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作者：Bernstein, Shai; Colonnelli, Emanuele; Iverson, Benjamin
作者单位：National Bureau of Economic Research; University of Chicago; Brigham Young University
摘要：This paper investigates the consequences of liquidation and reorganization on the allocation and subsequent utilization of assets in bankruptcy. Using the random assignment of judges to bankruptcy cases as a natural experiment that forces some firms into liquidation, we find that the long-run utilization of assets of liquidated firms is lower relative to assets of reorganized firms. These effects are concentrated in thin markets with few potential users and in areas with low access to finance....
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作者：Glaser, Markus; Iliewa, Zwetelina; Weber, Martin
作者单位：University of Munich; Max Planck Society; University of Mannheim; Center for Economic & Policy Research (CEPR)
摘要：Prices and returns are alternative ways to present information and to elicit expectations in financial markets. But do investors think of prices and returns in the same way? We present three studies in which subjects differ in the level of expertise, amount of information, and type of incentive scheme. The results are consistent across all studies: asking subjects to forecast returns as opposed to prices results in higher expectations, whereas showing them return charts rather than price chart...
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作者：Hartman-Glaser, Barney; Lustig, Hanno; Xiaolan, Mindy Z.
作者单位：University of California System; University of California Los Angeles; Stanford University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
摘要：Although the aggregate capital share of U.S. firms has increased, capital share at the firm-level has decreased. This divergence is due to mega-firms that produce a larger output share without a proportionate increase in labor compensation. We develop a model in which firms insure workers against firm-specific shocks, with more productive firms allocating more rents to shareholders, while less productive firms endogenously exit. Increasing firm-level risk delays exit and increases the measure ...
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作者：Jagannathan, Ravi; Liu, Binying; Zhang, Jiaqi
作者单位：Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology; Northwestern University
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作者：Buss, Adrian; Dumas, Bernard
作者单位：INSEAD Business School; Center for Economic & Policy Research (CEPR); University of Turin; National Bureau of Economic Research
摘要：We incorporate trading fees into a dynamic, multiagent general-equilibrium model in which traders optimally decide when to trade. For that purpose, we propose an innovative algorithm that synchronizes the traders. Securities prices are not so much affected by the payment of the fees itself, but rather by the trade-off that the traders face between smoothing consumption and smoothing holdings. In calibrated examples, the interest rate and welfare decline with trading fees, while risk premia and...
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作者：Jagannathan, Ravi; Liu, Binying
作者单位：Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology
摘要：We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample, 25.3% to 27.1% of the variation in annual stock index returns over the same time horizon, with learning contributing approximately half of the predictability in returns. These findings support the view that...
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作者：Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan
作者单位：Utah System of Higher Education; University of Utah; University of California System; University of California Berkeley; Queens University - Canada
摘要：We analyze the contribution to price discovery of market and limit orders by high-frequency traders (HFTs) and non-HFTs. While market orders have a larger individual price impact, limit orders are far more numerous. This results in price discovery occurring predominantly through limit orders. HFTs submit the bulk of limit orders and these limit orders provide most of the price discovery. Submissions of limit orders and their contribution to price discovery fall with volatility due to changes i...
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作者：Friewald, Nils; Nagler, Florian
作者单位：Norwegian School of Economics (NHH); Bocconi University
摘要：We empirically study whether systematic over-the-counter (OTC) market frictions drive the large unexplained common factor in yield spread changes. Using transaction data on U.S. corporate bonds, we find that marketwide inventory, search, and bargaining frictions explain 23.4% of the variation in the common component. Systematic OTC frictions thus substantially improve the explanatory power of yield spread changes and account for one-third of their total explained variation. Search and bargaini...
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作者：Carpenter, Jennifer N.; Stanton, Richard; Wallace, Nancy
作者单位：New York University; University of California System; University of California Berkeley
摘要：We develop an empirical model of employee stock option exercise that is suitable for valuation and allows for behavioral channels. We estimate exercise rates as functions of option, stock, and employee characteristics using all employee exercises at 88 public firms, 27 of them in the S&P 500. Increasing vesting frequency from annual to monthly reduces option value by 11% to 16%. Men exercise faster, reducing value by 2% to 4%, while top employees exercise slower, increasing value by 2% to 7%. ...
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作者：Andersen, Leif; Duffie, Darrell; Song, Yang
作者单位：Stanford University; National Bureau of Economic Research; University of Washington; University of Washington Seattle
摘要：In this paper, we demonstrate that the funding value adjustments (FVAs) of major dealers are debt overhang costs to their shareholders. To maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case studies include interest-rate swap FVAs and violations of covered interest parity. Contrary to current valuation practice, FVAs are not themselves components of the market values of the positions being financed. Current dealer practice does, however, align incentives between t...
