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作者：Ambrose, Brent W.; Conklin, James; Yoshida, Jiro
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Georgia; University of Georgia
摘要：We examine the role of borrower concerns about future credit availability in mitigating the effects of adverse selection and income misrepresentation in the mortgage market. We show that the majority of additional risk associated with low-doc mortgages originated prior to the Great Recession was due to adverse selection on the part of borrowers who could verify income but chose not to. We provide novel evidence that these borrowers were more likely to inflate or exaggerate their income. Our an...
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作者：Glode, Vincent; Lowery, Richard
作者单位：University of Pennsylvania; University of Texas System; University of Texas Austin
摘要：We propose a labor market model in which financial firms compete for a scarce supply of workers who can be employed as either bankers or traders. While hiring bankers helps create a surplus that can be split between a firm and its trading counterparties, hiring traders helps the firm appropriate a greater share of that surplus away from its counterparties. Firms bid defensively for workers bound to become traders, who then earn more than bankers. As counterparties employ more traders, the bene...
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作者：Keloharju, Matti; Linnainmaa, Juhani T.; Nyberg, Peter
作者单位：Aalto University; Center for Economic & Policy Research (CEPR); University of Southern California; National Bureau of Economic Research
摘要：A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, and international stock market indices, as well as at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that they emanate from different systematic factors. Our results suggest ...
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作者：Stroebel, Johannes
作者单位：New York University
摘要：empirically analyze credit market outcomes when competing lenders are differentially informed about the expected return from making a loan. I study the residential mortgage market, where property developers often cooperate with vertically integrated mortgage lenders to offer financing to buyers of new homes. I show that these integrated lenders have superior information about the construction quality of individual homes and exploit this information to lend against higher quality collateral, de...
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作者：Daley, Brendan; Green, Brett
作者单位：Duke University; University of California System; University of California Berkeley
摘要：We propose an information-based theory to explain time variation in liquidity and link it to a variety of patterns in asset markets. In normal times, the market is fully liquid and gains from trade are realized immediately. However, the equilibrium also involves periods during which liquidity dries up, which leads to endogenous liquidation costs. Traders correctly anticipate such costs, which reduces their willingness to pay. This foresight leads to a novel feedback effect between prices and m...
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作者：Chang, Tom Y.; Solomon, David H.; Westerfield, Mark M.
作者单位：University of Southern California; University of Washington; University of Washington Seattle
摘要：We analyze brokerage data and an experiment to test a cognitive dissonance based theory of trading: investors avoid realizing losses because they dislike admitting that past purchases were mistakes, but delegation reverses this effect by allowing the investor to blame the manager instead. Using individual trading data, we show that the disposition effectthe propensity to realize past gains more than past lossesapplies only to nondelegated assets like individual stocks; delegated assets, like m...
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作者：Schneider, Christoph; Spalt, Oliver
作者单位：University of Mannheim; Tilburg University
摘要：Do behavioral biases of executives matter for corporate investment decisions? Using segment-level capital allocation in multisegment firms (conglomerates) as a laboratory, we show that capital expenditure is increasing in the expected skewness of segment returns. Conglomerates invest more in high-skewness segments than matched stand-alone firms, and trade at a discount, which indicates overinvestment that is detrimental to shareholder wealth. Using geographical variation in gambling norms, we ...
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作者：McCahery, Joseph A.; Sautner, Zacharias; Starks, Laura T.
作者单位：Tilburg University; Frankfurt School Finance & Management; University of Texas System; University of Texas Austin
摘要：We survey institutional investors to better understand their role in the corporate governance of firms. Consistent with a number of theories, we document widespread behind-the-scenes intervention as well as governance-motivated exit. These governance mechanisms are viewed as complementary devices, with intervention typically occurring prior to a potential exit. We further find that long-term investors and investors that are less concerned about stock liquidity intervene more intensively. Final...
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作者：Kelly, Bryan; Pastor, Lubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. To isolate political uncertainty, we exploit its variation around national elections and global summits. We find that political uncertainty is priced in the equity option market as predicted by theory. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the price, variance, and tail risks associated with politi...
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作者：Foucault, Thierry; Hombert, Johan; Rosu, Ioanid
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is fast), versus when he cannot (is slow). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with short-run price changes. Nevertheless, he realizes a large fraction of his profits from trading on long-term price changes. The fast speculator's behavior matches evidence about high-frequency traders. We predict...
