Ditapis dengan
Opacity in Financial Markets
This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g. mutual funds) and opaque funds (e.g. hedge funds) trade transparent assets (e.g. plain-vanilla products) and opaque assets (e.g. structured products). Investors can observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with empir…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3502
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Media Makes Momentum
Relying on 2.2 million articles from 45 national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit ceteris paribus significantly stronger momentum. The effect depends on article tone, reverses in the long-run, is more pronounced for stocks with high uncertainty, and stronger in states with high investor individualism. Our findings sugg…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3467
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Does Media Coverage of Stocks Affect Mutual Funds? Trading and Performance?
We study the relation between mutual fund trades and mass media coverage of stocks. We find that funds exhibit persistent differences in their propensity to buy media-covered stocks. Moreover, this propensity is negatively related to their future performance. Funds in the highest propensity decile underperform funds in the lowest propensity decile by 1.1% to 2.8% per year. These results do not …
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3441
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
No News Is News: Do Markets Underreact to Nothing?
As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3389
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Common errors : How to (and Not to) Control for Unobserved Heterogeneity
Controlling for unobserved heterogeneity (or "common errors"), such as industry-specific shocks, is a fundamental challenge in empirical research. This paper discusses the limitations of two approaches widely used in corporate finance and asset pricing research: demeaning the dependent variable with respect to the group (e.g., "industry-adjusting") and adding the mean of the group's dependent v…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2702
When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hed…
Using a novel data set on correlation swaps, we study the relation between correlation risk, hedge fund characteristics, and their risk-return profile. We find that the ability of hedge funds to create market-neutral returns is often associated with a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models. We also estimate a signific…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2702
Asset Prices with Heterogeneity in Preferences and Beliefs
In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium endowment economy in which agents have "catching up with the Joneses" utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2702
The Economics of Solicited and Unsolicited Credit Ratings
This paper develops a dynamic rational expectations model of the credit rating process, incorporating three critical elements of this industry: (1) the rating agencies' ability to misreport the issuer's credit quality, (2) their ability to issue unsolicited ratings, and (3) their reputational concerns. We analyze the incentives of credit rating agencies to issue unsolicited credit ratings and t…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2702
Securitization and Loan Performance: Ex Ante and Ex Post Relations in the Mor…
This study examines the relation between securitization and loan performance using a comprehensive dataset from a major national mortgage lender. Loans remaining on the bank's balance sheet ex post incurred higher delinquency rates than sold loans, contrasting the negative relation between screening efforts and ex ante probability of loan sale explored by prior studies. Moreover, the performanc…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2702
Why did holdings of highly rated securitization tranches differ so much acros…
We provide estimates of holdings of highly rated securitization tranches of U.S. bank holding companies before the credit crisis and evaluate hypotheses that have been advanced to explain them. Whereas holdings exceeded Tier 1 capital for some large banks, they were economically trivial for the typical bank. Banks with high holdings were not riskier before the crisis using conventional measures…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2702
Procyclical Leverage and Value-at-Risk
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures the observed features. Under general conditions on the outcome distribution given by extreme value t…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2702
The Growth and Limits of Arbitrage: Evidence from Short Interest
We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross-section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has result…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Reg…
We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis t…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Resource Allocation within Firms and Financial Market Dislocation: Evidence f…
We argue and demonstrate that resource allocation within firms' internal capital markets provides an important force countervailing financial market dislocation. We estimate a structural model of internal capital markets to separately identify and quantify the forces driving the reallocation decision and illustrate how these forces interact with external capital market stress. The weaker (stron…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Internal Capital Market and Dividend Policies: Evidence From Business Groups
We argue that internal capital market imperatives of business groups i.e., reallocation of capital across group firms, influences an affiliated firm's dividend policy. Intuition is developed in a model in which business group insiders distribute dividends from cash-rich firms and use their share of payout to invest in other affiliated firms. Employing multi-country panel-data, we find support f…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Financial Flexibility, Risk Management, and Payout Choice
Both risk management and payout decisions affect a firm's financial flexibility—the ability to avoid costly financial distress as well as underinvestment. We provide evidence of substitution between hedging and payout decisions using samples of both financial and nonfinancial firms. We find that a more flexible distribution, favoring repurchases over dividends, is negatively related to financ…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expect…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Limited and Varying Consumer Attention: Evidence from Shocks to the Salience …
We explore dynamics of limited attention in the $35 billion market for checking overdrafts, using survey content as shocks to the salience of overdraft fees. Conditional on selection into surveys, individuals who face overdraft-related questions are less likely to incur a fee in the survey month. Taking multiple overdraft surveys builds a "stock" of attention that reduces overdrafts for up to t…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Repo runs
The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. In this paper, we develop a dynamic equilibrium model and analyze under what conditions such instability can be a consequence of market-wide changes in expectations. We derive a liquidity constraint and a collateral constraint that determine whether such ex…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Indikasi terjadinya ponzi scheme - affinity fraud dan faktor-faktor kerentana…
Penelitian ini bertujuan untuk mengetahui kondisi-kondisi yang mengindikasikan terjadinya Ponzi scheme dan affinity fraud pada bisnis biro perjalanan umrah PT First Anugerah Karya (First Travel) dan mengetahui faktor-faktor signifikan yang mempengaruhi jemaah First Travel menjadi korban fraud. Penelitian ini merupakan metode campuran dengan menggunakan data primer dan sekunder. Data primer yang…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- x, 147 p. : il. ; 30 cm
- Judul Seri
- -
- No. Panggil
- 11116
Karya Umum 
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Ilmu-ilmu Sosial 
Bahasa 
Ilmu-ilmu Murni 
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Kesenian, Hiburan, dan Olahraga 
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