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作者：Foucault, Thierry; Kadan, Ohad; Kandel, Eugene
作者单位：Hautes Etudes Commerciales (HEC) Paris; Washington University (WUSTL); Hebrew University of Jerusalem
摘要：We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade-off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for maker/taker pricing, and has implications for the effects of algorithmic trading on liquidity, volume, and welfare. Liquidity suppliers and liquidity demanders trading intensities reinforce each other, high...
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作者：Boguth, Oliver; Kuehn, Lars-Alexander
作者单位：Arizona State University; Arizona State University-Tempe; Carnegie Mellon University
摘要：We show that time variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross-sectional differences in the sensitivity of dividend volatility to consumption volatility. Stocks with volatile cash flows in u...
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作者：Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydro, Jose-Luis
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research; University of London; London Business School; Pompeu Fabra University
摘要：We analyze the impact of financial globalization on business cycle synchronization using a proprietary database on banks' international exposure for industrialized countries during 1978 to 2006. Theory makes ambiguous predictions and identification has been elusive due to lack of bilateral time-varying financial linkages data. In contrast to conventional wisdom and previous empirical studies, we identify a strong negative effect of banking integration on output synchronization, conditional on ...
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作者：Kaplan, Steven N.; Moskowitz, Tobias J.; Sensoy, Berk A.
作者单位：University of Chicago; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We examine the impact of short selling by conducting a randomized stock lending experiment. Working with a large, anonymous money manager, we create an exogenous and sizeable shock to the supply of lendable shares by taking high loan fee stocks in the manager's portfolio and randomly making available and withholding stocks from the lending market. The experiment ran in two independent phases: the first, from September 5 to 18, 2008, with over $580 million of securities lent, and the second, fr...
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作者：Covitz, Daniel; Liang, Nellie; Suarez, Gustavo A.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper documents runs on asset-backed commercial paper (ABCP) programs in 2007. We find that one-third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues, were related to program-level and macro-financial risks. These findings are consistent with the asymmetric information framework used to explain banking panics, have implications for commercial paper investors' degree of risk intolerance, and inform em...
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作者：Korniotis, George M.; Kumar, Alok
作者单位：University of Miami
摘要：This study examines whether local stock returns vary with local business cycles in a predictable manner. We find that U.S. state portfolios earn higher future returns when state-level unemployment rates are higher and housing collateral ratios are lower. During the 1978 to 2009 period, geography-based trading strategies earn annualized risk-adjusted returns of 5%. This abnormal performance reflects time-varying systematic risks and local-trading induced mispricing. Consistent with the misprici...
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作者：Acharya, Viral V.; Almeida, Heitor; Campello, Murillo
作者单位：National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
摘要：Banks can create liquidity for firms by pooling their idiosyncratic risks. As a result, bank lines of credit to firms with greater aggregate risk should be costlier and such firms opt for cash in spite of the incurred liquidity premium. We find empirical support for this novel theoretical insight. Firms with higher beta have a higher ratio of cash to credit lines and face greater costs on their lines. In times of heightened aggregate volatility, banks exposed to undrawn credit lines become ris...
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作者：Perez-Gonzalez, Francisco; Yun, Hayong
作者单位：Stanford University; National Bureau of Economic Research; Michigan State University; Michigan State University's Broad College of Business
摘要：This paper shows that active risk management policies lead to an increase in firm value. To identify the effect of hedging and to overcome endogeneity concerns, we exploit the introduction of weather derivatives as an exogenous shock to firms' ability to hedge weather risks. This innovation disproportionately benefits weather-sensitive firms, irrespective of their future investment opportunities. Using this natural experiment and data from energy firms, we find that derivatives lead to higher ...
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作者：Seppi, Duane J.
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作者：Garcia, Diego
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions p...
