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作者：Albuquerque, Rui; Wang, Neng
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作者：Cremers, Martijn; Halling, Michael; Weinbaum, David
作者单位：University of Notre Dame; Utah System of Higher Education; University of Utah; Syracuse University
摘要：We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviat...
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作者：Gandhi, Priyank; Lustig, Hanno
作者单位：University of Notre Dame; University of California System; University of California Los Angeles
摘要：The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small-and medium-sized bank stocks, even though large banks are significantlymore levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small minus big, which has the right covariance with bank returns to explain the average risk-adjusted returns. This factormeasures size-dependent exposure to ...
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作者：Jenter, Dirk; Kanaan, Fadi
作者单位：Stanford University; National Bureau of Economic Research
摘要：This paper shows that CEOs are fired after bad firm performance caused by factors beyond their control. Standard economic theory predicts that corporate boards filter out exogenous industry and market shocks from firm performance before deciding on CEO retention. Using a hand-collected sample of 3,365 CEO turnovers from 1993 to 2009, we document that CEOs are significantly more likely to be dismissed from their jobs after bad industry and, to a lesser extent, after bad market performance. A de...
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作者：Sialm, Clemens; Starks, Laura T.; Zhang, Hanjiang
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research; Nanyang Technological University
摘要：Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. However, participants' inertia could be offset by DC plan sponsors, who adjust the plan's investment options. We examine these countervailing influences on flows into U.S. mutual funds. We find that flows into funds from DC assets are more volatile and exhibit more performance sensitivity than no...
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作者：Von Gaudecker, Hans-Martin
作者单位：University of Bonn
摘要：Household investment mistakes are an important concern for researchers and policymakers alike. Portfolio underdiversification ranks among those mistakes that are potentially most costly. However, its roots and empirical importance are poorly understood. I estimate quantitatively meaningful diversification statistics and investigate their relationship with key variables. Nearly all households that score high on financial literacy or rely on professionals or private contacts for advice achieve r...
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作者：Kang, Johnny; Pflueger, Carolin E.
作者单位：University of British Columbia
摘要：We argue that corporate bond yields reflect fears of debt deflation. When debt is nominal, unexpectedly low inflation increases real liabilities and default risk. In a real business cycle model with optimal but infrequent capital structure choice, more uncertain or procyclical inflation leads to quantitatively important increases in corporate log yields in excess of default-free log yields. A panel of credit spread indexes from six developed countries shows that credit spreads rise by 14 basis...
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作者：Chiang, I-Hsuan Ethan; Hughen, W. Keener; Sagi, Jacob S.
作者单位：University of North Carolina; University of North Carolina Charlotte; University of North Carolina; University of North Carolina Chapel Hill
摘要：We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity returns. The fit is excellent in and out of sample. The extracted oil factors carry significant risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on characteristics and ...
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作者：Cespa, Giovanni; Vives, Xavier
作者单位：City St Georges, University of London; Centre for Economic Policy Research - UK
摘要：Short-termism need not breed informational price inefficiency even when generating beauty contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in retrospective learning to reassess inferences (about fundamentals) made during the trading game's early stages. This behavior introduces...
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作者：Karolyi, G. Andrew; Taboada, Alvaro G.
作者单位：Cornell University; University of Tennessee System; University of Tennessee Knoxville
摘要：We study how differences in bank regulation influence cross-border bank acquisition flows and share price reactions to cross-border deal announcements. Using a sample of 7,297 domestic and 916 majority cross-border deals announced between 1995 and 2012, we find evidence of a form of regulatory arbitrage whereby acquisition flows involve acquirers from countries with stronger regulations than their targets. Target and aggregate abnormal returns around deal announcements are positive and larger ...
