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作者：Sockin, Michael; Xiong, Wei
作者单位：University of Texas System; University of Texas Austin; Princeton University; National Bureau of Economic Research
摘要：This paper develops a model with a tractable log-linear equilibrium to analyze the effects of informational frictions in commodity markets. By aggregating dispersed information about the strength of the global economy among goods producers whose production has complementarity, commodity prices serve as price signals to guide producers' production decisions and commodity demand. Our model highlights important feedback effects of informational noise originating from supply shocks and futures mar...
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作者：Axelson, Ulf; Bond, Philip
作者单位：University of London; London School Economics & Political Science; University of Washington; University of Washington Seattle
摘要：Many finance jobs entail the risk of large losses, and hard-to-monitor effort. We analyze the equilibrium consequences of these features in a model with optimal dynamic contracting. We show that finance jobs feature high compensation, up-or-out promotion, and long work hours, and are more attractive than other jobs. Moral hazard problems are exacerbated in booms, even though pay increases. Employees whose talent would be more valuable elsewhere can be lured into finance jobs, while the most ta...
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作者：Bloomfield, Robert; O'Hara, Maureen; Saar, Gideon
作者单位：Cornell University
摘要：Using a laboratory market, we investigate how the ability to hide orders affects traders' strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different opacity regimes, however, most aggregate market outcomes (such as liquidity and informational efficien...
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作者：Aggarwal, Reena; Saffi, Pedro A. C.; Sturgess, Jason
作者单位：Georgetown University; University of Cambridge; DePaul University
摘要：This paper investigates voting preferences of institutional investors using the unique setting of the securities lending market. Investors restrict lendable supply and/or recall loaned shares prior to the proxy record date to exercise voting rights. Recall is higher for investors with greater incentives to monitor, for firms with poor performance or weak governance, and for proposals where returns to governance are likely higher. At the subsequent vote, recall is associated with less support f...
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作者：Jurek, Jakub W.; Stafford, Erik
作者单位：Princeton University; National Bureau of Economic Research; Harvard University
摘要：Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing strategies. We show that the high excess returns to hedge funds and put-writing are consistent with an equilibrium in which a small subset of investors specialize in bearing downside market risks. Required rates of return in such ...
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作者：Albuquerque, Rui; Wang, Neng
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作者：Jenter, Dirk; Kanaan, Fadi
作者单位：Stanford University; National Bureau of Economic Research
摘要：This paper shows that CEOs are fired after bad firm performance caused by factors beyond their control. Standard economic theory predicts that corporate boards filter out exogenous industry and market shocks from firm performance before deciding on CEO retention. Using a hand-collected sample of 3,365 CEO turnovers from 1993 to 2009, we document that CEOs are significantly more likely to be dismissed from their jobs after bad industry and, to a lesser extent, after bad market performance. A de...
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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：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：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...
