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作者：Chen, Yong; Han, Bing; Pan, Jing
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Toronto; Southern Methodist University
摘要：In the presence of sentiment fluctuations, arbitrageurs may engage in different strategies leading to dispersed sentiment exposures. We find that hedge funds in the top decile ranked by sentiment beta outperform those in the bottom decile by 0.59% per month on a risk-adjusted basis, with the spread being larger among skilled funds. We also find that about 10% of hedge funds have sentiment timing skill that positively correlates with fund sentiment beta and contributes to fund performance. Our ...
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作者：Nagel, Stefan
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作者：Illeditsch, Philipp K.; Ganguli, Jayant V.; Condie, Scott
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Essex; Brigham Young University
摘要：We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk-neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e.g., after ear...
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作者：Clifford, Christopher P.; Gerken, William C.
作者单位：University of Kentucky
摘要：We study the effect of a change in property rights on employee behavior in the financial advice industry. Our identification comes from staggered firm-level entry into the Protocol for Broker Recruiting, which waived nonsolicitation clauses for advisor transitions among member firms, effectively transferring ownership of client relationships from the firm to the advisor. After the shock, advisors appear to tend to client relationships more by investing in client-facing industry licenses, shift...
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作者：Kacperczyk, Marcin; Perignon, Christophe; Vuillemey, Guillaume
作者单位：Imperial College London; Hautes Etudes Commerciales (HEC) Paris
摘要：Using high-frequency, granular panel data on short-term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets' safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit from a safety premium. The supply of such CDs responds positively to excess safety demand. During periods of stress, this relation vanishes for all issuers of private securities, even though their aggreg...
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作者：Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei
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作者：Argyle, Bronson; Nadauld, Taylor; Palmer, Christopher; Pratt, Ryan
作者单位：Brigham Young University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Using loan-level data on millions of used-car transactions across hundreds of lenders, we study the consumer response to exogenous variation in credit terms. Borrowers offered shorter maturity decrease expenditures enough to offset 60% to 90% of the monthly payment increase. Most of this is driven by shifting toward lower-quality cars, but affected borrowers offset 20% to 30% of a monthly payment shock by negotiating lower prices for equivalent cars. Our results suggest that durable goods pric...
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作者：Demiroglu, Cem; Ozbas, Oguzhan; Silva, Rui C.; Ulu, Mehmet Fatih
作者单位：Koc University; University of Southern California; Universidade Nova de Lisboa
摘要：We examine the effects of physiology and spiritual sentiment on economic decision-making in the context of Ramadan, an entire lunar month of daily fasting and increased spiritual reflection in the Muslim faith. Using an administrative data set of bank loans originated in Turkey during 2003 to 2013, we find that small business loans originated during Ramadan are 15% more likely to default within two years of origination. Loans originated in hot Ramadans, when adverse physiological effects of fa...
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作者：Cao, Charles; Farnsworth, Grant; Zhang, Hong
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Texas Christian University; Tsinghua University
摘要：This paper examines how market frictions influence the managerial incentives and organizational structure of new hedge funds. We develop a stylized model in which new managers search for accredited investors and have stronger incentives to acquire managerial skill when encountering low investor demand. Fund families endogenously arise to mitigate frictions and weaken the performance incentives of affiliated new funds. Empirically, based on a TASS-HFR-BarclayHedge merged database, we find that ...
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作者：Zhang, Shaojun
作者单位：University System of Ohio; Ohio State University
摘要：Limited stock market participation can potentially explain the disconnect between international asset prices and macro quantities. An incomplete markets model in which risk sharing for stockholders is high generates highly correlated equity returns and relatively smooth exchange rates. Risk sharing for nonstockholders is limited because of their nonparticipation in stock markets and borrowing constraints, reducing the aggregate consumption correlation and the correlation between aggregate cons...
