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作者：Daley, Brendan; Geelen, Thomas; Green, Brett
作者单位：Johns Hopkins University; Copenhagen Business School; Washington University (WUSTL); Copenhagen Business School
摘要：We propose a model of due diligence and analyze its effect on prices, payoffs, and deal completion. In our model, if the seller accepts an offer, the winning bidder (or acquirer) can gather information and chooses when to complete the transaction. In equilibrium, the acquirer engages in too much due diligence. Our quantitative results suggest that the magnitude of the distortion is economically significant. Nevertheless, allowing for due diligence can improve both total surplus and the seller'...
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作者：Allen, Franklin; Qian, Jun (Qj); Shan, Chenyu; Zhu, Julie Lei
作者单位：Imperial College London; Fudan University; Shanghai University of Finance & Economics
摘要：Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. I...
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作者：Banerjee, Snehal; Marinovic, Ivan; Smith, Kevin
作者单位：University of California System; University of California San Diego; Stanford University; Stanford University
摘要：We develop a model in which a firm's manager can voluntarily disclose to privately informed investors. In equilibrium, the manager only discloses sufficiently favorable news. If the manager is known to be informed but disclosure is costly, the probability of disclosure increases with market liquidity and the stock trades at a discount relative to expected cash flows. However, when investors are uncertain about whether the manager is informed, disclosure can decrease with market liquidity and t...
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作者：Bauer, Michael; Chernov, Mikhail
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness signals upside risk to interest rates during periods of accommodative monetary policy and an upward-sloping yield curve, and vice versa. Skewness has substantial predictive power for future bond excess returns, high-frequency interest rate changes around Federal Open Market Committee announcements, and survey forecast errors for interest rates. The estimated expectatio...
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作者：An, Li; Engelberg, Joseph; Henriksson, Matthew; Wang, Baolian; Williams, Jared
作者单位：Tsinghua University; University of California System; University of California San Diego; University of Tennessee System; University of Tennessee Knoxville; State University System of Florida; University of Florida; State University System of Florida; University of South Florida
摘要：The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio-driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, portfolio rebalancing, tax considerations, or investor heterogeneity. Our evidence suggests that inves...
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作者：Fleckenstein, Matthias; Longstaff, Francis a.
作者单位：University of Delaware; National Bureau of Economic Research
摘要：We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time-series and cross-sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirica...
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作者：Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; Song, Dongho
作者单位：McGill University; University of California System; University of California Los Angeles; University of Southern California; Johns Hopkins University; McGill University
摘要：We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates risk-based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long-term CIP ...
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作者：Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School; University of North Carolina; University of North Carolina Chapel Hill
摘要：The psychology literature documents that individuals derive current utility from their beliefs about future events. We show that, as a result, investors in financial markets choose to disagree about both private information and price information. When objective price informativeness is low, each investor dismisses the private signals of others and ignores price information. In contrast, when prices are sufficiently informative, heterogeneous interpretations arise endogenously: most investors i...
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作者：Levit, Doron; Malenko, Nadya; Maug, Ernst
作者单位：University of Washington; University of Washington Seattle; European Corporate Governance Institute; Boston College; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of Mannheim; University of Mannheim
摘要：We study shareholder voting in a model in which trading affects the composition of the shareholder base. Trading and voting are complementary, which gives rise to self-fulfilling expectations about proposal acceptance and multiple equilibria. Prices and shareholder welfare can move in opposite directions, so the former may be an invalid proxy for the latter. Relaxing trading frictions can reduce welfare because it allows extreme shareholders to gain more weight in voting. Delegating decision-m...
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作者：Chen, Qi; Goldstein, Itay; Huang, Zeqiong; Vashishtha, Rahul
作者单位：Duke University; Yale University
摘要：Liquidity transformation, a key role of banks, is thought to increase fragility, as uninsured depositors face an incentive to withdraw money before others (a so-called panic run). Despite much theoretical work, however, there is little empirical evidence establishing this mechanism. In this paper, we provide the first large-scale evidence of this mechanism. Banks that engage in more liquidity transformation exhibit higher fragility, as captured by stronger sensitivities of uninsured deposit fl...
