clustering choose to support politicians with jurisdiction over the industry. Importantly, individual political contributions are associated with improvements in operating performance of firms in industry clusters. The relation between contributions and firm performance is strongest ...
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作者：Nadauld, Taylor D.; Weisbach, Michael S.
作者单位：Brigham Young University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：This paper investigates whether the securitization of corporate bank loan facilities had an impact on the price of corporate debt. Our results suggest that loan facilities that are subsequently securitized are associated with a 17 basis point lower spread than that of facilities that are not subsequently securitized. We consider facility characteristics that are associated with the likelihood of securitization and estimate the extent to which these characteristics are related to spreads. We do...
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作者：Li, Jun; Yu, Jianfeng
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：Motivated by psychological evidence on limited investor attention and anchoring, we propose two proxies for the degree to which traders under- and overreact to news, namely, the nearness to the Dow 52-week high and the nearness to the Dow historical high, respectively. We find that nearness to the 52-week high positively predicts future aggregate market returns, while nearness to the historical high negatively predicts future market returns. We further show that our proxies contain information...
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作者：Bates, David S.
作者单位：University of Iowa; National Bureau of Economic Research
摘要：This paper examines how well alternate time-changed Levy processes capture stochastic volatility and the substantial outliers observed in U.S. stock market returns over the past 85 years. The autocorrelation of daily stock market returns varies substantially over time, necessitating an additional state variable when analyzing historical data. I estimate various one- and two-factor stochastic volatility/Levy models with time-varying autocorrelation via extensions of the Bates (2006) methodology...
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作者：Canales, Rodrigo; Nanda, Ramana
作者单位：Harvard University; Yale University
摘要：We use loan-level data to study how the organizational structure of banks impacts small business lending. We find that decentralized banks-where branch managers have greater autonomy over lending decisions-give larger loans to small firms and those with soft information. However, decentralized banks are also more responsive to their own competitive environment. They are more likely to expand credit when faced with competition but also cherry pick customers and restrict credit when they have ma...
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作者：Cai, Ye; Sevilir, Merih
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Santa Clara University
摘要：We examine M&A transactions between firms with current board connections and find that acquirers obtain higher announcement returns in transactions with a first-degree connection where the acquirer and the target share a common director. Acquirer returns are also higher in transactions with a second-degree connection where one acquirer director and one target director serve on the same third board. Our results suggest that first-degree connections benefit acquirers with lower takeover premiums...
