-
作者：Fracassi, Cesare; Tate, Geoffrey
作者单位：University of Texas System; University of Texas Austin; University of California System; University of California Los Angeles
摘要：We use panel data on S&P 1500 companies to identify external network connections between directors and CEOs. We find that firms with more powerful CEOs are more likely to appoint directors with ties to the CEO. Using changes in board composition due to director death and retirement for identification, we find that CEO-director ties reduce firm value, particularly in the absence of other governance mechanisms to substitute for board oversight. Moreover, firms with more CEO-director ties engage ...
-
作者：Kaniel, Ron; Liu, Shuming; Saar, Gideon; Titman, Sheridan
作者单位：University of Rochester; California State University System; San Francisco State University; Cornell University; University of Texas System; University of Texas Austin
摘要：This paper provides evidence of informed trading by individual investors around earnings announcements using a unique data set of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose abnormal returns following the event into information and liquidity provision components, and show that about half of the returns can be attributed to private information. We also ...
-
作者：Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
作者单位：Leibniz University Hannover; City St Georges, University of London
摘要：We investigate the relation between global foreign exchange (FX) volatility risk and the cross section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high interest rate currencies, so-called carry trades. We find that high interest rate currencies are negatively related to innovations in global FX volatility, and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies provide a hedge by yiel...
-
作者：Julio, Brandon; Yook, Youngsuk
作者单位：University of London; London Business School; Sungkyunkwan University (SKKU)
摘要：We document cycles in corporate investment corresponding with the timing of national elections around the world. During election years, firms reduce investment expenditures by an average of 4.8% relative to nonelection years, controlling for growth opportunities and economic conditions. The magnitude of the investment cycles varies with different country and election characteristics. We investigate several potential explanations and find evidence supporting the hypothesis that political uncert...
-
作者：Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of Oxford; University of Oxford
摘要：Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four-factor model, the inclusion of this liquidity risk premium reduces alpha to zero. In addition, we provide evidence that the link be...
-
作者：Grullon, Gustavo; Lyandres, Evgeny; Zhdanov, Alexei
作者单位：Rice University; Boston University; University of Lausanne
摘要：We provide evidence that the positive relation between firm-level stock returns and firm-level return volatility is due to firms real options. Consistent with real option theory, we find that the positive volatility-return relation is much stronger for firms with more real options and that the sensitivity of firm value to changes in volatility declines significantly after firms exercise their real options. We reconcile the evidence at the aggregate and firm levels by showing that the negative ...
-
作者：Solomon, David H.
作者单位：University of Southern California
摘要：I examine how media coverage of good and bad corporate news affects stock prices, by studying the effect of investor relations (IR) firms. I find that IR firms spin their clients news, generating more media coverage of positive press releases than negative press releases. This spin increases announcement returns. Around earnings announcements, however, IR firms cannot spin the news and their clients returns are significantly lower. This pattern is consistent with positive media coverage increa...
-
作者：Gande, Amar; Saunders, Anthony
作者单位：Southern Methodist University; New York University
摘要：Secondary market trading in loans elicits a significant positive stock price response by a borrowing firms equity investors. We find the major reason for this response is the alleviation of borrowing firms financial constraints. We also find that new loan announcements are associated with a positive stock price effect even when prior loans made to the same borrower already trade on the secondary market. We conclude that the special role of banks has changed due to their ability to create an ac...
-
作者：Guthrie, Katherine; Sokolowsky, Jan; Wan, Kam-Ming
作者单位：William & Mary; University of Michigan System; University of Michigan; Hong Kong Polytechnic University
摘要：Chhaochharia and Grinstein estimate that CEO pay decreases 17% more in firms that were not compliant with the recent NYSE/Nasdaq board independence requirement than in firms that were compliant. We document that 74% of this magnitude is attributable to two outliers of 865 sample firms. In addition, we find that the compensation committee independence requirement increases CEO total pay, particularly in the presence of effective shareholder monitoring. Our evidence casts doubt on the effectiven...
-
作者：He, Jie (Jack); Qian, Jun (QJ); Strahan, Philip E.
作者单位：University System of Georgia; University of Georgia; Boston College; National Bureau of Economic Research
摘要：Initial yields on both AAA-rated and non-AAA rated mortgage-backed security (MBS) tranches sold by large issuers are higher than yields on similar tranches sold by small issuers during the market boom years of 2004 to 2006. Moreover, the prices of MBS sold by large issuers drop more than those sold by small issuers, and the differences are concentrated among tranches issued during 2004 to 2006. These results suggest that investors price the risk that large issuers received more inflated rating...
