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作者：Haigh, MS; List, JA
作者单位：University System of Maryland; University of Maryland College Park
摘要：Two behavioral concepts, loss aversion and mental accounting, have been combined to provide a theoretical explanation of the equity premium puzzle. Recent experimental evidence supports the theory, as students' behavior has been found to be consistent with myopic loss aversion (MLA). Yet, much like certain anomalies in the realm of riskless decision-making, these behavioral tendencies may be attenuated among professionals. Using traders recruited from the CBOT, we do indeed find behavioral dif...
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作者：Malloy, CJ
作者单位：University of London; London Business School
摘要：I provide evidence that geographically proximate analysts are more accurate than other analysts. Stock returns immediately surrounding forecast revisions suggest that local analysts impact prices more than other analysts. These effects are strongest for firms located in small cities and remote areas. Collectively these results suggest that geographically proximate analysts possess an information advantage over other analysts, and that this advantage translates into better performance. The well...
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作者：Dow, J; Raposo, CC
作者单位：University of London; London Business School; Instituto Universitario de Lisboa
摘要：CEO compensation can influence the kinds of strategies that firms adopt. We argue that performance-related compensation creates an incentive to look for overly ambitious, hard to implement strategies. At a cost, shareholders can curb this tendency by precommitting to a regime of CEO overcompensation in highly changeable environments. Alternatively shareholders can commit to low CEO pay, although this requires a commitment mechanism (either by the board of the individual company, or by the soci...
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作者：Fang, LH
摘要：The relation between investment bank reputation and the price and quality of bond underwriting services is studied here. After controlling for endogeneity in issuer-underwriter matching, I find that reputable banks obtain lower yields and charge higher fees, but issuers' net proceeds are higher. These relations are pronounced in the junk-bond category, in which reputable banks' underwriting criteria are most stringent. These findings suggest that banks' underwriting decisions reflect reputatio...
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作者：Goettler, RL; Parlour, CA; Rajan, U
作者单位：Carnegie Mellon University; University of Michigan System; University of Michigan
摘要：We model a dynamic limit order market as a stochastic sequential game with rational traders. Since the model is analytically intractable, we provide an algorithm based on Pakes and McGuire (2001) to find a stationary Markov-perfect equilibrium. We then generate artificial time series and perform comparative dynamics. Conditional on a transaction, the midpoint of the quoted prices is not a good proxy for the true value. Further, transaction costs paid by market order submitters are negative on ...
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作者：Bernanke, BS; Kuttner, KN
作者单位：Federal Reserve System - USA; Princeton University; University System of Ohio; Oberlin College
摘要：This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives of both measuring the average reaction of the stock market and understanding the economic sources of that reaction. We find that, on average, a hypothetical unanticipated 25-basis-point cut in the Federal funds rate target is associated with about a 1% increase in broad stock indexes. Adapting a methodology due to Campbell and Ammer, we find that the effects of unanticipated monetary policy actio...
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作者：Cremers, KJM; Nair, VB
作者单位：University of Pennsylvania; Yale University
摘要：We investigate how the market for corporate control (external governance) and shareholder activism (internal governance) interact. A portfolio that buys firms with the highest level of takeover vulnerability and shorts firms with the lowest level of takeover vulnerability generates an annualized abnormal return of 10% to 15% only when public pension fund (blockholder) ownership is high as well. A similar portfolio created to capture the importance of internal governance generates annualized ab...
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作者：Casassus, J; Collin-Dufresne, P
作者单位：Pontificia Universidad Catolica de Chile; University of California System; University of California Berkeley
摘要：We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time-varying risk premia. Both may induce mean reversion in spot prices, albeit with very different economic implications. Empirical results show strong evidence for spot-price level dependence in convenience yields for crude oil and copper, which impli...
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作者：Goldstein, I; Pauzner, A
作者单位：University of Pennsylvania; Tel Aviv University
摘要：Diamond and Dybvig (1983) show that while demand-deposit contracts let banks provide liquidity, they expose them to panic-based bank runs. However, their model does not provide tools to derive the probability of the bank-run equilibrium, and thus cannot determine whether banks increase welfare overall. We study a modified model in which the fundamentals determine which equilibrium occurs. This lets us compute the ex ante probability of panic-based bank runs and relate it to the contract. We fi...
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作者：Pagano, M; Volpin, PF
作者单位：University of Naples Federico II; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：If management has high private benefits and a small equity stake, managers and workers are natural allies against takeover threats. Two forces are at play. First, managers can transform employees into a shark repellent through long-term labor contracts and thereby reduce the firm's attractiveness to raiders. Second, employees can act as white squires for the incumbent managers. To protect their high wages, they resist hostile takeovers by refusing to sell their shares to the raider or by lobby...
