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作者：Cohen, Randolph B.; Polk, Christopher; Vuolteenaho, Tuomo
作者单位：Harvard University; University of London; London School Economics & Political Science
摘要：Most previous research tests market efficiency using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis of market efficiency and an asset pricing model. In contrast, we adopt the perspective of a buy-and-hold investor and examine stock price levels. For such an investor, the price level is more relevant than the short-horizon expected return, and betas of cash flow fundamentals are more important than high-frequency stock return betas. Ou...
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作者：Gil-Bazo, Javier; Ruiz-Verdu, Pablo
作者单位：Universidad Carlos III de Madrid
摘要：Gruber (1996) drew attention to the puzzle that investors buy actively managed equity mutual funds, even though on average such funds underperform index funds. We uncover another puzzling fact about the market for equity mutual funds: Funds with worse before-fee performance charge higher fees. This negative relation between fees and performance is robust and can be explained as the outcome of strategic fee-setting by mutual funds in the presence of investors with different degrees of sensitivi...
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作者：Cronqvist, Henrik; Heyman, Fredrik; Nilsson, Mattias; Svaleryd, Helena; Vlachos, Jonas
作者单位：University System of Ohio; Ohio State University; University of Colorado System; University of Colorado Boulder; Stockholm University; Research Institute of Industrial Economics (IFN)
摘要：Analyzing a panel that matches public firms with worker-level data, we find that managerial entrenchment affects workers' pay. CEOs with more control pay their workers more, but financial incentives through cash flow rights ownership mitigate such behavior. Entrenched CEOs pay more to employees closer to them in the corporate hierarchy, geographically closer to the headquarters, and associated with conflict-inclined unions. The evidence is consistent with entrenched CEOs paying more to enjoy p...
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作者：Cicero, David C.
作者单位：University of Delaware
摘要：I identify three option exercise strategies executives engage in, including (i) exercising with cash and immediately selling the shares, (ii) exercising with cash and holding the shares, and (iii) delivering some shares to the company to cover the exercise costs and holding the remaining shares. Stock price patterns suggest executives manipulate option exercises. They use private information to increase the profitability of all three strategies, and likely backdated some exercise dates in the ...
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作者：Hirshleifer, David; Lim, Sonya Seongyeon; Teoh, Siew Hong
作者单位：University of California System; University of California Irvine; DePaul University
摘要：Recent studies propose that limited investor attention causes market underreactions. This paper directly tests this explanation by measuring the information load faced by investors. The investor distraction hypothesis holds that extraneous news inhibits market reactions to relevant news. We find that the immediate price and volume reaction to a firm's earnings surprise is much weaker, and post-announcement drift much stronger, when a greater number of same-day earnings announcements are made b...
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作者：Kuhnen, Camelia M.
作者单位：Northwestern University
摘要：Business connections can mitigate agency conflicts by facilitating efficient information transfers, but can also be channels for inefficient favoritism. I analyze these two effects in the mutual fund industry and find that fund directors and advisory firms that manage the funds hire each other preferentially based on the intensity of their past interactions. I do not find evidence that stronger board-advisor ties correspond to better or worse outcomes for fund shareholders. These results sugge...
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作者：Stein, Jeremy C.
作者单位：Harvard University; National Bureau of Economic Research
摘要：Stock-market trading is increasingly dominated by sophisticated professionals, as opposed to individual investors. Will this trend ultimately lead to greater market efficiency ? I consider two complicating factors. The first is crowding-the fact that, for a wide range of unanchored strategies, an arbitrageur cannot know how many of his peers are simultaneously entering the same trade. The second is leverage-when an arbitrageur chooses a privately optimal leverage ratio, he may create a fire-sa...
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作者：Babenko, Ilona; Tserlukevich, Yuri
作者单位：Hong Kong University of Science & Technology
摘要：Employees tend to exercise stock options when corporate taxable income is high, shifting corporate tax deductions to years with higher tax rates. If firms paid employees the same dollar value in wages instead of stock options, the average annual tax bill for large U.S. companies would increase by $12.6 million, or 9.8%. These direct tax benefits of options increase in the convexity of the tax function. In addition, profitable firms can realize indirect tax benefits because stock options increa...
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作者：Kumar, Alok
作者单位：University of Texas System; University of Texas Austin
摘要：This study shows that the propensity to gamble and investment decisions are correlated. At the aggregate level, individual investors prefer stocks with lottery features, and like lottery demand, the demand for lottery-type stocks increases during economic downturns. In the cross-section, socioeconomic factors that induce greater expenditure in lotteries are associated with greater investment in lottery-type stocks. Further, lottery investment levels are higher in regions with favorable lottery...
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作者：Stango, Victor; Zinman, Jonathan
作者单位：University of California System; University of California Davis
摘要：Exponential growth bias is the pervasive tendency to linearize exponential functions when assessing them intuitively. We show that exponential growth bias can explain two stylized facts in household finance: the tendency to underestimate an interest rate given other loan terms, and the tendency to underestimate a future value given other investment terms. Bias matters empirically: More-biased households borrow more, save less, favor shorter maturities, and use and benefit more from financial a...
