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作者：Von Gaudecker, Hans-Martin
作者单位：University of Bonn
摘要：Household investment mistakes are an important concern for researchers and policymakers alike. Portfolio underdiversification ranks among those mistakes that are potentially most costly. However, its roots and empirical importance are poorly understood. I estimate quantitatively meaningful diversification statistics and investigate their relationship with key variables. Nearly all households that score high on financial literacy or rely on professionals or private contacts for advice achieve r...
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作者：Kang, Johnny; Pflueger, Carolin E.
作者单位：University of British Columbia
摘要：We argue that corporate bond yields reflect fears of debt deflation. When debt is nominal, unexpectedly low inflation increases real liabilities and default risk. In a real business cycle model with optimal but infrequent capital structure choice, more uncertain or procyclical inflation leads to quantitatively important increases in corporate log yields in excess of default-free log yields. A panel of credit spread indexes from six developed countries shows that credit spreads rise by 14 basis...
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作者：Chiang, I-Hsuan Ethan; Hughen, W. Keener; Sagi, Jacob S.
作者单位：University of North Carolina; University of North Carolina Charlotte; University of North Carolina; University of North Carolina Chapel Hill
摘要：We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity returns. The fit is excellent in and out of sample. The extracted oil factors carry significant risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on characteristics and ...
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作者：Cespa, Giovanni; Vives, Xavier
作者单位：City St Georges, University of London; Centre for Economic Policy Research - UK
摘要：Short-termism need not breed informational price inefficiency even when generating beauty contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in retrospective learning to reassess inferences (about fundamentals) made during the trading game's early stages. This behavior introduces...
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作者：Karolyi, G. Andrew; Taboada, Alvaro G.
作者单位：Cornell University; University of Tennessee System; University of Tennessee Knoxville
摘要：We study how differences in bank regulation influence cross-border bank acquisition flows and share price reactions to cross-border deal announcements. Using a sample of 7,297 domestic and 916 majority cross-border deals announced between 1995 and 2012, we find evidence of a form of regulatory arbitrage whereby acquisition flows involve acquirers from countries with stronger regulations than their targets. Target and aggregate abnormal returns around deal announcements are positive and larger ...
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作者：Mian, Atif; Sufi, Amir; Trebbi, Francesco
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago; University of British Columbia; Canadian Institute for Advanced Research (CIFAR)
摘要：From 2007 to 2009, states without a judicial requirement for foreclosures were twice as likely to foreclose on delinquent homeowners. Analysis of borders of states with differing foreclosure laws reveals a discrete jump in foreclosure propensity as one enters nonjudicial states. Using state judicial requirement as an instrument for foreclosures, we show that foreclosures led to a large decline in house prices, residential investment, and consumer demand from 2007 to 2009. As foreclosures subsi...
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作者：Malinova, Katya; Park, Andreas
作者单位：University of Toronto; Copenhagen Business School
摘要：Facing increased competition over the last decade, many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and suppliers matters. Posted quotes adjust after the change in fee composition, but the transaction costs for liquidity demanders remain unaffe...
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作者：Jenter, Dirk; Lewellen, Katharina
作者单位：University of London; London School Economics & Political Science; Stanford University; National Bureau of Economic Research
摘要：This paper explores the impact of target CEOs' retirement preferences on takeovers. Using retirement age as a proxy for CEOs' private merger costs, we find strong evidence that target CEOs' preferences affect merger activity. The likelihood of receiving a successful takeover bid is sharply higher when target CEOs are close to age 65. Takeover premiums and target announcement returns are similar for retirement-age and younger CEOs, implying that retirement-age CEOs increase firm sales without s...
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作者：Becker, Bo; Ivashina, Victoria
作者单位：Stockholm School of Economics; Harvard University; National Bureau of Economic Research
摘要：This paper studies reaching for yieldinvestors' propensity to buy riskier assets to achieve higher yieldsin the corporate bond market. We show that insurance companies reach for yield in choosing their investments. Consistent with lower rated bonds bearing higher capital requirements, insurance firms prefer to hold higher rated bonds. However, conditional on credit ratings, insurance portfolios are systematically biased toward higher yield, higher CDS bonds. This behavior is related to the bus...
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作者：Singleton, Kenneth J.; Biais, Bruno; Roberts, Michael
