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作者：Jagolinzer, Alan D.; Larcker, David F.; Ormazabal, Gaizka; Taylor, Daniel J.
作者单位：University of Cambridge; Stanford University; University of Navarra; IESE Business School; University of Pennsylvania
摘要：We analyze the trading of corporate insiders at leading financial institutions during the 2007 to 2009 financial crisis. We find strong evidence of a relation between political connections and informed trading during the period in which Troubled Asset Relief Program (TARP) funds were disbursed, and that the relation is most pronounced among corporate insiders with recent direct connections. Notably, we find evidence of abnormal trading by politically connected insiders 30 days in advance of TA...
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作者：Akins, Brian; De Angelis, David; Gaulin, Maclean
作者单位：Rice University; Utah System of Higher Education; University of Utah
摘要：Change of management restrictions (CMRs) in loan contracts give lenders explicit ex ante control rights over managerial retention and selection. This paper shows that lenders use CMRs to mitigate risks arising from CEO turnover, especially those related to the loss of human capital and replacement uncertainty, thereby providing evidence that human capital risk affects debt contracting. With a CMR in place, the likelihood of CEO turnover decreases by more than half, and future firm performance ...
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作者：Hirshleifer, David
作者单位：University of California System; University of California Irvine
摘要：I discuss a new intellectual paradigm, social economics and finance-the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is social transmission bias: systematic directional shift in signals or ideas induced by social transactions. I use five fables (models) to illustrate the novelty and scope of the transmission bias approach, a...
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作者：Choi, James J.; Robertson, Adriana Z.
作者单位：Yale University; National Bureau of Economic Research; University of Toronto
摘要：We survey a representative sample of U.S. individuals about how well leading academic theories describe their financial beliefs and decisions. We find substantial support for many factors hypothesized to affect portfolio equity share, particularly background risk, investment horizon, rare disasters, transactional factors, and fixed costs of stock market participation. Individuals tend to believe that past mutual fund performance is a good signal of stock-picking skill, actively managed funds d...
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作者：Carr, Peter; Wu, Liuren
作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper develops a new top-down valuation framework that links the pricing of an option investment to its daily profit and loss attribution. The framework uses the Black-Merton-Scholes option pricing formula to attribute the short-term option investment risk to variation in the underlying security price and the option's implied volatility. Taking risk-neutral expectation and demanding no dynamic arbitrage result in a pricing relation that links an option's fair implied volatility level to t...
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作者：Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan
作者单位：Brandeis University; Stockholm School of Economics; University of California System; University of California San Diego
摘要：We develop a new approach to modeling dynamics in cash flows extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly significant predictor of future growth in dividends and consumption. Using a log-linearized present value model, we show that news about the persistent dividend growth component predicts stock returns consistent with...
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作者：Pelger, Markus
作者单位：Stanford University
摘要：Based on a novel high-frequency data set for a large number of firms, I estimate the time-varying latent continuous and jump factors that explain individual stock returns. The factors are estimated using principal component analysis applied to a local volatility and jump covariance matrix. I find four stable continuous systematic factors, which can be well approximated by a market, oil, finance, and electricity portfolio, while there is only one stable jump market factor. The exposure of stock...
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作者：Schiantarelli, Fabio; Stacchini, Massimiliano; Strahan, Philip E.
作者单位：Boston College; IZA Institute Labor Economics; European Central Bank; Bank of Italy; National Bureau of Economic Research
摘要：Italian firms delay payment to banks weakened by past loan losses. Exploiting Credit Register data, we fully absorb borrower fundamentals with firm-quarter effects. Identification therefore reflects firm choices to delay payment to some banks, depending on their health. This selective delay occurs more where legal enforcement of collateral recovery is slow. Poor enforcement encourages borrowers not to pay when the value of their bank relationship comes into doubt. Selective delays occur even b...
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作者：Griffin, John M.; Shams, Amin
作者单位：University of Texas System; University of Texas Austin; University System of Ohio; Ohio State University
摘要：This paper investigates whether Tether, a digital currency pegged to the U.S. dollar, influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using algorithms to analyze blockchain data, we find that purchases with Tether are timed following market downturns and result in sizable increases in Bitcoin prices. The flow is attributable to one entity, clusters below round prices, induces asymmetric autocorrelations in Bitcoin, and suggests insufficient Tether reserves before month...
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作者：Darmouni, Olivier
作者单位：Columbia University
摘要：In this paper, I estimate the magnitude of an informational friction limiting credit reallocation to firms during the 2007 to 2009 financial crisis. Because lenders rely on private information when deciding which relationship to end, borrowers looking for a new lender are adversely selected. I show how to separately identify private information from information common to all lenders but unobservable to the econometrician by using bank shocks within a discrete choice model of relationships. Qua...
