-
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...
-
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...
-
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...
-
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...
-
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...
-
作者：Cohen, Lauren; Malloy, Christopher; Quoc Nguyen
作者单位：Harvard University; National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Using the complete history of regular quarterly and annual filings by U.S. corporations, we show that changes to the language and construction of financial reports have strong implications for firms' future returns and operations. A portfolio that shorts changers and buys nonchangers earns up to 188 basis points per month in alpha (over 22% per year) in the future. Moreover, changes to 10-Ks predict future earnings, profitability, future news announcements, and even future firm-level bankruptc...
-
作者：Feng, Guanhao; Giglio, Stefano; Xiu, Dacheng
作者单位：City University of Hong Kong; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high-dimensional set of existing factors explains. Our methodology accounts for model selection mistakes that produce a bias due to omitted variables, unlike standard approaches that assume perfect variable selection. We apply our procedure to a set of factors recently discovered in the literature. While most of these new factors are shown to be redundant ...
-
作者：Iliev, Peter; Lowry, Michelle
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Drexel University
摘要：Contrary to conventional wisdom, we document that approximately 15% of venture capitalist (VC)-backed firms raise additional capital from VCs in the five years after going public. We propose two explanations for why firms revert to VC financing post-IPO (initial public offering). First, we hypothesize that VC participation in post-IPO financing represents an efficient solution to informational problems that would otherwise constrain firms' abilities to exploit value-increasing investments. Ana...
-
作者：Crane, Alan; Crotty, Kevin
作者单位：Rice University
摘要：The majority of security analysts are identified as skilled when the cross-section of analyst performance is modeled as a mixture of multiple skill distributions. Analysts exhibit heterogeneous skill-some are high-type, and some are low-type. On average, the recommendation revisions of both types exhibit positive abnormal returns. The heterogeneity stems from differential ability to produce new information; all analysts can profitably process news. Top analysts outperform because more of their...
-
作者：Gilje, Erik P.; Loutskina, Elena; Murphy, Daniel
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Virginia
摘要：This paper documents a previously unrecognized debt-related investment distortion. Using detailed project-level data for 69 firms in the oil and gas industry, we find that highly levered firms pull forward investment, completing projects early at the expense of long-run project returns and project value. This behavior is particularly pronounced prior to debt renegotiations. We test several channels that could explain this behavior and find evidence consistent with equity holders sacrificing lo...
