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作者：Bouchaud, Jean-Philippe; Krueger, Philipp; Landier, Augustin; Thesmar, David
作者单位：University of Geneva; University of Geneva; Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：We propose a theory of the profitability anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional model predictions: (1) analysts are on average too pessimistic regarding the future profits of high-profit firms, (2) the profitability anomaly is str...
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作者：DeVault, Luke; Sias, Richard; Starks, Laura
作者单位：Clemson University; University of Arizona; University of Texas System; University of Texas Austin
摘要：Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross-sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors' demand shocks. We investigate the underlying economic mechanisms and find that common institutional investment styles (e.g., risk management, momentum trading) explain a significant portion of the relation between instituti...
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作者：Ma, Yueran
作者单位：University of Chicago
摘要：I demonstrate that nonfinancial corporations act as cross-market arbitrageurs in their own securities. Firms use one type of security to replace another in response to shifts in relative valuations, inducing negatively correlated financing flows in different markets. Net equity repurchases and net debt issuance both increase when expected excess returns on debt are particularly low, or when expected excess returns on equity are relatively high. Credit valuations affect equity financing as much...
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作者：Halim, Edward; Riyanto, Yohanes E.; Roy, Nilanjan
作者单位：City University of Hong Kong; Nanyang Technological University
摘要：We design an experiment to study the implications of information networks for incentives to acquire costly information, market liquidity, investors' earnings, and asset price characteristics in a financial market. Social communication crowds out information production as a result of an agent's temptation to free ride on the signals purchased by her neighbors. Although information exchange among traders increases trading volume, improves liquidity, and enhances the ability of asset prices to re...
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作者：Eisdorfer, Assaf; Goyal, Amit; Zhdanov, Alexei
作者单位：University of Connecticut; University of Lausanne; Swiss Finance Institute (SFI); Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study whether default options are mispriced in equity values by employing a structural equity valuation model that explicitly takes into account the value of the option to default (or abandon the firm) and uses firm-specific inputs. We implement our model on the entire cross section of stocks and identify both over- and underpriced equities. An investment strategy that buys undervalued stocks and shorts overvalued stocks generates an annual four-factor alpha of about 11% for U.S. stocks. Th...
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作者：Adrian, Tobias; Crump, Richard K.; Vogt, Erik
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross-section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight-to-safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasurie...
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作者：Pennacchi, George; Tchistyi, Alexei
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：This paper identifies an error in Sundaresan and Wang (2015, hereafter SW) that invalidates its Theorem 1. The paper develops a model of contingent capital (CC) with a stock price trigger that is consistent with SW's framework and yields closed-form solutions for stock and CC prices. Yet, the model shows that unique stock price equilibria exist for a broader range of CC contractual terms than those required by SW. Specifically, when conversion terms benefit CC investors and penalize shareholde...
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作者：Malenko, Andrey; Malenko, Nadya
作者单位：Boston College
摘要：We analyze how proxy advisors, which sell voting recommendations to shareholders, affect corporate decision-making. If the quality of the advisor's information is low, there is overreliance on its recommendations and insufficient private information production. In contrast, if the advisor's information is precise, it may be underused because the advisor rations its recommendations to maximize profits. Overall, the advisor's presence leads to more informative voting only if its information is s...
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作者：Demarzo, Peter M.
作者单位：Stanford University; National Bureau of Economic Research
摘要：Optimal dynamic capital structure choice is fundamentally a problem of commitment. In a standard trade-off setting with shareholder-debtholder agency conflicts, full commitment counterfactually predicts the firm would rely almost exclusively on debt financing. Conversely, absent commitment a Modigliani-Miller-like value irrelevance and policy indeterminacy result holds. Thus, the content of dynamic trade-off theory must depend on the commitment technology. In this context, collateral is valuab...
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作者：Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
作者单位：University of Oxford; Bocconi University; Bocconi University; Brown University; Harvard University
摘要：We revisit La Porta's finding that returns on stocks with the most optimistic analyst long-term earnings growth forecasts are lower than those on stocks with the most pessimistic forecasts. We document the joint dynamics of fundamentals, expectations, and returns of these portfolios, and explain the facts using a model of belief formation based on the representativeness heuristic. Analysts forecast fundamentals from observed earnings growth, but overreact to news by exaggerating the probabilit...
