-
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...
-
作者：Hazan, Moshe; Weiss, David; Zoabi, Hosny
作者单位：Tel Aviv University; Center for Economic & Policy Research (CEPR); New Economic School
摘要：In one of the greatest extensions of property rights in human history, common law countries began giving rights to married women in the 1850s. Before this women's liberation, the doctrine of coverture strongly incentivized parents of daughters to hold real estate, rather than financial assets such as money, stocks, or bonds. We exploit the staggered nature of coverture's demise across U.S. states to show that women's rights led to shifts in household portfolios, a positive shock to the supply ...
-
作者：Cavagnaro, Daniel R.; Sensoy, Berk A.; Wang, Yingdi; Weisbach, Michael S.
作者单位：California State University System; California State University Fullerton; Vanderbilt University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：Using a large sample of institutional investors' investments in private equity funds raised between 1991 and 2011, we estimate the extent to which investors' skill affects their returns. Bootstrap analyses show that the variance of actual performance is higher than would be expected by chance, suggesting that some investors consistently outperform. Extending the Bayesian approach of Korteweg and Sorensen, we estimate that a one-standard-deviation increase in skill leads to an increase in annua...
-
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...
-
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...
-
作者：Heimer, Rawley Z.; Myrseth, Kristian Ove R.; Schoenle, Raphael S.
作者单位：Boston College; Trinity College Dublin; Brandeis University; Brandeis University
摘要：We study the effect of subjective mortality beliefs on life-cycle behavior. With new survey evidence, we document that survival is underestimated (overestimated) by the young (old). We calibrate a canonical life-cycle model to elicited beliefs. Relative to calibrations using actuarial probabilities, the young undersave by 26%, and retirees draw down their assets 27% slower, while the model's fit to consumption data improves by 88%. Cross-sectional regressions support the model's predictions: D...
-
作者：Hagstromer, Bjoern; Menkveld, Albert J.
作者单位：Stockholm University; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so, we construct an empirical map of information revelation where two dealers are connected based on the synchronicity of their quote changes. The tests, based on the euro to Swiss franc spot rate (EUR/CHF) quote data including the 2015 crash, largely support theory: strongly connected (i.e., central) dealers are more informed. Connections are weaker when there...
-
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...
-
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...
-
作者：Hartzmark, Samuel M.; Sussman, Abigail B.
作者单位：University of Chicago
摘要：Examining a shock to the salience of the sustainability of the U.S. mutual fund market, we present causal evidence that investors marketwide value sustainability: being categorized as low sustainability resulted in net outflows of more than $12 billion while being categorized as high sustainability led to net inflows of more than $24 billion. Experimental evidence suggests that sustainability is viewed as positively predicting future performance, but we do not find evidence that high-sustainab...
