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作者：Loewenstein, M; Willard, GA
作者单位：University System of Maryland; University of Maryland College Park
摘要：Many models use noise trader risk and corresponding violations of the Law of One Price to explain pricing anomalies, but include a storage technology in perfectly elastic supply or unlimited asset liability. Storage allows aggregate consumption risk to differ from exogenous fundamental risk, but using aggregate consumption as a factor for asset returns can make noise trader risk superfluous. Using (i) limited asset liability and limited storage withdrawals, or (ii) an endogenous locally riskle...
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作者：Butler, Alexander W.; Grullon, Gustavo; Weston, James P.
作者单位：University of Texas System; University of Texas Dallas; Rice University
摘要：This paper provides a rational explanation for the apparent ability of managers to successfully time the maturity of their debt issues. We show that a structural break in excess bond returns during the early 1980s generates a spurious correlation between the fraction of long-term debt in total debt issues and future excess bond returns. Contrary to Baker, Taliaferro, and Wurgler (2006), we show that the presence of structural breaks can lead to nonsense regressions, whether or not there is any...
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作者：Garmaise, MJ; Moskowitz, TJ
作者单位：University of California System; University of California Los Angeles; University of Chicago; National Bureau of Economic Research
摘要：Using a unique sample of commercial loans and mergers between large banks, we provide micro-level (within-county) evidence linking credit conditions to economic development and find a spillover effect on crime. Neighborhoods that experience more bank mergers are subject to higher interest rates, diminished local construction, lower prices, an influx of poorer households, and higher property crime in subsequent years. The elasticity of property crime with respect to merger-induced banking conce...
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作者：Faccio, Mara; Masulis, Ronald W.; McConnell, John J.
作者单位：Vanderbilt University; Purdue University System; Purdue University
摘要：We analyze the likelihood of government bailouts of 450 politically connected firms from 35 countries during 1997-2002. Politically connected firms are significantly more likely to be bailed out than similar nonconnected firms. Additionally, politically connected firms are disproportionately more likely to be bailed out when the International Monetary Fund or the World Bank provides financial assistance to the firm's home government. Further, among bailed-out firms, those that are politically ...
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作者：Jin, YB; Jorion, P
作者单位：California State University System; California State University Northridge; University of California System; University of California Irvine
摘要：This paper studies the hedging activities of 119 U.S. oil and gas producers from 1998 to 2001 and evaluates their effect on firm value. Theories of hedging based on market imperfections imply that hedging should increase the firm's market value (MV). To test this hypothesis, we collect detailed information on the extent of hedging and on the valuation of oil and gas reserves. We verify that hedging reduces the firm's stock price sensitivity to oil and gas prices. Contrary to previous studies, ...
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作者：Hou, Kewei; Robinson, David T.
作者单位：University System of Ohio; Ohio State University; Duke University
摘要：Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error, capital structure, and persistent in-sample cash flow shocks do not explain this finding. Drawing on work in industrial organization, we posit that either barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk, or firms in highly concentrated industries ...
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作者：Dhaliwal, D; Li, OZ
作者单位：University of Arizona; University of Auckland; University of Notre Dame
摘要：We propose that ex-dividend day excess volume is motivated by tax heterogeneity among investors, and thus is increasing in investor tax heterogeneity. Institutional ownership is our measure of heterogeneity. Since investor heterogeneity is a concave function of institutional ownership, we hypothesize that ex-day volume is a concave function of institutional ownership. Cross-sectional tests support the tax-motivated trading hypothesis. Additional tests, using trade size and pension ownership as...
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作者：Baker, Malcolm; Taliaferro, Ryan; Wurgler, Jeffrey
作者单位：Harvard University; National Bureau of Economic Research; New York University
摘要：Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time-series version of Schultz's (2003, Journal of Finance 58, 483-517) pseudo market-timing bias. Using standard simulation techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, ins...
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作者：[Anonymous]
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作者：Gaspar, JM; Massa, M; Matos, P
作者单位：ESSEC Business School; INSEAD Business School; University of Southern California
摘要：We investigate whether mutual fund families strategically transfer performance across member funds to favor those more likely to increase overall family profits. We find that high family value funds (i.e., high fees or high past performers) overperform at the expense of low value funds. Such a performance gap is above the one existing between similar funds not affiliated with the same family. Better allocations of underpriced initial public offering deals and opposite trades across member fund...
