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作者：Wang, Yifei; Whited, Toni M.; Wu, Yufeng; Xiao, Kairong
作者单位：Cornerstone Research; University of Michigan System; University of Michigan; National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Columbia University
摘要：We quantify the impact of bank market power on monetary policy transmission through banks to borrowers. We estimate a dynamic banking model in which monetary policy affects imperfectly competitive banks' funding costs. Banks optimize the pass-through of these costs to borrowers and depositors, while facing capital and reserve regulation. We find that bank market power explains much of the transmission of monetary policy to borrowers, with an effect comparable to that of bank capital regulation...
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作者：Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; University System of Ohio; Ohio University; University System of Ohio; Miami University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Short-term trade ideas are a component of analyst research highly valued by institutional investors. Using a novel and comprehensive database, we find that trade ideas have a stock price impact at least as large as recommendation and target price changes. Trade ideas based on expectations of future events are more informative than those identifying incomplete incorporation of past information in stock prices. Analysts with better access to a firm's management produce better trade ideas. Instit...
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作者：Dong, Xi; Li, Yan; Rapach, David E.; Zhou, Guofu
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Southwestern University of Finance & Economics - China; Saint Louis University; Washington University (WUSTL)
摘要：We provide the first systematic evidence on the link between long-short anomaly portfolio returns-a cornerstone of the cross-sectional literature-and the time-series predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a variety of shrinkage techniques (including machine learning, forecast combination, and dimension reduction) to efficiently extract predictive signals in a high-dimensional setting. We find that long-short anoma...
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作者：Ehsani, Sina; Linnainmaa, Juhani T.
作者单位：Northern Illinois University; Dartmouth College; National Bureau of Economic Research
摘要：Momentum in individual stock returns relates to momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of six basis points following a year of losses and 51 basis points following a positive year. We find that factor momentum concentrates in factors that explain more of the cross section of returns and that it is not incidental to individual stock momentum: momentum-neutral factors display more momentum. Momentum found in high-eigenval...
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作者：Schoenherr, David; Starmans, Jan
作者单位：Princeton University; Stockholm School of Economics
摘要：We examine how creditor protection affects firms with different levels of owners' and managers' personal costs of bankruptcy (PCB). Theoretically, we show that firms with high PCB borrow and invest more under a more debtor-friendly management stay system, whereas firms with low PCB borrow and invest more under a more creditor-friendly receivership system. Intuitively, stronger creditor protection relaxes financial constraints but reduces credit demand. Which effect dominates depends on owners'...
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作者：Graham, John R.
作者单位：Duke University; National Bureau of Economic Research
摘要：This paper uses surveys to document CFO perspectives on corporate planning, investment, capital structure, payout, and shareholder versus stakeholder focus. Comparing policy decisions today to those 20 years ago, I find that companies employ decision rules that are conservative, sticky, and geared to time the market; rely on internal forecasts that are miscalibrated and considered reliable only two years ahead; and emphasize corporate objectives that focus increasingly on stakeholders and reve...
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作者：Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
作者单位：Michigan State University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Recent research argues that uncertainty about future stock borrowing fees hinders short-selling, and this risk explains the performance of short strategies. One possible mechanism is that borrowing fee risk carries a risk premium. Since the present value of the uncertain borrowing fee is reflected in options prices, the difference between option-implied and realized fees estimates this premium. We find that the risk premium is small. Moreover, if the risk premium is substantial, it should be r...
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作者：Lewellen, Jonathan; Lewellen, Katharina
作者单位：Dartmouth College
摘要：This paper studies institutional investors' incentives to be engaged shareholders. In 2017, the average institution gains an extra $129,000 in annual management fees if a stockholding increases 1% in value, considering both the direct effect on assets under management and the indirect effect on subsequent fund flows. The estimates range from $19,600 for investments in small firms to $307,600 for investments in large firms. Institutional shareholders in one firm often gain when the firm's compe...
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作者：Jin, Dunhong; Noe, Thomas
作者单位：University of Hong Kong; University of Oxford
摘要：The rewards received by financial managers depend on both relative performance (e.g., fund inflows based on fund rankings, promotions based on peer comparisons) and absolute performance (e.g., bonus payments for meeting accounting targets, hedge-fund incentive fees). Both relative and absolute performance rewards engender risk-taking. In this paper, we show that these two sources of risk-taking, relative and absolute performance rewards, mitigate the risk-taking incentives produced by the othe...
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作者：Tirole, Jean
