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作者：Campbell, John Y.; Ramadorai, Tarun; Schwartz, Allie
作者单位：Harvard University; National Bureau of Economic Research; University of Oxford; University of Oxford; Centre for Economic Policy Research - UK; Cornerstone Research
摘要：Many questions about institutional trading can only be answered if one tracks high-frequency changes in institutional ownership. In the United States, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the tape, the Transactions and Quotes database of the New York Stock Exchange, using a sophisticated method that best predicts quarterly 13-F data from trades of different sizes. We find that daily insti...
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作者：Chemmanur, Thomas; Yan, An
作者单位：Boston College; Fordham University
摘要：We analyze the interaction between a firm's product market advertising and its corporate financing decisions. We consider a firm that faces asymmetric information in both the product and financial markets and that needs to raise external financing to fund its growth opportunity (new project). Any product market advertising undertaken by the firm is visible to the financial market as well. In equilibrium, the firm uses a combination of product market advertising, equity underpricing, and underf...
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作者：Avramov, Doron; Chordia, Tarun; Jostova, Gergana; Philipov, Alexander
作者单位：George Washington University; University System of Maryland; University of Maryland College Park; Emory University; George Mason University
摘要：This paper shows that the puzzling negative cross-sectional relation between dispersion in analysts' earnings forecasts and future stock returns may be explained by financial distress, as proxied by credit rating downgrades. Focusing on a sample of firms rated by Standard & Poor's (S&P), we show that the profitability of dispersion-based trading strategies concentrates in a small number of the worst-rated firms and is significant only during periods of deteriorating credit conditions. In such ...
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作者：Bekaert, Geert; Engstrom, Eric; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; Rice University
摘要：We identify the relative importance of changes in the conditional variance of fundamentals (which we call uncertainty) and changes in risk aversion in the determination of the term structure, equity prices, and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the var...
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作者：Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, Christopher S.
作者单位：University of Southern California; Columbia University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine three-factor model results in a variance state variable that, while instrumental in explaining the shape of the yield curve, is essentially unrelated to GARCH estimates of the quadratic variation of the spot rate process or to implied variances ...
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作者：Harford, Jarrad; Klasa, Sandy; Walcott, Nathan
作者单位：University of Washington; University of Washington Seattle; University of Arizona; Washington State University
摘要：In the context of large acquisitions, we provide evidence on whether firms have target capital structures. We examine how deviations from these targets affect how bidders choose to finance acquisitions and how they adjust their capital structure following the acquisitions. We show that when a bidder's leverage is over its target level, it is less likely to finance the acquisition with debt and more likely to finance the acquisition with equity. Also, we find a positive association between the ...
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作者：Chen, Long
作者单位：Washington University (WUSTL)
摘要：A disconcerting, albeit generally accepted, finding is that aggregate stock returns are predictable by dividend yield but dividend growth is unpredictable. I show that part of this lack of dividend growth predictability stems from how dividend growth is constructed. I then show a dramatic reversal of predictability in the 134 years during 1872-2005: stock returns are largely unpredictable in the first seven decades, but become predictable in the postwar period; dividend growth is strongly pred...
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作者：Hutton, Amy P.; Marcus, Alan J.; Tehranian, Hassan
作者单位：Boston College
摘要：We investigate the relation between the transparency of financial statements and the distribution of stock returns. Using earnings management as a measure of opacity, we find that opacity is associated with higher R(2)s, indicating less revelation of firm-specific information. Moreover, opaque firms are more prone to stock price crashes, consistent with the prediction of the Jin and Myers [2006. R-2 around the world: new theory and new tests. Journal of Financial Economics 79, 257-292] model. ...
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作者：Large, Jeremy
作者单位：University of Oxford; University of Oxford
摘要：Limit order markets with stationary dynamics attract equal volumes of market orders and uncanceled limit orders, equalizing the supply and demand for liquidity and immediacy. To maintain this balance, market orders must share any benefit obtained by limit order traders from more efficient trading conditions, such as better order queuing policies. Therefore an efficient market places a low price on immediacy, producing small bid-ask spreads. Furthermore, when price-discreteness leads to a mainl...
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作者：Mola, Simona; Guidolin, Massimo
作者单位：Arizona State University; Arizona State University-Tempe; University of Manchester; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：This paper extends the literature on analyst optimism. Our analysis of a large sample of recommendations issued from 1995 through 2006 indicates that sell-side analysts are likely to assign frequent and favorable ratings to a stock after the analysts' affiliated mutual funds invest in that stock. Controlling for a number of variables, including the ties between analysts and investment banks, we find that the greater the portfolio weight of a stock in the fund family, the more optimistic the st...
