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作者：Beber, Alessandro; Pagano, Marco
作者单位：University of Naples Federico II
摘要：Most regulators around the world reacted to the 200709 crisis by imposing bans on short selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks, and featured varying degrees of stringency. We exploit this variation in short-sales regimes to identify their effects on liquidity, price discovery, and stock prices. Using panel and matching techniques, we find that bans (i) were detrimental for liquidity, especially for stocks with s...
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作者：Eiling, Esther
作者单位：University of Toronto
摘要：Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross-section of expected stock returns is primarily affected by industry-level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find th...
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作者：Philippon, Thomas; Schnabl, Philipp
作者单位：New York University; National Bureau of Economic Research
摘要：We analyze government interventions to recapitalize a banking sector that restricts lending to firms because of debt overhang. We find that the efficient recapitalization program injects capital against preferred stock plus warrants and conditions implementation on sufficient bank participation. Preferred stock plus warrants reduces opportunistic participation by banks that do not require recapitalization, although conditional implementation limits free riding by banks that benefit from lower ...
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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：Spiegel, Matthew; Tookes, Heather
作者单位：Yale University
摘要：We model the interactions between product market competition and investment valuation within a dynamic oligopoly. To our knowledge, the model is the first continuous-time corporate finance model in a multiple firm setting with heterogeneous products. The model is tractable and amenable to estimation. We use it to relate current industry characteristics with firm value and financial decisions. Unlike most corporate finance models, it produces predictions regarding parameter magnitudes as well t...
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作者：Conrad, Jennifer; Dittmar, Robert F.; Ghysels, Eric
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：We use option prices to estimate ex ante higher moments of the underlying individual securities risk-neutral returns distribution. We find that individual securities risk-neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross-section, and more ex ante negatively (positively) skewed returns yield subsequent higher (lower) returns. We analyze ...
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作者：Dellavigna, Stefano; Pollet, Joshua M.
作者单位：University of California System; University of California Berkeley; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Using demand shifts induced by demographics, we evaluate capital budgeting and market timing. Capital budgeting implies that industries anticipating positive demand shifts in the near future should issue more equity to finance greater capacity. To the extent that demand shifts in the distant future are not incorporated into equity prices, market timing implies that industries anticipating positive shifts in the distant future should issue less equity due to undervaluation. The evidence support...
