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作者：Bolandnazar, Mohammadreza; Jackson, Robert J., Jr.; Jiang, Wei; Mitts, Joshua
作者单位：Columbia University; Columbia University; U.S. Securities & Exchange Commission (SEC); U.S. Securities & Exchange Commission (SEC)
摘要：For years, the Securities and Exchange Commission (SEC) accidentally distributed securities disclosures to some investors before the public. We exploit this setting, which is unique because the delay until public disclosure was exogenous and the private information window was well defined, to study informed trading with a random stopping time. Trading intensity and the pace at which prices incorporate information decrease with the expected delay until public release, but the relation between t...
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作者：Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco; Landier, Augustin
作者单位：Hautes Etudes Commerciales (HEC) Paris
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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：Berger, David; Turner, Nicholas; Zwick, Eric
作者单位：Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using difference-in-differences and regression kink research designs, we find that the First-Time Homebuyer Credit increased home sales by 490,000 (9.8%), median home prices by $2,400 (1.1%) per standard deviation increase in program exposure, and the transition rate into homeownership by 53%. The policy response did not reverse immediately. Instead, demand co...
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作者：Chib, Siddhartha; Zeng, Xiaming; Zhao, Lingxiao
作者单位：Washington University (WUSTL); Washington University (WUSTL)
摘要：Revisiting the framework of (Barillas, Francisco, and Jay Shanken, 2018, Comparing asset pricing models, The Journal of Finance 73, 715-754). BS henceforth, we show that the Bayesian marginal likelihood-based model comparison method in that paper is unsound : the priors on the nuisance parameters across models must satisfy a change of variable property for densities that is violated by the Jeffreys priors used in the BS method. Extensive simulation exercises confirm that the BS method performs...
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作者：Aretz, Kevin; Campello, Murillo; Marchica, Maria-Teresa
作者单位：University of Manchester; Alliance Manchester Business School; Cornell University; National Bureau of Economic Research
摘要：France's Ordonnance 2006-346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. A differences-test strategy shows that firms operating newly pledgeable assets significantly increased their borrowing following the reform. Small, young, and financially constrained businesses benefitted the most, observing improved credit access and real-side outcomes. Start-ups emerged with higher at-incept...
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作者：Kleibergen, Frank; Zhan, Zhaoguo
作者单位：University of Amsterdam; University System of Georgia; Kennesaw State University
摘要：The reliability of traditional asset pricing tests depends on: (i) the correlations between asset returns and factors; (ii) the time series sample size T compared to the number of assets N. For macro-risk factors, like consumption growth, (i) and (ii) are often such that traditional tests cannot be trusted. We extend the Gibbons-Ross-Shanken statistic to test identification of risk premia and construct their 95% confidence sets. These sets are wide or unbounded when T and N are close, but show...
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作者：Cookson, J. Anthony; Niessner, Marina
作者单位：University of Colorado System; University of Colorado Boulder
摘要：We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical, fundamental). We examine how much of overall disagreement is driven by different information sets versus differential interpretation of information by studying disagreement within and across investment approaches. Overall disagreement is evenly split between both sources of disagreement, but within-group d...
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作者：Hartman-Glaser, Barney; Hebert, Benjamin
作者单位：University of California System; University of California Los Angeles; Stanford University; National Bureau of Economic Research
摘要：We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private information about the ability of this index to measure the true state that the borrower would like to hedge. The lender is risk-averse and thus requires a premium to insure the borrower. The borrower, however, might be paying something for nothing if the index is a poor measure of the true state. We provide suffi...
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作者：Ouimet, Paige; Tate, Geoffrey
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Maryland; University of Maryland College Park
摘要：Using unique data on employee stock purchase plans (ESPPs), we examine the influence of networks on investment decisions. Comparing employees within a firm during the same election window with metro area fixed effects, we find that the choices of coworkers in the firm's ESPP exert a significant influence on employees' own decisions to participate and trade. Moreover, we find that the presence of high-information employees magnifies the effects of peer networks. Given participation in an ESPP i...
