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作者：Goldstein, Itay; Yang, Liyan
作者单位：University of Pennsylvania; University of Toronto
摘要：We analyze a model in which different traders are informed of different fundamentals that affect the security value. We identify a source for strategic complementarities in trading and information acquisition: aggressive trading on information about one fundamental reduces uncertainty in trading on information about the other fundamental, encouraging more trading and information acquisition on that fundamental. This tends to amplify the effect of exogenous changes in the underlying information...
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作者：Ewens, Michael; Rhodes-Kropf, Matthew
作者单位：Carnegie Mellon University; Harvard University
摘要：This paper investigates whether individual venture capitalists have repeatable investment skill and the extent to which their skill is impacted by the venture capital (VC) firm where they work. We examine a unique data set that tracks the performance of individual venture capitalists' investments over time and as they move between firms. We find evidence of skill and exit style differences even among venture partners investing at the same VC firm at the same time. Furthermore, our estimates su...
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作者：Krueger, Philipp; Landier, Augustin; Thesmar, David
作者单位：University of Geneva; University of Geneva; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
摘要：In this paper, we test whether firms properly adjust for risk in their capital budgeting decisions. If managers use a single discount rate within firms, we expect that conglomerates underinvest (overinvest) in relatively safe (risky) divisions. We measure division relative risk as the difference between the division's asset beta and a firm-wide beta. We establish a robust and significant positive relationship between division-level investment and division relative risk. Next, we measure the va...
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作者：Cheng, Ing-Haw; Hong, Harrison; Scheinkman, Jose A.
作者单位：Dartmouth College; Princeton University; Columbia University
摘要：Many believe that compensation, misaligned from shareholders' value due to managerial entrenchment, caused financial firms to take risks before the financial crisis of 2008. We argue that, even in a classical principal-agent setting without entrenchment and with exogenous firm risk, riskier firms may offer higher total pay as compensation for the extra risk in equity stakes borne by risk-averse managers. Using long lags of stock price risk to capture exogenous firm risk, we confirm our conject...
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作者：Hendershott, Terrence; Madhavan, Ananth
作者单位：University of California System; University of California Berkeley
摘要：Over-the-counter (OTC) markets dominate trading in many asset classes. Will electronic trading displace traditional OTC voice trading? Can electronic and voice systems coexist? What types of securities and trades are best suited for electronic trading? We study these questions by focusing on an innovation in electronic trading technology that enables investors to simultaneously search many bond dealers. We show that periodic one-sided electronic auctions are a viable and important source of li...
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作者：Kahl, Matthias; Shivdasani, Anil; Wang, Yihui
作者单位：University of Texas System; University of Texas Austin; University of North Carolina; University of North Carolina Chapel Hill; Fordham University
摘要：We analyze why firms use nonintermediated short-term debt by studying the commercial paper (CP) market. Using a comprehensive database of CP issuers and issuance activity, we show that firms use CP to provide start-up financing for capital investment. Firms' CP issuance is driven by a desire to minimize transaction costs associated with raising capital for new investment. We show that firms with high rollover risk are less likely to enter the CP market, borrow less CP, and borrow more from ban...
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作者：Chuprinin, Oleg; Massa, Massimo; Schumacher, David
作者单位：University of New South Wales Sydney; INSEAD Business School; McGill University
摘要：We study outsourcing relationships among international asset management firms. We find that, in companies that manage both outsourced and in-house funds, in-house funds outperform outsourced funds by 0.85% annually (57% of the expense ratio). We attribute this result to preferential treatment of in-house funds via the preferential allocation of IPOs, trading opportunities, and cross-trades, especially at times when in-house funds face steep outflows and require liquidity. We explain preferenti...
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作者：Doidge, Craig; Dyck, Alexander
作者单位：University of Toronto
摘要：We document important interactions between tax incentives and corporate policies using a quasi natural experiment provided by a surprise announcement that imposed corporate taxes on a group of Canadian publicly traded firms. The announcement caused a dramatic decrease in value. Prospective tax shields partially offset the losses, adding 4.6% to firm value on average, and vary with the tax status of the marginal investor. Further, firms adjust leverage, payout, cash holdings, and investment in ...
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作者：Campbell, John Y.; Cocco, Joao F.
作者单位：Harvard University; National Bureau of Economic Research; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：In this paper, we solve a dynamic model of households' mortgage decisions incorporating labor income, house price, inflation, and interest rate risk. Using a zero-profit condition for mortgage lenders, we solve for equilibrium mortgage rates given borrower characteristics and optimal decisions. The model quantifies the effects of adjustable versus fixed mortgage rates, loan-to-value ratios, and mortgage affordability measures on mortgage premia and default. Mortgage selection by heterogeneous ...
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作者：Makarov, Igor; Plantin, Guillaume
作者单位：University of London; London School Economics & Political Science
摘要：This paper develops a model of active asset management in which fund managers may forgo alpha-generating strategies, preferring instead to make negative-alpha trades that enable them to temporarily manipulate investors' perceptions of their skills. We show that such trades are optimally generated by taking on hidden tail risk, and are more likely to occur when fund managers are impatient and when their trading skills are scalable, and generate a high profit per unit of risk. We propose long-te...
