-
作者：Kremer, Ilan; Schreiber, Amnon; Skrzypacz, Andrzej
作者单位：Hebrew University of Jerusalem; University of Warwick; Bar Ilan University; Hebrew University of Jerusalem
摘要：We examine a dynamic disclosure model in which the value of a firm follows a random walk. Every period, with some probability, the manager learns the firm's value and decides whether to disclose it. The manager maximizes the market perception of the firm's value, which is based on disclosed information. In equilibrium, the manager follows a threshold strategy with thresholds below current prices. He sometimes reveals pessimistic information that reduces the market perception of the firm's valu...
-
作者：Schoar, Antoinette
-
作者：Bogousslavsky, Vincent; Fos, Vyacheslav; Muravyev, Dmitriy
作者单位：Boston College; Michigan State University; Michigan State University's Broad College of Business
摘要：We train a machine learning method on a class of informed trades to develop a new measure of informed trading, informed trading intensity (ITI). ITI increases before earnings, mergers and acquisitions, and news announcements, and has implications for return reversal and asset pricing. ITI is effective because it captures nonlinearities and interactions between informed trading, volume, and volatility. This data-driven approach can shed light on the economics of informed trading, including impa...
-
作者：Mccartney, W. ben; Orellana-li, John; Zhang, Calvin
作者单位：University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Virginia
摘要：Political identity and partisanship are salient features of today's society. Using deeds records and voter rolls, we show that current residents are more likely to sell their homes when opposite-party neighbors move in nearby than when unaffiliated or same-party neighbors do. This is especially true when the new neighbors are politically active, consistent with an animosity between parties mechanism. We conclude that affective polarization is not limited to purely political settings and affect...
-
作者：Begenau, Juliane; Siriwardane, Emil N.
作者单位：Stanford University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Harvard University; Stanford University
摘要：We study how investment fees vary within private equity funds. Net-of-fee return clustering suggests that most funds have two tiers of fees, and we decompose differences across tiers into both management- and performance-based fees. Managers of venture capital funds and those in high demand are less likely to use multiple fee schedules. Some investors consistently pay lower fees relative to others within their funds. Investor size, experience, and past performance explain some but not all of t...
-
作者：Chen, Hui; Petukhov, Anton; Wang, Jiang; Xing, Hao
作者单位：National Bureau of Economic Research; Boston University; Massachusetts Institute of Technology (MIT)
摘要：Market-wide circuit breakers are trading halts aimed at stabilizing the market during dramatic price declines. Using an intertemporal equilibrium model, we show that a circuit breaker significantly alters market dynamics and affects investor welfare. As the market approaches the circuit breaker, price volatility rises drastically, accelerating the chance of triggering the circuit breaker-the so-called magnet effect, returns exhibit increasing negative skewness, and trading activity spikes up. ...
-
作者：Subrahmanyam, Avanidhar; Tang, Ke; Wang, Jingyuan; Yang, Xuewei
作者单位：University of California System; University of California Los Angeles; Tsinghua University; Tsinghua University; Beihang University; Beihang University; Nanjing University; Nanjing University
摘要：We use proprietary data on intraday transactions at a futures brokerage to analyze how implied leverage influences trading performance. Across all investors, leverage is negatively related to performance, due partly to increased trading costs and partly to forced liquidations resulting from margin calls. Defining skill out-of-sample, we find that relative performance differentials across unskilled and skilled investors persist. Unskilled investors' leverage amplifies losses from lottery prefer...
-
作者：Lucca, David O.; Wright, Jonathan H.
作者单位：Johns Hopkins University; Johns Hopkins University
摘要：We study the recent Australian experience with yield curve control (YCC) as perhaps the best evidence of how this policy might work in other developed economies. YCC seemingly worked well in 2020, when the market expected short rates to stay at zero for a long period of time. As the global recovery and inflation gained momentum in 2021, liftoff expectations moved up, the Reserve Bank of Australia purchased most of the targeted government bond outstanding, and the target bond's yield dislocated...
-
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...
-
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...
