Ditapis dengan
Preventing Zombie Lending
Because of limited liability, insolvent banks have an incentive to continue lending to insolvent borrowers, in order to hide losses and gamble for resurrection, even though this is socially inefficient. We suggest a scheme that regulators could use to solve this problem. The scheme would induce banks to reveal their bad loans, which can then be dealt with. Bank participation in the scheme would…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Speculation and Hedging in Segmented Markets
We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market—some trade for speculation and others for hedging—and thus they may respond to the same information in opposite directions. This implies that addin…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Optimal Portfolio Choice with Predictability in House Prices and Transaction …
We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing portfolio share immediately after moving to a …
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Expected Returns and Dividend Growth Rates Implied by Derivative Markets
The dividend-price ratio is a noisy proxy for expected returns when expected dividend growth is time-varying. This paper uses a new and forward-looking measure of dividend growth extracted from S&P 500 futures and options to correct the dividend-price ratio for changes in expected dividend growth. Over January 1994 through June 2011, dividend growth implied by derivative markets reliably foreca…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Do Dark Pools Harm Price Discovery?
Dark pools are equity trading systems that do not publicly display orders. Dark pools offer potential price improvements but do not guarantee execution. Informed traders tend to trade in the same direction, crowd on the heavy side of the market, and face a higher execution risk in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive to informed traders, and…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Expectations of Returns and Expected Returns
We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence i…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Bond Supply and Excess Bond Returns
We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the mo…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
The Consequences of Entrepreneurial Finance: Evidence from Angel Financings
This article documents the fact that ventures funded by two successful angel groups experience superior outcomes to rejected ventures: They have improved survival, exits, employment, patenting, Web traffic, and financing. We use strong discontinuities in angel- funding behavior over small changes in their collective interest levels to implement a regression discontinuity approach. We confirm th…
- Edisi
- Vol. 27 No. 1, Jan 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 372 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2701
Entrepreneurial Finance and Innovation: An Introduction and Agenda for Future…
The increasingly large role played by financial intermediaries, such as venture capitalists and angels, in nurturing entrepreneurial firms and in promoting product market innovation has led to great research interest in the area of entrepreneurial finance and innovation. This paper introduces the special issue of the Review of Financial Studies dedicated to entrepreneurial finance and innovatio…
- Edisi
- Vol. 27 No. 1, Jan 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 372 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2701
Money Left on the Table: An Analysis of Participation in Employee Stock Purch…
We analyze participation decisions in employee stock purchase plans. These plans allow employees to buy company stock at a discount from the market price and resell it immediately for a sure profit. Although an average employee stands to gain $3,079 annually, only 30% of individuals take advantage of this risk-free opportunity. Participation is more likely among employees who are familiar with …
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3658
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Cash-Flow Sensitivities and the Allocation of Internal Cash Flow
We study how firms allocate cash flow by estimating the cash-flow sensitivities of various uses of cash flow. We decompose cash flow into a transitory and a permanent component and focus on the allocation of the transitory component, which by construction contains little information about future growth opportunities. We find that more financially constrained firms allocate more transitory cash …
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3628
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
What Happens in Nevada? Self-Selecting into Lax Law
We find that Nevada, the second most popular state for out-of-state incorporations and a state with lax corporate law, attracts firms that are 30-40% more likely to report financial results that later require restatement than firms incorporated in other states, including Delaware. Our results suggest that firms favoring protections for insiders select Nevada as a corporate home, and these firms…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3593
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Strategic Complementarity, Fragility, and Regulation
The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure (precisions of public and private information), and the level of stress indicators in the market impin…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3547
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
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
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