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作者：Purnanandam, Amiyatosh; Weagley, Daniel
作者单位：University of Michigan System; University of Michigan; University System of Georgia; Georgia Institute of Technology
摘要：We analyze the role of financial markets in shaping the incentives of government agencies using a unique empirical setting: the weather derivatives market. We show that the introduction of weather derivative contracts on the Chicago Mercantile Exchange (CME) improves the accuracy of temperature measurement by 13% to 20% at the underlying weather stations. We argue that temperature-based financial markets generate additional scrutiny of the temperature data measured by the National Weather Serv...
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作者：Akbas, Ferhat
作者单位：University of Kansas
摘要：I provide evidence that stocks experiencing unusually low trading volume over the week prior to earnings announcements have more unfavorable earnings surprises. This effect is more pronounced among stocks with higher short-selling constraints. These findings support the view that unusually low trading volume signals negative information, since, under short-selling constraints, informed agents with bad news stay by the sidelines. Changes in visibility or risk-based explanations are insufficient...
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作者：McLean, R. David; Pontiff, Jeffrey
作者单位：DePaul University; Boston College
摘要：We study the out-of-sample and post-publication return predictability of 97 variables shown to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining effects. We estimate a 32% (58%-26%) lower return from publication-informed trading. Post-publication declines are greater for predictors with higher in-sample returns, and returns are higher for portfolios concentrate...
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作者：Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo
作者单位：University of Mannheim; Center for Economic & Policy Research (CEPR); University of Alabama System; University of Alabama Birmingham; Universidad Torcuato Di Tella; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：We show that consumption-based asset pricing models with time-separable preferences generate realistic amounts of stock price volatility if one allows for small deviations from rational expectations. Rational investors with subjective beliefs about price behavior optimally learn from past price observations. This imparts momentum and mean reversion into stock prices. The model quantitatively accounts for the volatility of returns, the volatility and persistence of the price-dividend ratio, and...
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作者：Brown, David P.; Wu, Youchang
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We develop a model of performance evaluation and fund flows for mutual funds in a family. Family performance has two effects on a member fund's estimated skill and inflows: a positive common-skill effect, and a negative correlated-noise effect. The overall spillover can be either positive or negative, depending on the weight of common skill and correlation of noise in returns. Its absolute value increases with family size, and declines over time. The sensitivity of flows to a fund's own perfor...
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作者：Arikan, Asli M.; Stulz, Rene M.
作者单位：University System of Ohio; Kent State University; Kent State University Salem; Kent State University Kent; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：Agency theories predict that older firms make value-destroying acquisitions to benefit managers. Neoclassical theories predict instead that such firms make wealth-increasing acquisitions to exploit underutilized assets. Using IPO cohorts, we establish that, while younger firms make more related and diversifying acquisitions than mature firms, the acquisition rate follows a U-shape over firms' life cycle. Consistent with neoclassical theories, we show that acquiring firms have better performanc...
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作者：Badoer, Dominique C.; James, Christopher M.
作者单位：University of Missouri System; University of Missouri Columbia; State University System of Florida; University of Florida
摘要：A significant proportion of the debt issued by investment-grade firms has maturities greater than 20 years. In this paper we provide evidence that gap-filling behavior is an important determinant of these very long-term issues. Using data on individual corporate debt issues between 1987 and 2009, we find that gap-filling behavior is more prominent in the very long end of the maturity spectrum where the required risk capital makes arbitrage costly. In addition, changes in the supply of long-ter...
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作者：Savor, Pavel; Wilson, Mungo
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Oxford; University of Oxford
摘要：Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk-based explanation for this phenomenon, whereby investors use announcements to revise their expectations for nonannouncing firms, but can only do so imperfectly. Consequently, the covariance between firm-specific and market cash flow news spikes around announcements, making announcers especially risky. Consistent with our hypothesis, announcer returns forecast aggregate earnings. The announcement pr...
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作者：Babenko, Ilona; Boguth, Oliver; Tserlukevich, Yuri
作者单位：Arizona State University; Arizona State University-Tempe
摘要：We show that unpriced cash flow shocks contain information about future priced risk. A positive idiosyncratic shock decreases the sensitivity of firm value to priced risk factors and simultaneously increases firm size and idiosyncratic risk. A simple model can therefore explain book-to-market and size anomalies, as well as the negative relation between idiosyncratic volatility and stock returns. Empirically, we find that anomalies are more pronounced for firms with high idiosyncratic cash flow...
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作者：Grundy, Bruce D.; Verwijmeren, Patrick
作者单位：University of Melbourne; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Firms do not historically call their convertible bonds as soon as conversion can be forced. A number of explanations for the delay rely on the size of the dividends that bondholders forgo so long as they do not convert. We investigate an important change in convertible security design, namely, dividend protection of convertible bond issues. Dividend protection means that the conversion value of the convertible bond is unaffected by dividend payments and thus dividend-related rationales for cal...
