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作者：Kelly, Bryan; Pastor, Lubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. To isolate political uncertainty, we exploit its variation around national elections and global summits. We find that political uncertainty is priced in the equity option market as predicted by theory. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the price, variance, and tail risks associated with politi...
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作者：Foucault, Thierry; Hombert, Johan; Rosu, Ioanid
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is fast), versus when he cannot (is slow). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with short-run price changes. Nevertheless, he realizes a large fraction of his profits from trading on long-term price changes. The fast speculator's behavior matches evidence about high-frequency traders. We predict...
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作者：[Anonymous]
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作者：Bernstein, Shai; Giroud, Xavier; Townsend, Richard R.
作者单位：Stanford University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Dartmouth College
摘要：We show that venture capitalists' (VCs) on-site involvement with their portfolio companies leads to an increase in both innovation and the likelihood of a successful exit. We rule out selection effects by exploiting an exogenous source of variation in VC involvement: the introduction of new airline routes that reduce VCs' travel times to their existing portfolio companies. We confirm the importance of this channel by conducting a large-scale survey of VCs, of whom almost 90% indicate that dire...
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作者：Levit, Doron; Malenko, Nadya
作者单位：University of Pennsylvania; Boston College
摘要：This paper studies how directors' reputational concerns affect board structure, corporate governance, and firm value. In our setting, directors affect their firms' governance, and governance in turn affects firms' demand for new directors. Whether the labor market rewards a shareholder-friendly or management-friendly reputation is determined in equilibrium and depends on aggregate governance. We show that directors' desire to be invited to other boards creates strategic complementarity of corp...
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作者：Han, Joongho; Park, Kwangwoo; Pennacchi, George
作者单位：Sungkyunkwan University (SKKU); Korea Advanced Institute of Science & Technology (KAIST); University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Most banks pay corporate income taxes, but securitization vehicles do not. Our model shows that, when a bank faces strong loan demand but limited deposit market power, this tax asymmetry creates an incentive to sell loans despite less-efficient screening and monitoring of sold loans. Moreover, loan-selling increases as a bank's corporate income tax rate and capital requirement rise. Our empirical tests show that U.S. commercial banks sell more of their mortgages when they operate in states tha...
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作者：Khanna, Vikramaditya; Kim, E. Han; Lu, Yao
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; Tsinghua University
摘要：We find that connections CEOs develop with top executives and directors through their appointment decisions increase the risk of corporate fraud. Appointment-based CEO connectedness in executive suites and boardrooms increases the likelihood of committing fraud and decreases the likelihood of detection. Additionally, it decreases the expected costs of fraud by helping conceal fraudulent activity, making CEO dismissal less likely upon discovery, and lowering the coordination costs of carrying o...
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作者：Cole, Shawn; Kanz, Martin; Klapper, Leora
作者单位：Harvard University; National Bureau of Economic Research; The World Bank
摘要：We conduct an experiment with commercial bank loan officers to test how performance compensation affects risk assessment and lending. High-powered incentives lead to greater screening effort and more profitable lending decisions. This effect is muted, however, by deferred compensation and limited liability, two standard features of loan officer compensation contracts. We find that career concerns and personality traits affect loan officer behavior, but show that the response to incentives does...
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作者：Agarwal, Vikas; Mullally, Kevin A.; Tang, Yuehua; Yang, Baozhong
作者单位：University System of Georgia; Georgia State University; University of Cologne; University System of Georgia; Georgia State University; Singapore Management University
摘要：We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those ho...
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作者：Bond, Philip; Goldstein, Itay
作者单位：University of Washington; University of Washington Seattle; University of Pennsylvania
摘要：Governments intervene in firms' lives in a variety of ways. To enhance the efficiency of government intervention, many researchers and policy makers call for governments to make use of information contained in stock market prices. However, price informativeness is endogenous to government policy. We analyze government policy in light of this endogeneity. In some cases, it is optimal for a government to commit to limit its reliance on market prices to avoid harming the aggregation of informatio...
