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作者：Xiang, Haotian
作者单位：Peking University
摘要：Financial covenants influence firm behavior by state-contingently allocating decision rights. I develop a quantitative model with long-term debt where shareholders cannot commit to not dilute existing lenders with new debt issuances. Lenders intervene on covenant violations but cannot commit either to any debt restructuring plan ex ante. Counterfactual experiments suggest that financial covenants significantly reduce default probability and increase firm value. However, the value creation is l...
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作者：Barton, F. Jane; Burnett, Brian M.; Gunny, Katherine; Miller, Brian P.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); University of North Carolina; University of North Carolina Charlotte; University of Colorado System; University of Colorado Denver; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：This study demonstrates the importance of separating the probabilities of misstatement occurrence and detection when examining financial statement restatements. Despite the many benefits of examining the probability of restatements using traditional logistic models, interpretations of these models are clouded by partial observability-only subsequently detected misstatements are observable. We propose addressing this often overlooked issue by implementing a bivariate probit model with partial o...
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作者：Choe, Chongwoo; Cong, Jiajia; Wang, Chengsi
作者单位：Monash University; Fudan University
摘要：We study how a data-rich firm can benefit by unilaterally sharing its customer data with a data-poor competitor when the data can be used for price discrimination. By sharing data on the segment of market that is more loyal to the competitor and keeping the data on the competitor's most loyal segment to itself, the firm can induce the competitor to raise its price for consumers on which it does not have data. Such data sharing is an example of a fat-cat strategy as it softens price competition...
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作者：Fleming, Michael; Nguyen, Giang; Ruela, Francisco
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Chicago
摘要：This paper studies how a tick size change affects market quality, price discovery, and the competition for liquidity provision by dealers and high-frequency trading firms (HFTs) in the U.S. Treasury market. Using difference-in-differences regressions around the November 19, 2018, tick size reduction in the 2-year Treasury note and a similar change in the 2-year futures eight weeks later, we find significantly improved market quality. Moreover, dealers become more competitive in liquidity provi...
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作者：Chib, Siddhartha; Zhao, Lingxiao; Zhou, Guofu
作者单位：Washington University (WUSTL); Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：Starting from twelve distinct factors from the recent literature, plus twelve principal components (PCs) of anomalies unexplained by the initial factors, a Bayesian comparison of approximately seventeen million models in terms of marginal likelihoods and posterior model probabilities shows that {Mkt, MOM, IA, ROE, MGMT, PERF, PEAD, FIN}, plus the nonconsecutive principal components, {PC1, PC5, PC7} are the best supported risk factors. Pricing tests and annualized out-of-sample Sharpe ratios fo...
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作者：Lai, Sandy; Lin, Chen; Ma, Xiaorong
作者单位：National Taiwan University; University of Hong Kong; University of Macau
摘要：This paper studies the cost of capital effect of a major regulatory technology, or RegTech, event: the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system of the Securities and Exchange Commission in the period from 1993 to 1996. This event represents a largely exogenous shock to corporate information dissemination technologies, resulting in a considerable reduction in information acquisition costs for investors. Using a difference-in-differences r...
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作者：Mahieux, Lucas
作者单位：Tilburg University
摘要：In this paper, I analyze the joint design of capital requirements and fair value reporting rules for financial institutions with illiquid assets. I specifically examine how prudential regulation aimed at solving agency problems affects financial institutions' incentives to use Level 2 versus Level 3 fair value reporting, as well as financial stability. Crucially, Level 3 reporting allows financial institutions to use their private information, whereas Level 2 fair values are only measured with...
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作者：Moller, Stig Vinther; Pedersen, Thomas; Schutte, Erik Christian Montes; Timmermann, Allan
作者单位：Aarhus University; Danish Finance Institute; University of California System; University of California San Diego; Centre for Economic Policy Research - UK
摘要：We develop a new housing search index (HSI) extracted from online search activity on a limited set of keywords related to the house-buying process. We show that HSI has strong predictive power over subsequent changes in house prices, both in-sample and out-of-sample and after controlling for the effect of commonly used predictors, and relate our findings to models of search-induced frictions. Our results imply that search data can be used as an early indicator of where the market is going.
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作者：Chen, Huafeng (Jason); Chen, Jason Victor; Li, Feng
作者单位：Fudan University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Shanghai Jiao Tong University
摘要：This study quantifies the number of estimates involved in firms' accruals and examines whether it is informative about the relation between accruals and future earnings. We measure the number of estimates using the frequency of the use of the word estimate in the qualitative portions of a firm's Notes to the Financial Statements (footnotes). Motivated by arguments regarding the impact of estimation errors in accruals, we hypothesize and find that the accruals of firms that have more estimates ...
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作者：Grigoris, Fotis; Segalb, Gill
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of North Carolina; University of North Carolina Chapel Hill
摘要：We study the interaction of flexible capital utilization and depreciation for expected returns and investment of firms. Empirically, an investment strategy that buys (sells) equities with low (high) utilization rates earns 5% per annum. Utilization predicts excess returns beyond other production-based variables. We reconcile this novel utilization premium quantitatively using a production model. The model suggests that flexible utilization is important for matching the cross-sectional distribu...
