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作者：Bowles, Boone; Reed, Adam V.; Ringgenberg, Matthew C.; Thornock, Jacob R.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of North Carolina; University of North Carolina Chapel Hill; Utah System of Higher Education; University of Utah; Brigham Young University
摘要：We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, ...
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作者：Hanley, Kathleen
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作者：Gargano, Antonio; Rossi, Alberto G.
作者单位：University of Houston System; University of Houston; Georgetown University; University of Houston System; University of Houston
摘要：We study the effectiveness of saving goals in increasing individuals' savings using data from a Fintech app. Using a difference-in-differences identification strategy that randomly assigns users into a group of beta testers who can set goals and a group of users who cannot, we find that setting goals increases individuals' savings rate. The increased savings within the app do not reduce savings outside the app. Moreover, goal setting helps those individuals previously identified as having the ...
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作者：Chen, Hui; Dou, Winston wei; Kogan, Leonid
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We formalize the concept of dark matter in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark-matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark-matter measure indicates that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out-of-sample fit). The measur...
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作者：Benmelech, Efraim; Kumar, Nitish; Rajan, Raghuram
作者单位：Northwestern University; National Bureau of Economic Research; State University System of Florida; University of Florida; University of Chicago; Northwestern University
摘要：The share of secured debt issued (as a fraction of total corporate debt) declined steadily in the United States over the twentieth century. This stems partly from financial development giving creditors greater confidence that high-quality borrowers will respect their claims even if creditors do not obtain security upfront. Consequently, such borrowers prefer retaining financial flexibility by not giving security up front. Instead, security is given contingently-when a firm approaches distress....
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作者：Geng, Zhe; Pan, Jun
作者单位：Fudan University; Shanghai Jiao Tong University
摘要：Studying China's credit market using a structural default model that integrates credit risk, liquidity, and bailout, we document improved price discovery and a deepening divide between state-owned enterprises (SOEs) and non-SOEs. Amidst liquidity deterioration, the presence of government bailout helps alleviate the heightened liquidity-driven default, making SOE bonds more valuable and widening the SOE premium. Meanwhile, the increased importance of government support makes SOEs more sensitive...
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作者：Bisetti, Emilio; Karolyi, Stephen a.
作者单位：Hong Kong University of Science & Technology; United States Department of the Treasury; Office of the Comptroller of the Currency
摘要：We show that public banks face negative stock return jumps after missing their earnings per share (EPS) targets, and theoretically and quantitatively link these jumps to bunching behavior in the EPS surprise distribution. Bunching banks cut deposit rates to meet their targets, but do so at the expense of deposit outflows and franchise value losses. Local competitors, including private banks unexposed to capital market pressure, increase deposit rates, compensating depositors for switching. Our...
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作者：Maio, Paulo
作者单位：Hanken School of Economics; Getulio Vargas Foundation
摘要：The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single-factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news factor (HNI), as the respective risk price is not identified. LM's conclusions stem from a com...
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作者：Almeida, Heitor; Carvalho, Daniel; Kim, Taehyun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Indiana University System; Indiana University Bloomington; Chung Ang University
摘要：We provide novel evidence that funding frictions can limit firms' short-term investments in receivables and inventories, reducing their production capacity. We propose a credit multiplier driven by these considerations and empirically isolate its importance by comparing how a similar firm responds to shocks differently when these shocks are initiated in their most profitable quarter (main quarter). We implement this test using recurring and unpredictable shocks (e.g., oil shocks) and provide e...
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作者：Hassan, Tarek A.; Hollander, Stephan; Van Lent, Laurence; Tahoun, Ahmed
作者单位：Boston University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Tilburg University; Frankfurt School Finance & Management; University of London; London Business School; Boston University
摘要：We propose a text-based method for measuring the cross-border propagation of large shocks at the firm level. We apply this method to estimate the expected costs, benefits, and risks of Brexit and find widespread reverberations in listed firms in 81 countries. International (i.e., non-U.K.) firms most exposed to Brexit uncertainty (the second moment) lost significant market value and reduced hiring and investment. International firms also overwhelmingly expected negative first-moment impacts fr...
