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作者：Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.
作者单位：University of Virginia; University of Oxford; Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research
摘要：We study the performance of nearly 1,400 U.S. buyout and venture capital funds using a new data set from Burgiss. We find better buyout fund performance than previously documentedperformance has consistently exceeded that of public markets. Outperformance versus the S&P 500 averages 20% to 27% over a fund's life and more than 3% annually. Venture capital funds outperformed public equities in the 1990s, but underperformed in the 2000s. Our conclusions are robust to various indices and risk cont...
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作者：Kacperczyk, Marcin; van Nieuwerburgh, Stijn; Veldkamp, Laura
作者单位：Imperial College London; National Bureau of Economic Research; National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK
摘要：We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that weighs a fund's market timing more in recessions and stock picking m...
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作者：Backus, David; Chernov, Mikhail; Zin, Stanley
作者单位：New York University; National Bureau of Economic Research; University of California System; University of California Los Angeles; Center for Economic & Policy Research (CEPR)
摘要：We propose two data-based performance measures for asset pricing models and apply them to models with recursive utility and habits. Excess returns on risky securities are reflected in the pricing kernel's dispersion and riskless bond yields are reflected in its dynamics. We measure dispersion with entropy and dynamics with horizon dependence, the difference between entropy over several periods and one. We compare their magnitudes to estimates derived from asset returns. This exercise reveals t...
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作者：O'Hara, Maureen; Yao, Chen; Ye, Mao
作者单位：Cornell University; University of Warwick; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We investigate odd-lot trades in equity markets. Odd lots are increasingly used in algorithmic and high-frequency trading, but are not reported to the consolidated tape or in databases such as TAQ. In our sample, the median number of odd-lot trades is 24% but in some stocks odd lots are 60% or more of trading. Odd-lot trades contribute 35% of price discovery, consistent with informed traders using odd lots to avoid detection. Omitting odd-lot trades leads to inaccuracies in order imbalance mea...
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作者：Bansal, Ravi; Kiku, Dana; Shaliastovich, Ivan; Yaron, Amir
作者单位：Duke University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania
摘要：How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an increase in discount rates and a decline in consumption. We develop a framework in which cash flow, discount rate, and volatility risks determine risk premia and show that volatility plays a significant role in explaining the joint dynamics of returns to human capital and equity. Volatility risk carries a sizable positive risk premium and h...
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作者：Rose, Andrew K.; Wieladek, Tomasz
作者单位：University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Bank of England
摘要：We examine large public interventions in the financial sector, such as bank nationalizations and search for financial protectionism, a decrease in the quantity and/or an increase in the price of loans that banks from one country make to borrowers resident in another. We use a bank-level panel data set spanning all U.K.-resident banks between 1997Q3 and 2010Q1. After nationalization, foreign banks reduced their fraction of British loans by about 11% and increased their effective interest rates ...
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作者：Kim, E. Han; Ouimet, Paige
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：Firms initiating broad-based employee share ownership plans often claim employee stock ownership plans (ESOPs) increase productivity by improving employee incentives. Do they? Small ESOPs comprising less than 5% of shares, granted by firms with moderate employee size, increase the economic pie, benefiting both employees and shareholders. The effects are weaker when there are too many employees to mitigate free-riding. Although some large ESOPs increase productivity and employee compensation, t...
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作者：Beck, Thorsten; Lin, Chen; Ma, Yue
作者单位：City St Georges, University of London; Tilburg University; Centre for Economic Policy Research - UK; University of Hong Kong; City University of Hong Kong
摘要：Tax evasion is a widespread phenomenon across the globe and even an important factor in the ongoing sovereign debt crisis. We show that firms in countries with better credit information-sharing systems and higher branch penetration evade taxes to a lesser degree. This effect is stronger for smaller firms, firms in smaller cities and towns, firms in industries relying more on external financing, and firms in industries and countries with greater growth potential. This effect is robust to instru...
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作者：Carvalho, Daniel
作者单位：University of Southern California
摘要：Using plant-level data for Brazilian manufacturing firms, this paper provides evidence that government control over banks leads to significant political influence over the real decisions of firms. I find that firms eligible for government bank lending expand employment in politically attractive regions near elections. These expansions are associated with additional (favorable) borrowing from government banks. Further, these persistent expansions take place just before competitive elections, an...
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作者：Frydman, Cary; Barberis, Nicholas; Camerer, Colin; Bossaerts, Peter; Rangel, Antonio
作者单位：University of Southern California; Yale University; California Institute of Technology; Utah System of Higher Education; University of Utah
摘要：We conduct a study in which subjects trade stocks in an experimental market while we measure their brain activity using functional magnetic resonance imaging. All of the subjects trade in a suboptimal way. We use the neural data to test a 'realization utility' explanation for their behavior. We find that activity in two areas of the brain that are important for economic decision-making exhibit activity consistent with the predictions of realization utility. These results provide support for th...
