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作者：Patton, Andrew J.; Ramadorai, Tarun; Streatfield, Michael
作者单位：Duke University; University of Oxford; University of Oxford; Centre for Economic Policy Research - UK; University of Oxford; University of Oxford
摘要：We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly-available hedge fund databases. Tracking changes to statements of historical performance recorded between 2007 and 2011, we find that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Funds that revise their performance histories significantly and predictably und...
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作者：Hanlon, Michelle; Maydew, Edward L.; Thornock, Jacob R.
作者单位：Massachusetts Institute of Technology (MIT); University of North Carolina; University of North Carolina Chapel Hill; University of Washington; University of Washington Seattle
摘要：We empirically investigate one form of illegal investor-level tax evasion and its effect on foreign portfolio investment. In particular, we examine a form of round-tripping tax evasion in which U.S. individuals hide funds in entities located in offshore tax havens and then invest those funds in U.S. securities markets. Employing Becker's () economic theory of crime, we identify the tax evasion component by examining how foreign portfolio investment varies with changes in the incentives to evad...
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作者：Kuhnen, Camelia M.
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This study asks whether investors learn differently from gains versus losses. I find experimental evidence that indicates that being in the negative domain leads individuals to form overly pessimistic beliefs about available investment options. This pessimism bias is driven by people reacting more to low outcomes in the negative domain relative to the positive domain. Such asymmetric learning may help explain documented empirical patterns regarding the differential role of poor versus good eco...
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作者：Arentsen, Eric; Mauer, David C.; Rosenlund, Brian; Zhang, Harold H.; Zhao, Feng
作者单位：University of Iowa; University of Texas System; University of Texas Dallas
摘要：We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage, and within these pools the loans originated after or shortly before the start of CDS coverage have an even higher delinquency rate. The results are robust across zip code and origination quarter cohorts. Overall, we show ...
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作者：Albuquerque, Rui; Schroth, Enrique
作者单位：Boston University; Universidade Catolica Portuguesa; City St Georges, University of London
摘要：We develop a search model of block trades that values the illiquidity of controlling stakes. The model considers several dimensions of illiquidity. First, following a liquidity shock, the controlling blockholder is forced to sell, possibly to a less efficient acquirer. Second, this sale may occur at a fire sale price. Third, absent a liquidity shock, a trade occurs only if a potential buyer arrives. Using a structural estimation approach and U.S. data on trades of controlling blocks of public ...
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作者：Ross, Steve
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We can only estimate the distribution of stock returns, but from option prices we observe the distribution of state prices. State prices are the product of risk aversion-the pricing kernel-and the natural probability distribution. The Recovery Theorem enables us to separate these to determine the market's forecast of returns and risk aversion from state prices alone. Among other things, this allows us to recover the pricing kernel, market risk premium, and probability of a catastrophe and to c...
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作者：Sundaresan, Suresh; Wang, Zhenyu
作者单位：Columbia University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Contingent capital (CC), which aims to internalize the costs of too-big-to-fail in the capital structure of large banks, has been under intense debate by policy makers and academics. We show that CC with a market trigger, in which direct stakeholders are unable to choose optimal conversion policies, does not lead to a unique competitive equilibrium unless value transfer at conversion is not expected ex ante. The no value transfer restriction precludes penalizing bank managers for taking excess...
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作者：Bouvard, Matthieu; Chaigneau, Pierre; de Motta, Adolfo
作者单位：McGill University; Universite de Montreal; HEC Montreal
摘要：We present a theory of optimal transparency when banks are exposed to rollover risk. Disclosing bank-specific information enhances the stability of the financial system during crises, but has a destabilizing effect in normal economic times. Thus, the regulator optimally increases transparency during crises. Under this policy, however, information disclosure signals a deterioration of economic fundamentals, which gives the regulator ex post incentives to withhold information. This commitment pr...
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作者：Beshears, John; Choi, James J.; Laibson, David; Madrian, Brigitte C.; Milkman, Katherine L.
作者单位：Harvard University; National Bureau of Economic Research; Yale University; University of Pennsylvania
摘要：Using a field experiment in a 401(k) plan, we measure the effect of disseminating information about peer behavior on savings. Low-saving employees received simplified plan enrollment or contribution increase forms. A randomized subset of forms stated the fraction of age-matched coworkers participating in the plan or age-matched participants contributing at least 6% of pay to the plan. We document an oppositional reaction: the presence of peer information decreased the savings of nonparticipant...
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作者：Garmaise, Mark J.
摘要：Borrower misreporting is associated with seriously adverse loan outcomes. Significantly more residential mortgage borrowers reported personal assets just above round number thresholds than just below. Borrowers who reported above-threshold assets were almost 25 percentage points more likely to become delinquent (mean delinquency was 20%). For applicants with unverified assets, the increase in delinquency was greater than 40 percentage points. Misreporting was most frequent in areas with low fi...
