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作者：Hennessy, Christopher A.; Strebulaev, Ilya A.
作者单位：Centre for Economic Policy Research - UK; University of London; London Business School; University of London; London Business School; Stanford University; National Bureau of Economic Research
摘要：We derive analytical relationships between shock responses and theory-implied causal effects (comparative statics) in dynamic settings with linear profits and linear-quadratic stock accumulation costs. For permanent profitability shocks, responses can have incorrect signs, undershoot, or overshoot depending on the size and sign of realized changes. For profitability shocks that are i.i.d., uniformly distributed, binary, or unanticipated and temporary, there is attenuation bias, which exceeds 5...
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作者：Akbas, Ferhat; Jiang, Chao; Koch, Paul D.
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of South Carolina System; University of South Carolina Columbia; Iowa State University
摘要：We examine the relation between insiders' investment horizon and the information content of their trades with respect to future stock returns. We conjecture that an insider's investment horizon establishes a benchmark for expected patterns of continued trading behavior and thus helps identify unexpected insider trades, which should be more informative in efficient markets. Consistent with this conjecture, the trades of short-horizon insiders are both more unexpected and more informed, on avera...
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作者：Lochstoer, Lars A.; Tetlock, Paul C.
作者单位：University of California System; University of California Los Angeles; Columbia University
摘要：We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their mean-variance efficient (MVE) combination. Whereas discount rate news predominates in market returns, systematic cash flow news drives the returns of anomaly portfolios and their MVE combination with the market portfolio. Anomaly cash flow and discount rate shocks are largely uncorrelated with market cash flow and discount rate shocks a...
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作者：Haddad, Valentin; Sraer, David
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR)
摘要：Banks' balance sheet exposure tofluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing fluctuations in interest rates. When banks' exposure to interest rate risk increases, the price of this risk simultaneously rises. We present a collection of empirical observations that support this view, bu...
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作者：Peress, Joel; Schmidt, Daniel
作者单位：INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris
摘要：In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on distraction days, trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with ...
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作者：Borovicka, Jaroslav; Stachurski, John
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Australian National University
摘要：We obtain exact necessary and sufficient conditions for existence and uniqueness of solutions of a class of homothetic recursive utility models postulated by Epstein and Zin. The conditions center on a single test value with a natural economic interpretation. The test sheds light on the relationship between valuation of cash flows, impatience, risk adjustment, and intertemporal substitution of consumption. We propose two methods to compute the test value when an analytical solution is not avai...
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作者：Levit, Doron
作者单位：University of Pennsylvania; European Corporate Governance Institute
摘要：Information and control rights are central aspects of leadership, management, and corporate governance. This paper studies a principal-agent model that features both communication and intervention as alternative means to exert influence. The main result shows that a principal's power to intervene in an agent's decision limits the ability of the principal to effectively communicate her private information. The perverse effect of intervention on communication can harm the principal, especially w...
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作者：Schallheim, Jim
作者单位：Utah System of Higher Education; University of Utah
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作者：Huang, Chong; Li, Fei; Weng, Xi
作者单位：University of California System; University of California Irvine; University of North Carolina; University of North Carolina Chapel Hill; Peking University
摘要：We propose a theory of reputation to explain how investors rationally respond to mutual fund star ratings. A fund's performance is determined by its information advantage, which can be acquired but decays stochastically. Investors form beliefs about whether the fund is informed based on its past performance. We refer to such beliefs as fund reputation, which determines fund flows. As performance changes continuously, equilibrium fund reputation may take discrete values only and thus can be lab...
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作者：Baldauf, Markus; Mollner, Joshua
作者单位：University of British Columbia; Northwestern University
摘要：We study the consequences of, and potential policy responses to, high-frequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT, with consequences for this tradeoff: Information production decreases because informed traders have less time to trade before HFTs react, but liquidity (measured by the bid-ask spread) improves because informational asymmetries decline. HFT also pushes outcomes inside the frontier of this tradeoff. However, ou...
