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作者：Bradley, Daniel; Clarke, Jonathan; Lee, Suzanne; Ornthanalai, Chayawat
作者单位：State University System of Florida; University of South Florida; University System of Georgia; Georgia Institute of Technology; University of Toronto
摘要：We demonstrate that time stamps reported in I/B/E/S for analysts' recommendations released during trading hours are systematically delayed. Using newswire-reported time stamps, we find 30-minute returns of 1.83% (-2.10%) for upgrades (downgrades), but for this subset of recommendations we find corresponding returns of -0.07% (-0.09%) using I/B/E/S-reported time stamps. We also examine the information content of recommendations relative to management guidance and earnings announcements. Our evi...
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作者：Johannes, Michael; Korteweg, Arthur; Polson, Nicholas
作者单位：Columbia University; Stanford University; University of Chicago
摘要：This paper finds statistically and economically significant out-of-sample portfolio benefits for an investor who uses models of return predictability when forming optimal portfolios. Investors must account for estimation risk, and incorporate an ensemble of important features, including time-varying volatility, and time-varying expected returns driven by payout yield measures that include share repurchase and issuance. Prior research documents a lack of benefits to return predictability, and o...
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作者：Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno
作者单位：National Bureau of Economic Research
摘要：We show that the price of a Treasury bond and an inflation-swapped Treasury Inflation-Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS-Treasury mispricing has exceeded $56 billion, representing nearly 8% of the total amount of TIPS outstanding. We find direct evidence that the mispricing narrows as additional capital flows into the mar...
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作者：Donangelo, Andres
作者单位：University of Texas System; University of Texas Austin
摘要：Labor mobility is the flexibility of workers to walk away from an industry in response to better opportunities. I develop a model in which labor flows make bad times worse for shareholders who are left with capital that is less productive. The model shows that firms face greater operating leverage by providing flexibility to mobile workers. I construct an empirical measure of labor mobility consistent with the model and document an economically significant cross-sectional relation between mobi...
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作者：Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; Mehl, Arnaud
作者单位：Columbia University; National Bureau of Economic Research; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin
摘要：We analyze the transmission of the 2007 to 2009 financial crisis to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the United States and the global financial sector, the effects are small. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its severi...
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作者：Friewald, Nils; Wagner, Christian; Zechner, Josef
作者单位：Vienna University of Economics & Business; Copenhagen Business School
摘要：We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. ...
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作者：Chemla, Gilles; Hennessy, Christopher A.
作者单位：Centre National de la Recherche Scientifique (CNRS); Center for Economic & Policy Research (CEPR); University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：What determines securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase expected asset quality, subsequently having private information regarding quality when selling ABS to rational investors. Absent regulation, originators may signal positive information via junior retentions or commonly adopt low retentions if funding value and price informativeness are high. Effort incentives are below fi...
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作者：Loughran, Tim; Mcdonald, Bill
作者单位：University of Notre Dame
摘要：Defining and measuring readability in the context of financial disclosures becomes important with the increasing use of textual analysis and the Securities and Exchange Commission's plain English initiative. We propose defining readability as the effective communication of valuation-relevant information. The Fog Index-the most commonly applied readability measure-is shown to be poorly specified in financial applications. Of Fog's two components, one is misspecified and the other is difficult t...
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作者：Singleton, Kenneth J.
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作者：Calvet, Laurent E.; Sodini, Paolo
作者单位：Hautes Etudes Commerciales (HEC) Paris; Stockholm School of Economics
摘要：This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also affects risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our microfindings lend strong support to ...
