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作者：Meyer, Steffen; Pagel, Michaela
作者单位：University of Southern Denmark; Danish Finance Institute; Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We analyze how individuals reinvest realized capital gains and losses exploiting plausibly exogenous sales due to mutual fund liquidations. Individuals reinvest 83% if a forced sale results in a gain relative to the initial investment; but reinvest only 40% in the event of a loss. This difference is statistically significant for more than six months and arises because many individuals forced to realize a loss choose not to reinvest anything and some even exit the stock market altogether. Indiv...
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作者：Harvey, Campbell R.; Liu, Yan
作者单位：Duke University; National Bureau of Economic Research; Purdue University System; Purdue University
摘要：While Kosowski et al. (2006, Journal of Finance 61, 2551-2595) and Fama and French (2010, Journal of Finance 65, 1915-1947) both evaluate whether mutual funds outperform, their conclusions are very different. We reconcile their findings. We show that the Fama-French method suffers from an undersampling problem that leads to a failure to reject the null hypothesis of zero alpha, even when some funds generate economically large risk-adjusted returns. In contrast, Kosowski et al. substantially ov...
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作者：Fracassi, Cesare; Previtero, Alessandro; Sheen, Albert
作者单位：University of Texas System; University of Texas Austin; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; National Bureau of Economic Research; U.S. Securities & Exchange Commission (SEC)
摘要：We investigate the effects of private equity firms on product markets using price and sales data for an extensive number of consumer products. Following a private equity deal, target firms increase retail sales of their products 50% more than matched control firms. Price increases-roughly 1% on existing products-do not drive this growth; the launch of new products and geographic expansion do. Competitors reduce their product offerings and marginally raise prices. Cross-sectional results on tar...
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作者：MARTEL, J. O. R. D. A. N.; MIRKIN, K. E. N. N. E. T. H.; WATERS, B. R. I. A. N.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of Colorado System; University of Colorado Boulder
摘要：We study market dynamics when an owner learns about the quality of her asset over time. Since this information is private, the owner sells strategically to a less informed buyer following sufficient negative information. In response, market prices feature a U-shape and trading probabilities a hump-shape with respect to the time to sale. As the owner initially acquires greater information, buyers suffer greater adverse selection, and prices fall accordingly. Eventually, the probability of an in...
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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：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：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：Tirole, Jean
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作者：Behn, Markus; Haselmann, Rainer; Vig, Vikrant
作者单位：European Central Bank; Goethe University Frankfurt; Centre for Economic Policy Research - UK; University of London; London Business School; Northwestern University
摘要：Using loan-level data from Germany, we investigate how the introduction of model-based capital regulation affected banks' ability to absorb shocks. The objective of this regulation was to enhance financial stability by making capital requirements responsive to asset risk. Our evidence suggests that banks optimized model-based regulation to lower their capital requirements. Banks systematically underreported risk, with underreporting more pronounced for banks with higher gains from it. Moreover...
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作者：Eisenbach, Thomas M.; Lucca, David O.; Townsend, Robert M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Massachusetts Institute of Technology (MIT)
摘要：We estimate a structural model of resource allocation on work hours of Federal Reserve bank supervisors to disentangle how supervisory technology, preferences, and resource constraints impact bank outcomes. We find a significant effect of supervision on bank risk and large technological scale economies with respect to bank size. Consistent with macroprudential objectives, revealed supervisory preferences disproportionately weight larger banks, especially post-2008 when a resource reallocation ...
