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作者：Ben-Rephael, Azi; Kandel, Shmuel; Wohl, Avi
作者单位：Tel Aviv University; University of Pennsylvania
摘要：We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard deviation of net exchanges is related to 1.95% of market excess return. Our main new finding is that 85% (all) of the contemporaneous relation is reversed within four (ten) months. The effect is stronger in...
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作者：Edelen, Roger M.; Kadlec, Gregory B.
作者单位：University of California System; University of California Davis; Virginia Polytechnic Institute & State University
摘要：Institutional trading arrangements often involve the portfolio manager delegating the task of trade execution to a separate division within the firm. We model the agency conflict that arises in this setting and show that optimal performance benchmarks often create an incentive to execute orders contrary to concurrent information flow. We hypothesize that aggregate contrarian trading resulting from widespread application of such benchmarks leads to delays in the assimilation of information in s...
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作者：Baker, Malcolm; Wurgler, Jeffrey; Yuan, Yu
作者单位：New York University; National Bureau of Economic Research; Harvard University; National Bureau of Economic Research; University of Pennsylvania
摘要：We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of country-level returns. Both global and local sentiment are contrarian predictors of the time-series of cross-sectional returns within markets: When sentiment is high, future returns are low on relatively dif...
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作者：Chu, Yongqiang
作者单位：University of South Carolina System; University of South Carolina Columbia
摘要：This paper studies the relationship between firm leverage and supplier market structure. We find that firm leverage decreases with the degree of competition between suppliers. Specifically, leverage decreases with the elasticity of substitution between suppliers. Leverage also decreases with the number of suppliers when the elasticity of substitution is high, and increases with the number of suppliers when the elasticity is low. We also provide empirical evidence that is consistent with the mo...
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作者：Cohen, Lauren; Lou, Dong
作者单位：Harvard University; National Bureau of Economic Research; University of London; London School Economics & Political Science
摘要：We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to update prices, while the other set requires more complicated analyses to incorporate the same piece of information into prices. We document substantial return predictability from the set of easy-to-analyze firms to their more complicated peers. Specifically, a simple portfolio strategy that takes advantage of this straightforward vs. complicated i...
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作者：Barberis, Nicholas; Xiong, Wei
作者单位：Yale University; Princeton University
摘要：A number of authors have suggested that investors derive utility from realizing gains and losses on assets that they own. We present a model of this realization utility, analyze its predictions, and show that it can shed light on a number of puzzling facts. These include the disposition effect, the poor trading performance of individual investors, the higher volume of trade in rising markets, the effect of historical highs on the propensity to sell, the individual investor preference for volat...
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作者：Kaniel, Ron; Ozoguz, Arzu; Starks, Laura
作者单位：University of Texas System; University of Texas Austin; University of Rochester; University of Texas System; University of Texas Dallas; Centre for Economic Policy Research - UK
摘要：We examine the high volume return premium across 41 different countries and find it to be a phenomenon found in both developed and emerging markets. The premium is not caused by systematic differences in risk or liquidity. Using Merton's (1987) investor recognition hypothesis as a guide, we find the magnitude of the premium is generally associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility. We also characterize the time-s...
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作者：Caggese, Andrea
作者单位：Pompeu Fabra University
摘要：I estimate the effect of uncertainty on risky innovation using a panel of 11,417 manufacturing firms. I find that an increase in uncertainty has a large negative effect on the risky innovation of entrepreneurial firms, while it does not have any significant impact on other firms. This negative effect is stronger for the less diversified entrepreneurial firms in the sample. The estimation results are consistent with the innovation dynamics generated in a model in which entrepreneurs are risk av...
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作者：Khanna, Naveen; Mathews, Richmond D.
作者单位：University System of Maryland; University of Maryland College Park; Michigan State University; Michigan State University's Broad College of Business
摘要：If short sellers can destroy firm value by manipulating prices down, an informed blockholder has a powerful natural incentive to protect the value of his stake by trading against them. However, he also has a potentially conflicting incentive to use his information to generate trading profits. We show that a speculator can exploit this conflict and force the blockholder to buy a disproportionately large amount to prevent value destruction. This is costly for the blockholder because the trades m...
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作者：Kaustia, Markku; Knuepfer, Samuli
作者单位：University of London; London Business School; Aalto University
摘要：Peer performance can influence the adoption of financial innovations and investment styles. We present evidence of this type of social influence: recent stock returns that local peers experience affect an individual's stock market entry decision, particularly in areas with better opportunities for social learning. The likelihood of entry does not decrease as returns fall below zero, consistent with people not talking about decisions that have produced inferior outcomes. Market returns, media c...
