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作者：Kuchler, Theresa; Zafar, Basit
作者单位：New York University; Arizona State University; Arizona State University-Tempe
摘要：Using novel survey data, we document that individuals extrapolate from recent personal experiences when forming expectations about aggregate economic outcomes. Recent locally experienced house price movements affect expectations about future U.S. house price changes and higher experienced house price volatility causes respondents to report a wider distribution over expected U.S. house price movements. When we exploit within-individual variation in employment status, we find that individuals wh...
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作者：Jagannathan, Ravi; Ma, Tongshu; Zhang, Jiaqi
作者单位：Northwestern University; National Bureau of Economic Research; Northwestern University; State University of New York (SUNY) System; Binghamton University, SUNY
摘要：This note corrects an error in the proof of Proposition 2 of Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraint Helps that appeared in the Journal of Finance, August 2003.
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作者：Lee, Jung Hoon; Trzcinka, Charles; Venkatesan, Shyam
作者单位：Tulane University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Western University (University of Western Ontario)
摘要：Most mutual fund managers have performance-based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid-year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk-shifting only for managers with performance contracts. Deviation from the benchmark dominates incentives from the flow-performance relation, suggesting that ris...
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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：Hartzmark, Samuel M.; Solomon, David H.
作者单位：University of Chicago; Boston College
摘要：Many individual investors, mutual funds, and institutions trade as if dividends and capital gains are disconnected attributes, not fully appreciating that dividends result in price decreases. Behavioral trading patterns (e.g., the disposition effect) are driven by price changes instead of total returns. Investors rarely reinvest dividends, and trade as if dividends are a separate, stable income stream. Analysts fail to account for the effect of dividends on price, leading to optimistic price f...
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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：Siriwardane, Emil N.
作者单位：Harvard University; Office of Financial Research; United States Department of the Treasury
摘要：Using proprietary credit default swap (CDS) data, I investigate how capital shocks at protection sellers impact pricing in the CDS market. Seller capital shocks-measured as CDS portfolio margin payments-account for 12% of the time-series variation in weekly spread changes, a significant amount given that standard credit factors account for 18% during my sample. In addition, seller shocks possess information for spreads that is independent of institution-wide measures of constraints. These find...
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作者：Barrot, Jean-Noel; Loualiche, Erik; Sauvagnat, Julien
作者单位：Hautes Etudes Commerciales (HEC) Paris; Center for Economic & Policy Research (CEPR); University of Minnesota System; University of Minnesota Twin Cities; Bocconi University
摘要：In this paper, we investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7% risk premium, suggesting that their cash flows covary negatively with investors' marginal utility. We find that the premium emanates from the risk of displacement of least efficient firms triggered by import competition. These findings suggest that foreign productivity shocks are associated with times w...
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作者：Andrikogiannopoulou, Angie; Papakonstantinou, Filippos
作者单位：University of London; King's College London
摘要：Barras, Scaillet, and Wermers propose the false discovery rate (FDR) to separate skill (alpha) from luck in fund performance. Using simulations with parameters informed by the data, we find that this methodology is conservative and underestimates the proportion of nonzero-alpha funds. For example, 65% of funds with economically large alphas of +/- 2% are misclassified as zero alpha. This bias arises from the low signal-to-noise ratio in fund returns and the resulting low statistical power. Our...
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作者：Bae, Joon Woo; Elkamhi, Redouane; Simutin, Mikhail
作者单位：University System of Ohio; Case Western Reserve University; University of Toronto
摘要：A growing body of evidence suggests that the benefits of international diversification via developed markets have declined dramatically. While emerging markets still offer diversification opportunities, their public equity indices capture only a fraction of emerging countries' economic activity. We propose a diversification approach that exploits the global connectedness of developed countries to gain exposure to emerging countries' overall economies rather than their shallow equity markets. I...
