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作者：Almeida, Heitor; Kim, Chang-Soo; Kim, Hwanki Brian
作者单位：Yonsei University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper examines capital reallocation among firms in Korean business groups (chaebol) in the aftermath of the 1997 Asian financial crisis, and the consequences of this capital reallocation for the investment and performance of chaebol firms. We show that chaebol transferred cash from low-growth to high-growth member firms, using cross-firm equity investments. This capital reallocation allowed chaebol firms with greater investment opportunities to invest more than control firms after the cri...
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作者：Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Tsinghua University; Shanghai Jiao Tong University; University of Pennsylvania
摘要：Buying is easier than shorting for many equity investors. Combining this arbitrage asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially fo...
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作者：Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert
作者单位：Bocconi University; Harvard University; University of Chicago
摘要：We present a new model of investors delegating portfolio management to professionals based on trust. Trust in the manager reduces an investor's perception of the riskiness of a given investment, and allows managers to charge fees. Money managers compete for investor funds by setting fees, but because of trust, fees do not fall to costs. In equilibrium, fees are higher for assets with higher expected return, managers on average underperform the market net of fees, but investors nevertheless pre...
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作者：Lucca, David O.; Moench, Emanuel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee (FOMC) in the past few decades. These pre-FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre-FOMC returns, we find no such effect in U.S. Treasury securities and money market futures. Other major U.S...
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作者：Bolton, Patrick; Oehmke, Martin
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Derivatives enjoy special status in bankruptcy: they are exempt from the automatic stay and effectively senior to virtually all other claims. We propose a corporate finance model to assess the effect of these exemptions on a firm's cost of borrowing and incentives to engage in derivative transactions. While derivatives are value-enhancing risk management tools, seniority for derivatives can lead to inefficiencies: it transfers credit risk to debtholders, even though this risk is borne more eff...
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作者：Piskorski, Tomasz; Seru, Amit; Witkin, James
作者单位：Columbia University; University of Chicago; National Bureau of Economic Research
摘要：We document that contractual disclosures by intermediaries during the sale of mortgages contained false information about the borrower's housing equity in 7-14% of loans. The rate of misrepresented loan default was 70% higher than for similar loans. These misrepresentations likely occurred late in the intermediation and exist among securities sold by all reputable intermediaries. Investorsincluding large institutionsholding securities with misrepresented collateral suffered severe losses due t...
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作者：Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, Christian T.; Wang, Yihui
作者单位：Indiana University System; Indiana University Bloomington; Center for Economic & Policy Research (CEPR); University of London; London Business School; University of North Carolina; University of North Carolina Chapel Hill; Fordham University
摘要：Accounting rules, through their interactions with capital regulations, affect financial institutions' trading behavior. The insurance industry provides a laboratory to explore these interactions: life insurers have greater flexibility than property and casualty insurers to hold speculative-grade assets at historical cost, and the degree to which life insurers recognize market values differs across U.S. states. During the financial crisis, insurers facing a lesser degree of market value recogni...
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作者：Bessembinder, Hendrik; Hao, Jia; Zheng, Kuncheng
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah; Chinese University of Hong Kong; Northeastern University
摘要：We examine the effects of secondary market liquidity on firm value and the IPO decision. Competitive aftermarket liquidity provision is associated with reduced welfare and a discounted secondary market price that can dissuade IPOs. The competitive market fails in particular for firms or at times when uncertainty regarding fundamental value and asymmetric information are large in combination. In these cases, firm value and welfare are improved by a contract where the firm engages a designated m...
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作者：Giannetti, Mariassunta; Liao, Guanmin; Yu, Xiaoyun
作者单位：Stockholm School of Economics; Central University of Finance & Economics; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We study the impact of directors with foreign experience on firm performance in emerging markets. Using a unique data set from China, we exploit the introduction of policies to attract talented emigrants and increase the supply of individuals with foreign experience in different provinces at different times. We document that performance increases after firms hire directors with foreign experience and identify the channels through which the emigration of talent may lead to a brain gain. Our fin...
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作者：DeAngelo, Harry; Roll, Richard
作者单位：University of Southern California; California Institute of Technology; University of California System; University of California Los Angeles
摘要：Leverage cross-sections more than a few years apart differ markedly, with similarities evaporating as the time between them lengthens. Many firms have high and low leverage at different times, but few keep debt-to-assets ratios consistently above 0.500. Capital structure stability is the exception, not the rule, occurs primarily at low leverage, and is virtually always temporary, with many firms abandoning low leverage during the post-war boom. Industry-median leverage varies widely over time....
