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作者：Goel, Anand M.; Thakor, Anjan V.
作者单位：Washington University (WUSTL)
摘要：We develop a model that shows that an overconfident manager, who sometimes makes value-destroying investments, has a higher likelihood than a rational manager of being deliberately promoted to CEO under value-maximizing corporate governance. Moreover, a risk-averse CEO's overconfidence enhances firm value up to a point, but the effect is nonmonotonic and differs from that of lower risk aversion. Overconfident CEOs also underinvest in information production. The board fires both excessively dif...
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作者：Lindsey, Laura
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This study documents a new value-added role of venture capitalists and addresses important questions about how resources are combined to create firms. As part of the nexus of contracts surrounding a firm, strategic alliances can be viewed as relational contracts that blur firm boundaries. This paper provides evidence that alliances are more frequent among companies sharing a common venture capitalist. The effect is concentrated in alliances in which contracting problems are more pronounced, co...
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作者：Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan
作者单位：Harvard University; National Bureau of Economic Research; Brandeis University
摘要：This paper explores the determinants of corporate failure and the pricing of financially distressed stocks whose failure probability, estimated from a dynamic logit model using accounting and market variables, is high. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with low failure risk. These patterns are more pronounced for...
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作者：Ozdenoren, Emre; Yuan, Kathy
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset prices determined if price affects fundamental value, which in turn affects price ? In this environment, by buying assets that others are buying, investors ensure high future cash flows for the firm and subsequent high returns for themselves. Hence, investors have an incentive to coordinate, which may generate self-fulfilling beliefs and multip...
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作者：Kaniel, Ron; Saar, Gideon; Titman, Sheridan
作者单位：Duke University; Cornell University; University of Texas System; University of Texas Austin
摘要：This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We document positive excess returns in the month following intense buying by individuals and negative excess returns after individuals sell, which we show is distinct from the previously shown past return or v...
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作者：John, Kose; Litov, Lubomir; Yeung, Bernard
作者单位：New York University; Washington University (WUSTL); National University of Singapore
摘要：Better investor protection could lead corporations to undertake riskier but value-enhancing investments. For example, better investor protection mitigates the taking of private benefits leading to excess risk-avoidance. Further, in better investor protection environments, stakeholders like creditors, labor groups, and the government are less effective in reducing corporate risk-taking for their self-interest. However, arguments can also be made for a negative relationship between investor prot...
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作者：Vayanos, Dimitri; Weill, Pierre-Olivier
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We propose a model in which assets with identical cash flows can trade at different prices. Infinitely lived agents can establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We show that short-sellers can endogenously concentrate in one asset because of search externalities and the constraint that they must deliver the asset they borrowed. That asset enjoys greater liquidity, a higher lending fee (specialness), and trades at a...
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作者：French, Kenneth R.
作者单位：Dartmouth College
摘要：I compare the fees, expenses, and trading costs society pays to invest in the U.S. stock market with an estimate of what would be paid if everyone invested passively. Averaging over 1980-2006, I find investors spend 0.67% of the aggregate value of the market each year searching for superior returns. Society's capitalized cost of price discovery is at least 10% of the current market cap. Under reasonable assumptions, the typical investor would increase his average annual return by 67 basis poin...
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作者：Brown, Jeffrey R.; Ivkovic, Zoran; Smith, Paul A.; Weisbenner, Scott
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Michigan State University
摘要：This paper establishes a causal relation between an individual's decision whether to own stocks and average stock market participation of the individual's community. We instrument for the average ownership of an individual's community with lagged average ownership of the states in which one's nonnative neighbors were born. Combining this instrumental variables approach with controls for individual and community fixed effects, a broad set of time-varying individual and community controls, and s...
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作者：Dai, Zhonglan; Maydew, Edward; Shackelford, Douglas A.; Zhang, Harold H.
作者单位：University of Texas System; University of Texas Dallas; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research
摘要：This paper demonstrates that the equilibrium impact of capital gains taxes reflects both the capitalization effect (i.e., capital gains taxes decrease demand) and the lock-in effect (i.e., capital gains taxes decrease supply). Depending on time periods and stock characteristics, either effect may dominate. Using the Taxpayer Relief Act of 1997 as our event, we find evidence supporting a dominant capitalization effect in the week following news that sharply increased the probability of a reduct...
