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作者：Cookson, J. Anthony; Niessner, Marina; Schiller, Christoph
作者单位：University of Colorado System; University of Colorado Boulder; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Arizona State University; Arizona State University-Tempe
摘要：This paper studies whether social media sentiment predicts merger withdrawals. We find that a one-standard-deviation increase in social media sentiment after a merger announcement is associated with a 0.64 percentage point lower probability of withdrawal (16.6% of the average). This effect is unexplained by abnormal price reactions, traditional news, and analyst recommendations. Consistent with manager learning, the informativeness of social media strengthens after firms start corporate Twitte...
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作者：Schoar, Antoinette
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作者：Khorrami, Paymon; Mendo, Fernando
作者单位：Duke University; Pontificia Universidade Catolica do Rio de Janeiro
摘要：Why do fire sales occur if many risks are hedgeable? We study a version of Brunnermeier and Sannikov (2014, American Economic Review 104, 379-421) in which all fundamental risks can be hedged frictionlessly. Our analysis shows that fire sales are inherently self-fulfilling. Fundamental shocks can never cause fire sales, and an efficient, safe equilibrium exists. On the other hand, there exists an equilibrium in which agents coordinate fire sales on nonfundamental shocks. A simple refinement ba...
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作者：Barardehi, Yashar H.; Dixon, Peter; Liu, Qiyu
作者单位：Virginia Polytechnic Institute & State University; U.S. Securities & Exchange Commission (SEC)
摘要：We introduce a simple measure of informed trading risk, , the residual to liquidity quote-improvement-to-deterioration ratio times . When facing with increased informed trading risk, liquidity providers compete less to provide liquidity, reducing their undercutting activity. Reductions in undercutting leave footprints in trade and quote data that are captured by . Unlike prior measures, is easy to construct, can be computed intraday, and is orthogonal to liquidity. The measure outperforms prom...
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作者：Battiston, Diego; Blanes I Vidal, Jordi; Hortala-Vallve, Rafael; Lou, Dong
作者单位：University of Edinburgh; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology
摘要：We use granular data from an investment firm and a credible identification strategy to estimate the effect of financial advisors' incentives on client investments. Exploiting a natural experiment triggered by the 2018 implementation of Markets in Financial Instruments Directive II (MiFID II), we find that clients' investments respond strongly to changes in advisor incentives. Advisors react through multiple mechanisms: (i) inducing existing clients to bring in new money, (ii) channeling it to ...
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作者：Dai, Min; Qin, Cong; Wang, Neng
作者单位：Hong Kong Polytechnic University; Hong Kong Polytechnic University; Shanghai University of Finance & Economics
摘要：An investor receives utility bursts from realizing gains and losses at the individual stock level and dynamically allocates his mental budget between risky and risk-free assets at the trading account level. Using savings, he reduces his stockholdings and is more willing to realize losses. Using leverage, he increases his stockholdings beyond his mental budget and is more reluctant to realize losses. While leverage strengthens the disposition effect, introducing leverage constraints mitigates i...
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作者：Benhabib, Jess; Li, Zhaorui; Liu, Xuewen; Wang, Pengfei
作者单位：New York University; Shanghai Jiao Tong University; University of Hong Kong; Peking University
摘要：This paper studies asset pricing under expectations-based reference-dependent preferences in a general equilibrium framework. We show that reference-dependent preferences can generate self-fulfilling risk panics, producing sentiment-driven asset price fluctuations through a feedback loop between current prices and perceived future downside risk-dynamics impossible under standard expected utility. The model helps explain empirical puzzles including (i) excess volatility, (ii) asymmetric volatil...
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作者：Gertsberg, Marina
摘要：How did #MeToo alter collaboration between women and men? I show junior female researchers start fewer projects after #MeToo. A decrease in collaborations with male coauthors-especially new senior male coauthors at the same institution-largely explains the decline. The decrease is larger at universities with higher perceived harassment accusation risk and smaller where both women and men publicly express greater awareness of gender issues. I find no evidence that reduced collaboration improves...
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作者：Correa, Ricardo; He, Ai; Herpfer, Christoph; Lel, Ugur
作者单位：University of South Carolina System; University of South Carolina Columbia; University of Virginia; University System of Georgia; University of Georgia
摘要：Banks adjust loan spreads after observing natural disasters linked to climate change. We isolate this updating process by identifying loans to borrowers at risk of, but not directly affected by, such disasters. Loan spreads for these borrowers spike in both primary and secondary markets, while no such updating occurs for non-climate-related disasters. Evidence suggests a heightened perceived credit risk, which nonetheless cannot fully explain the increase in rates. Taken altogether, increased ...
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作者：Becht, Marco; Franks, Julian; Wagner, Hannes F.
摘要：We use large language models to analyze the content of 4,700 private meetings between a large active asset manager and its portfolio firms. The high-level meetings convey mostly soft information about the firm, and little about industry or market. Fund manager meetings focus on business models and financial metrics, while governance specialist meetings focus on environmental, social, and governance risks; 0.4% of meetings discuss material nonpublic information. Trades by fund managers increase...
