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作者：Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan
作者单位：Columbia University; National Bureau of Economic Research; Cornell University
摘要：We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the data covariance structure better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, there is no evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasin...
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作者：Edmans, Alex
作者单位：University of Pennsylvania
摘要：This paper analyzes how blockholders can exert governance even if they cannot intervene in a firm's operations. Blockholders have strong incentives to monitor the firm's fundamental value because they can sell their stakes upon negative information. By trading on private information (following the Wall Street Rule), they cause prices to reflect fundamental value rather than current earnings. This in turn encourages managers to invest for long-run growth rather than short-term profits. Contrary...
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作者：Atanassov, Julian; Kim, E. Han
作者单位：University of Oregon; University of Michigan System; University of Michigan
摘要：Our results highlight the importance of interaction among management, labor, and investors in shaping corporate governance. We find that strong union laws protect not only workers but also underperforming managers. Weak investor protection combined with strong union laws are conducive to worker-management alliances, wherein poorly performing firms sell assets to prevent large-scale layoffs, garnering worker support to retain management. Asset sales in weak investor protection countries lead to...
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作者：Da, Zhi
作者单位：University of Notre Dame
摘要：I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the pe...
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作者：Choi, James J.; Laibson, David; Madrian, Brigitte C.; Metrick, Andrew
作者单位：Yale University; National Bureau of Economic Research; Harvard University; Harvard University
摘要：We show that individual investors over-extrapolate from their personal experience when making savings decisions. Investors who experience particularly rewarding outcomes from 401(k) saving-a high average and/or low variance return-increase their 401(k) savings rate more than investors who have less rewarding experiences. This finding is not driven by aggregate time-series shocks, income effects, rational learning about investing skill, investor fixed effects, or time-varying investor-level het...
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作者：Gomez, Juan-Pedro; Priestley, Richard; Zapatero, Fernando
作者单位：IE University; University of Southern California
摘要：This paper tests the cross-sectional implications of keeping-up-with-the-Joneses (KUJ) preferences in an international setting. When agents have KUJ preferences, in the presence of undiversifiable nonfinancial wealth, both world and domestic risk (the idiosyncratic component of domestic wealth) are priced, and the equilibrium price of risk of the domestic factor is negative. We use labor income as a proxy for domestic wealth and find empirical support for these predictions. In terms of explain...
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作者：Agarwal, Vikas; Daniel, Naveen D.; Naik, Narayan Y.
作者单位：University System of Georgia; Georgia State University; University of Cologne; Drexel University; University of London; London Business School
摘要：Using a comprehensive hedge fund database, we examine the role of managerial incentives and discretion in hedge fund performance. Hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the inclusion of high-water mark provisions in the incentive contracts, are associated with superior performance. The incentive fee percentage rate by itself does not explain performance. We also find that funds ...
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作者：Panageas, Stavros; Westerfield, Mark M.
作者单位：University of Pennsylvania; University of Southern California
摘要：We study the portfolio choice of hedge fund managers who are compensated by high-water mark contracts. We find that even risk-neutral managers do not place unbounded weights on risky assets, despite option-like contracts. Instead, they place a constant fraction of funds in a mean-variance efficient portfolio and the rest in the riskless asset, acting as would constant relative risk aversion (CRRA) investors. This result is a direct consequence of the in(de)finite horizon of the contract. We sh...
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作者：Kale, Jayant R.; Reis, Ebru; Venkateswaran, Anand
作者单位：University System of Georgia; Georgia State University; Bentley University; University System of Ohio; Miami University; Northwestern University
摘要：We investigate simultaneously the impact of promotion-based tournament incentives for VPs and equity-based (alignment) incentives for VPs and the chief executive officer (CEO) on firm performance. We find that tournament incentives, as measured by the pay differential between the CEO and VPs, relate positively to firm performance. The relation is more positive when the CEO nears retirement and less positive when the firm has a new CEO, and weakens further when the new CEO is an outsider. Our a...
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作者：Loutskina, Elena; Strahan, Philip E.
作者单位：University of Virginia; Boston College; University of Pennsylvania; National Bureau of Economic Research
摘要：Low-cost deposits and increased balance sheet liquidity raise banks' supply of illiquid loans more than loans easily sold or securitized. We exploit the inability of Fannie Mae and Freddie Mac to purchase jumbo mortgages to identify an exogenous change in liquidity. The volume of jumbo mortgage originations relative to nonjumbo originations increases with bank holdings of liquid assets and decreases with bank deposit costs. This result suggests that the increasing depth of the mortgage seconda...
