-
作者：Bradley, Daniel; Gokkaya, Sinan; Liu, Xi; Michaely, Roni
作者单位：State University System of Florida; University of South Florida; University System of Ohio; Ohio University; University System of Ohio; Miami University; University of Hong Kong; European Corporate Governance Institute
摘要：Washington policy research analysts (WAs) monitor political developments and produce research to interpret the impact of these events. We find institutional clients channel more commissions to brokerages providing policy research and commission-allocating institutional clients generate superior returns on their politically sensitive trades. We find that WA policy research reports are associated with significant price and volume reactions. Finally, we find sell-side analysts with access to WA i...
-
作者：Yang, Bicheng; Chan, Tat; Owan, Hideo; Tsuru, Tsuyoshi
作者单位：Hong Kong Polytechnic University; Washington University (WUSTL); Waseda University; Hitotsubashi University
摘要：This paper empirically studies the extent to which career concerns as part of a typical contract offer influence employees' work performance in a Japanese auto dealership firm. Because career movements and base-wage adjustments rely on performance evaluation over time, we develop a dynamic structural model that allows concerns for future payoffs to impact an employee's current work effort. A reform in personnel-management policies of the firm during the data period enables us not only to compa...
-
作者：Flory, Jeffrey A.; Leibbrandt, Andreas; Rott, Christina; Stoddard, Olga
作者单位：Claremont Colleges; Claremont Graduate University; Claremont McKenna College; Monash University; Vrije Universiteit Amsterdam; Tinbergen Institute; Brigham Young University
摘要：We conduct a large-scale natural field experiment with a Fortune 500 company to test several light-touch approaches to attract minorities to high-profile positions. A total of 5,000 prospective applicants were randomized into treatments that vary a small portion of recruiting materials. We find that self-selection at two early-career stages exhibits a substantial race gap. We then show that this gap can be strongly influenced by several treatments, with some closing the race gap and increasing...
-
作者：Chiong, Khai Xiang; Shum, Matthew; Webb, Ryan; Chen, Richard
作者单位：University of Texas System; University of Texas Dallas; California Institute of Technology; University of Toronto
摘要：Endogenous response time data are increasingly becoming available to applied researchers of economic choices. However, the usefulness of such data for preference estimation is unclear. Here, we adapt a sequential sampling model-previously validated to jointly explain subjects' choices and response times in laboratory experiments-to model users' responses to video advertisements on mobile devices in a field setting. Our estimates of utility correlate positively with out-of-sample measures of ad...
-
作者：Li, Xiao; Ng, Jeffrey; Saffar, Walid
作者单位：Central University of Finance & Economics; University of Hong Kong; Hong Kong Polytechnic University
摘要：International Financial Reporting Standard (IFRS) 9 is of practical relevance to banks because it requires intense monitoring of borrowers to record timely loan losses. Using data from 50 countries, we find that accounting-driven bank monitoring due to IFRS 9 adoption reduces firms' reliance on bank debt relative to public debt. This finding is consistent with firms experiencing more costly bank monitoring after a shift in regulatory reporting that requires banks to monitor borrowers more inte...
-
作者：Benos, Evangelos; Huang, Wenqian; Menkveld, Albert; Vasios, Michalis
作者单位：University of Nottingham; Bank for International Settlements (BIS); Vrije Universiteit Amsterdam
摘要：Fragmenting clearing across multiple central counterparties (CCPs) is costly because global dealers cannot net positions across CCPs. They have to collateralize both the short position in one CCP and an offsetting long position in another CCP. This, coupled with a structural net order imbalance across CCPs, can cause prices to persistently differ across them (the CCP basis). Tests based on unique CCP data for interest -rate derivatives (IRDs) yield broad empirical support for this intuition an...
-
作者：Aloosh, Arash; Li, Jiasun
作者单位：George Mason University
摘要：We use the internal trading records of a major Bitcoin exchange leaked by hackers to detect and characterize wash trading-a type of market manipulation in which a single trader clears the trader's own limit orders to cook transaction records. Our finding provides direct evidence for the widely suspected fake volume allegation against cryptocurrency exchanges, which has so far only been backed by indirect estimation. We then use our direct evidence to evaluate various indirect techniques for de...
-
作者：Asparouhova, Elena; Bossaerts, Peter; Yang, Wenhao
作者单位：Utah System of Higher Education; University of Utah; University of Cambridge; University of North Carolina; University of North Carolina Charlotte
摘要：This study tests the rationality of the decisions to purchase information, the informational efficiency of prices, and the optimality of the resulting allocations in decentralized markets with a series of laboratory experiments. The theory predicts that markets with dispersed information and natural buyers and sellers converge to a fully revealing equilibrium. It is profitable to pay for information, and as such, the Grossman-Stiglitz paradox does not emerge. Statistically significant improvem...
-
作者：Brockman, Paul; Subasi, Musa; Wang, Jeff; Zhang, Eliza
作者单位：Lehigh University; University System of Maryland; University of Maryland College Park; California State University System; San Diego State University; University of Washington; University of Washington Tacoma
摘要：Do credit rating agencies (CRAs) learn from the options market? We examine this question by exploring the relation between options trading activity and credit rating accuracy. We find that as options trading volume increases, credit ratings become more responsive to expected credit risk and exhibit greater ability to predict future defaults. We also find that CRAs rely more on the options market as a source of ratings-related information when firm default risk is higher, options trading is mor...
-
作者：Chabi-Yo, Fousseni; Loudis, Johnathan A.
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Notre Dame
摘要：We develop a methodology to decompose the conditional market risk premium and risk premia on higher-order moments of excess market returns into risk premia related to contingent claims on down, up, and moderate market returns. The decomposition exploits information about the risk-neutral market return distribution embedded in option prices, but does not depend on assumptions about the functional form of investor preferences or about the market return distribution. The total market risk premium...
