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作者：Rantala, Ville
作者单位：University of Miami
摘要：A unique data set from a large Ponzi scheme allows me to study word-of-mouth diffusion of investment information. Investors could join the scheme only by invitation from an existing member, which allows me to observe how the idea spreads from one person to the next based on inviter-invitee relationships. I find that the observed social network has a scale-free connectivity structure, which significantly facilitates the diffusion of the investment idea and contributes to the growth and survival...
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作者：Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco; Landier, Augustin
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Harvard University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：Using trade-level data, we study whether brokers play a role in spreading order flow information in the stock market. We focus on large portfolio liquidations that result in temporary price drops, and identify the brokers who intermediate these trades. These brokers' clients are more likely to predate on the liquidating funds than to provide liquidity. Predation leads to profits of about 25 basis points over 10 days and increases the liquidation costs of the distressed fund by 40%. This eviden...
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作者：Donaldson, Jason Roderick; Piacentino, Giorgia; Thakor, Anjan
作者单位：Washington University (WUSTL); Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We use a labor-search model to explain why the worst employment slumps often follow expansions of household debt. We find that households protected by limited liability suffer from a household-debt-overhang problem that leads them to require high wages to work. Firms respond by posting high wages but few vacancies. This vacancy posting effect implies that high household debt leads to high unemployment. Even though households borrow from banks via bilaterally optimal contracts, the equilibrium ...
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作者：Murfin, Justin; Pratt, Ryan
作者单位：Brigham Young University
摘要：We propose that, by financing their own product sales through captive finance subsidiaries, durable goods manufacturers commit to higher resale values for their products in future periods. Using data on captive financing by the manufacturers of heavy equipment, we find that captive-backed models have lower price depreciation. The evidence is consistent with captive finance helping manufacturers commit to ex-post actions that support used machine prices. This, in turn, conveys higher pledgeabil...
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作者：Charness, Gary; Neugebauer, Tibor
作者单位：University of Luxembourg; University of California System; University of California Santa Barbara
摘要：Modigliani and Miller show that the total market value of a firm is unaffected by a repackaging of asset return streams to equity and debt if pricing is arbitrage-free. We investigate this invariance theorem in experimental asset markets, finding value-invariance for assets of identical risks when returns are perfectly correlated. However, exploiting price discrepancies has risk when returns have the same expected value but are uncorrelated, in which case the law of one price is violated. Disc...
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作者：Eyster, Erik; Rabin, Matthew; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; Harvard University; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such cursed traders generate more trade than those comprising solely rationals. Because rationals arbitrage away distortions caused by cursed traders, mixed markets can generate even more trade. Per-trader volume in cursed markets increases with market size; volume may instead disappear when traders infer others' information fro...
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作者：Schneider, Paul; Trojani, Fabio
作者单位：Universita della Svizzera Italiana; University of Geneva; University of Geneva
摘要：Under mild assumptions, we recover the model-free conditional minimum variance projection of the pricing kernel on various tradeable realized moments of market returns. Recovered conditional moments predict future realizations and give insight into the cyclicality of equity premia, variance risk premia, and the highest attainable Sharpe ratios under the minimum variance probability. The pricing kernel projections are often U-shaped and give rise to optimal conditional portfolio strategies with...
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作者：Zhang, Miao Ben
作者单位：University of Southern California
摘要：This paper studies the asset pricing implications of a firm's opportunities to replace routine-task labor with automation. I develop a model in which firms optimally undertake such replacement when their productivity is low. Hence, firms with routine-task labor maintain a replacement option that hedges their value against unfavorable macroeconomic shocks and lowers their expected returns. Using establishment-level occupational data, I construct a measure of firms' share of routine-task labor. ...
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作者：Bolton, Patrick; Wang, Neng; Yang, Jinqiang
作者单位：Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
摘要：A risk-averse entrepreneur with access to a profitable venture needs to raise funds from investors. She cannot indefinitely commit her human capital to the venture, which limits the firm's debt capacity, distorts investment and compensation, and constrains the entrepreneur's risk sharing. This puts dynamic liquidity and state-contingent risk allocation at the center of corporate financial management. The firm balances mean-variance investment efficiency and the preservation of financial slack....
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作者：Nagel, Stefan
