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作者：Liang, Hao; Renneboog, Luc
作者单位：Singapore Management University; Tilburg University
摘要：Using corporate social responsibility (CSR) ratings for 23,000 companies from 114 countries, we find that a firm's CSR rating and its country's legal origin are strongly correlated. Legal origin is a stronger explanation than doing good by doing well factors or firm and country characteristics (ownership concentration, political institutions, and globalization): firms from common law countries have lower CSR than companies from civil law countries, with Scandinavian civil law firms having the ...
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作者：Bhutta, Neil; Dokko, Jane; Shan, Hui
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Brookings Institution
摘要：From 2007 to 2009 U.S. house prices plunged and mortgage defaults surged. While ostensibly consistent with widespread ruthless default, analysis of detailed mortgage and house price data indicates that borrowers do not walk away until they are deeply underwaterfar deeper than traditional models predict. The evidence suggests that lender recourse is not the major driver of this result. We argue that emotional and behavioral factors play an important role in decisions to continue paying. Borrowe...
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作者：Kirilenko, Andrei; Kyle, Albert S.; Samadi, Mehrdad; Tuzun, Tugkan
作者单位：Imperial College London; University System of Maryland; University of Maryland College Park; Southern Methodist University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study intraday market intermediation in an electronic market before and during a period of large and temporary selling pressure. On May 6, 2010, U.S. financial markets experienced a systemic intraday eventthe Flash Crashwhere a large automated selling program was rapidly executed in the E-mini S&P 500 stock index futures market. Using audit trail transaction-level data for the E-mini on May 6 and the previous three days, we find that the trading pattern of the most active nondesignated intr...
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作者：Bradley, Daniel; Gokkaya, Sinan; Liu, Xi
作者单位：State University System of Florida; University of South Florida; University System of Ohio; Ohio University
摘要：Using hand-collected biographical information on financial analysts from 1983 to 2011, we find that analysts making forecasts on firms in industries related to their preanalyst experience have better forecast accuracy, evoke stronger market reactions to earning revisions, and are more likely to be named Institutional Investor all-stars. Plausibly exogenous losses of analysts with related industry experience have real financial market implications-changes in firms' information asymmetry and pri...
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作者：Mueller, Philippe; Tahbaz-Salehi, Alireza; Vedolin, Andrea
作者单位：University of London; London School Economics & Political Science; Columbia University
摘要：We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis-a-vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpre...
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作者：Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo
作者单位：McGill University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK; Stockholm School of Economics
摘要：This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that, over the life cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the ...
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作者：Harvey, Campbell R.
作者单位：Duke University; National Bureau of Economic Research
摘要：Given the competition for top journal space, there is an incentive to produce significant results. With the combination of unreported tests, lack of adjustment for multiple tests, and direct and indirect p-hacking, many of the results being published will fail to hold up in the future. In addition, there are basic issues with the interpretation of statistical significance. Increasing thresholds may be necessary, but still may not be sufficient: if the effect being studied is rare, even t > 3 w...
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作者：Moreira, Alan; Savov, Alexi
作者单位：University of Rochester; New York University; National Bureau of Economic Research
摘要：We build a macrofinance model of shadow bankingthe transformation of risky assets into securities that are money-like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral-intensive funding. Shadow banking collapses, liquidity provision sh...
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作者：Zviadadze, Irina
作者单位：Stockholm School of Economics
摘要：I relate the downward-sloping term structure of currency carry returns to compensation for currency exposures to macroeconomic risk embedded in the joint dynamics of U.S. consumption, inflation, nominal interest rate, and their stochastic variance. The interest rate and inflation shocks play a prominent role. Higher yield currencies exhibit higher multiperiod exposures to these shocks. The prices of these risk exposures are positive and sizeable across all investment horizons. The interest rat...
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作者：Almazan, Andres; Chen, Zhaohui; Titman, Sheridan
作者单位：University of Texas System; University of Texas Austin; University of Virginia; National Bureau of Economic Research
摘要：This paper develops a top-down model of capital budgeting in which privately informed executives make investment choices that convey information to the firm's stakeholders (e.g., employees). Favorable information in this setting encourages stakeholders to take actions that positively contribute to the firm's success (e.g., employees work harder). Within this framework we examine how firms may distort their investment choices to influence the information conveyed to stakeholders and show that i...
