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作者：Henry, Tyler R.; Koski, Jennifer L.
作者单位：University System of Ohio; Miami University; University of Washington; University of Washington Seattle
摘要：We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex-dividend returns. Results show that institutions concentrate trading around certain ex-dates, and earn higher profits around these events. Dividend capture trades represent 6% of all institutional buy trades but contribute 15% of overall abnormal returns. Institutional dividend capture trading is persistent. Institutional ex-day profitability is also strongly cross-sectionally related to trad...
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作者：Duchin, Ran; Gilbert, Thomas; Harford, Jarrad; Hrdlicka, Christopher
作者单位：University of Washington; University of Washington Seattle
摘要：U.S. industrial firms invest heavily in noncash, risky financial assets such as corporate debt, equity, and mortgage-backed securities. Risky assets represent 40% of firms' financial portfolios, or 6% of total book assets. We present a formal model to assess the optimality of this behavior. Consistent with the model, risky assets are concentrated in financially unconstrained firms holding large financial portfolios, are held by poorly governed firms, and are discounted by 13% to 22% compared t...
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作者：Melzer, Brian T.
作者单位：Northwestern University
摘要：Homeowners at risk of default face a debt overhang that reduces their incentive to invest in their property: in expectation, some value created by investments in the property will go to the lender. This agency conflict affects housing investments. Homeowners at risk of default cut back substantially on home improvements and mortgage principal payments, even when they appear financially unconstrained. Meanwhile, they do not reduce spending on assets that they may retain in default, including ho...
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作者：Bernstein, Shai; Korteweg, Arthur; Laws, Kevin
作者单位：Stanford University; National Bureau of Economic Research; University of Southern California
摘要：This paper uses a randomized field experiment to identify which start-up characteristics are most important to investors in early-stage firms. The experiment randomizes investors' information sets of fund-raising start-ups. The average investor responds strongly to information about the founding team, but not to firm traction or existing lead investors. We provide evidence that the team is not merely a signal of quality, and that investing based on team information is a rational strategy. Toge...
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作者：Marfe, Roberto
作者单位：Collegio Carlo Alberto
摘要：Output, wages, and dividends feature term structures of variance ratios that are respectively flat, increasing, and decreasing. Income insurance from shareholders to workers explains these term structures. Risk-sharing smooths wages but only concerns transitory risk and hence enhances short-run dividend risk. As a result, actual labor-share variation largely forecasts the risk, premium, and slope of dividend strips. A simple general equilibrium model in which labor rigidity affects dividend dy...
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作者：Vanasco, Victoria
作者单位：Stanford University
摘要：This paper explores the tension between asset quality and market liquidity. I model an originator who screens assets whose cash flows are later sold in secondary markets. Screening improves asset quality but gives rise to asymmetric information, hindering trade of the asset cash flows. In the optimal mechanism (second-best), costly retention of cash flows is essential to implement asset screening. Market allocations can feature too much or too little screening relative to second-best, where to...
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作者：Colliard, Jean-Edouard; Hoffmann, Peter
作者单位：Hautes Etudes Commerciales (HEC) Paris; European Central Bank
摘要：We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity and in turn market quality. Consistent with theories of asset pricing under transaction costs, we document a shift in security holdings from short-term to long-te...
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作者：Lins, Karl V.; Servaes, Henri; Tamayo, Ane
作者单位：Utah System of Higher Education; University of Utah; University of London; London Business School; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute; University of London; London School Economics & Political Science
摘要：During the 2008-2009 financial crisis, firms with high social capital, as measured by corporate social responsibility (CSR) intensity, had stock returns that were four to seven percentage points higher than firms with low social capital. High-CSR firms also experienced higher profitability, growth, and sales per employee relative to low-CSR firms, and they raised more debt. This evidence suggests that the trust between a firm and both its stakeholders and investors, built through investments i...
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作者：Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research; National Bank of Slovakia; Center for Economic & Policy Research (CEPR)
摘要：We model fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover and performance is stronger than the cross-sectional relation, as the model predicts. Also as predicted, the turnover-performance relation is stronger for funds trading less-liquid stocks and funds likely to po...
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作者：Dell'Ariccia, Giovanni; Laeven, Luc; Suarez, Gustavo A.
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK; European Central Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on banks' internal ratings on loans to businesses over the period 1997 to 2011 from the Federal Reserve's Survey of Terms of Business Lending. We find that ex ante risk-taking by banks (measured by the risk rating of new loans) is negatively associated with increases in short-term interest rates. This relationship is more pronounced in regions that are less in sync with the nat...
