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作者：Pastor, Lubos; Stambaugh, Robert F.
作者单位：University of Chicago; National Bureau of Economic Research; University of Pennsylvania
摘要：We develop a framework for estimating expected returns-a predictive system-that allows predictors to be imperfectly correlated with the conditional expected return. When predictors are imperfect, the estimated expected return depends on past returns in a manner that hinges on the correlation between unexpected returns and innovations in expected returns. We find empirically that prior beliefs about this correlation, which is most likely negative, substantially affect estimates of expected retu...
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作者：Bhojraj, Sanjeev; Hribar, Paul; Picconi, Marc; Mcinnis, John
作者单位：Cornell University; University of Iowa; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Texas System; University of Texas Austin
摘要：This paper examines the performance consequences of cutting discretionary expenditures and managing accruals to exceed analyst forecasts. We show that firms that just beat analyst forecasts with low quality earnings exhibit a short-term stock price benefit relative to firms that miss forecasts with high quality earnings. This trend, however, reverses over a 3-year horizon. Additionally, firms reducing discretionary expenditures to beat forecasts have significantly greater equity issuances and ...
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作者：Cohen, Lauren; Schmidt, Breno
作者单位：Harvard University; University of Southern California; National Bureau of Economic Research
摘要：We explore a new channel for attracting inflows using a unique data set of corporate 401(k) retirement plans and their mutual fund family trustees. Families secure substantial inflows by being named trustee. We find that family trustees significantly overweight, and are reluctant to sell, their 401(k) client firm's stock. Trustee overweighting is more pronounced when the relationship is more valuable to the trustee family, and is concentrated in those funds receiving the greatest benefit from ...
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作者：Gillan, Stuart L.; Hartzell, Jay C.; Parrino, Robert
作者单位：Texas Tech University System; Texas Tech University; University of Texas System; University of Texas Austin
摘要：We report evidence on the determinants of whether the relationship between a firm and its Chief Executive Officer (CEO) is governed by an explicit (written) or an implicit agreement. We find that fewer than half of the CEOs of S&P 500 firms have comprehensive explicit employment agreements. Consistent with contracting theory, explicit agreements are more likely to be observed and are likely to have a longer duration in situations in which the sustainability of the relationship is less certain ...
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作者：Babenko, Ilona
作者单位：Hong Kong University of Science & Technology
摘要：I show that share repurchases increase pay-performance sensitivity of employee compensation and lead to greater employee effort and higher stock prices. Consistent with the model, I find that after repurchases, employees and managers receive fewer stock option and equity grants, and that the market reacts favorably to repurchase announcements when employees have many unvested stock options. Managers are more likely to initiate share repurchases when employees hold a large stake in the firm. Mo...
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作者：Li, Haitao; Wang, Junbo; Wu, Chunchi; He, Yan
作者单位：University of Michigan System; University of Michigan; City University of Hong Kong; University of Arkansas System; University of Arkansas Fayetteville; Singapore Management University; University of Missouri System; University of Missouri Columbia; Indiana University System; Indiana University Southeast
摘要：We provide a comprehensive empirical analysis of the effects of liquidity and information risks on expected returns of Treasury bonds. We focus on the systematic liquidity risk of Pastor and Stambaugh as opposed to the traditional microstructure-based measures of liquidity. Information risk is measured by the probability of information-based trading (PIN). We document a strong positive relation between expected Treasury returns and liquidity and information risks, controlling for the effects o...
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作者：Malloy, Christopher J.; Moskowitz, Tobias J.; Vissing-Jorgensen, Annette
作者单位：Harvard University; University of Chicago; National Bureau of Economic Research; University of Chicago; Northwestern University; National Bureau of Economic Research
摘要：We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting microlevel household consumption data, we show that long-run stockholder consumption risk better captures cross-sectional variation in average asset returns than aggregate or nonstockholder consumption risk, and implies more plausible risk aversion estimates. We find that risk aversion around 10 can match observed risk premia for the wealthiest stockholders acros...
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作者：Schneider, Jan
作者单位：University of California System; University of California Los Angeles
摘要：A large number of empirical studies find that trading volume contains information about the distribution of future returns. While these studies indicate that observing volume is helpful to an outside observer of the economy it is not clear how investors within the economy can learn from trading volume. In this paper, I show how trading volume helps investors to evaluate the precision of the aggregate information in the price. I construct a model that offers a closed-form solution of a rational...
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作者：Chang, Xin; Dasgupta, Sudipto
作者单位：Nanyang Technological University; Hong Kong University of Science & Technology
摘要：The notion that firms have a debt ratio target that is a primary determinant of financing behavior is influential in finance. Yet, how definitive is the evidence ? We address this issue by generating samples where financing is unrelated to a firm's current debt ratio or a target. We find that much of the available evidence in favor of target behavior based on leverage ratio changes can be reproduced for these samples. Taken together, our findings suggest that a number of existing tests of targ...
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作者：Bollen, Nicolas P. B.; Whaley, Robert E.
作者单位：Vanderbilt University
摘要：Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's exposure to risk factors. If exposures are assumed constant when, in fact, they vary through time, estimated abnormal returns may be incorrect. We employ an optimal changepoint regression that allows risk...
