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作者：Chen, Joseph; Hong, Harrison; Jiang, Wenxi; Kubik, Jeffrey D.
作者单位：University of California System; University of California Davis; Princeton University; Yale University; Syracuse University
摘要：We investigate the effects of managerial outsourcing on the performance and incentives of mutual funds. Fund families outsource the management of a large fraction of their funds to advisory firms. These funds underperform those run internally by about 52 basis points per year. After instrumenting for a fund's outsourcing status, the estimated underperformance is three times larger. We hypothesize that contractual externalities due to firm boundaries make it difficult to extract performance fro...
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作者：Derrien, Francois; Kecskes, Ambrus
作者单位：Hautes Etudes Commerciales (HEC) Paris; York University - Canada
摘要：We study the causal effects of analyst coverage on corporate investment and financing policies. We hypothesize that a decrease in analyst coverage increases information asymmetry and thus increases the cost of capital; as a result, firms decrease their investment and financing. We use broker closures and broker mergers to identify changes in analyst coverage that are exogenous to corporate policies. Using a difference-in-differences approach, we find that firms that lose an analyst decrease th...
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作者：Hu, Grace Xing; Pan, Jun; Wang, Jiang
作者单位：University of Hong Kong; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We propose a market-wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed noise in U.S. Treasury bondsthe shortage of arbitrage capital allows yields to deviate more freely from the curve, resulting in more noise in prices. Our noise measure captures episodes of liquidity crises of different origins across the financial market, providing information beyond existing liquidity proxies. Moreover, as a priced risk factor, it helps to...
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作者：Ellul, Andrew; Yerramilli, Vijay
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Houston System; University of Houston
摘要：We construct a risk management index (RMI) to measure the strength and independence of the risk management function at bank holding companies (BHCs). The U.S. BHCs with higher RMI before the onset of the financial crisis have lower tail risk, lower nonperforming loans, and better operating and stock return performance during the financial crisis years. Over the period 1995 to 2010, BHCs with a higher lagged RMI have lower tail risk and higher return on assets, all else equal. Overall, these re...
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作者：Kelly, Bryan; Pruitt, Seth
作者单位：University of Chicago
摘要：Returns and cash flow growth for the aggregate U.S. stock market are highly and robustly predictable. Using a single factor extracted from the cross-section of book-to-market ratios, we find an out-of-sample return forecasting R-2 of 13% at the annual frequency (0.9% monthly). We document similar out-of-sample predictability for returns on value, size, momentum, and industry portfolios. We present a model linking aggregate market expectations to disaggregated valuation ratios in a latent facto...
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作者：Axelson, Ulf; Jenkinson, Tim; Stromberg, Per; Weisbach, Michael S.
作者单位：University of London; London School Economics & Political Science; University of Oxford; Stockholm School of Economics; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：Private equity funds pay particular attention to capital structure when executing leveraged buyouts, creating an interesting setting for examining capital structure theories. Using a large, international sample of buyouts from 1980 to 2008, we find that buyout leverage is unrelated to the cross-sectional factors, suggested by traditional capital structure theories, that drive public firm leverage. Instead, variation in economy-wide credit conditions is the main determinant of leverage in buyou...
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作者：Bharath, Sreedhar T.; Jayaraman, Sudarshan; Nagar, Venky
作者单位：Arizona State University; Arizona State University-Tempe; Washington University (WUSTL); University of Michigan System; University of Michigan
摘要：Recent theory posits a new governance channel available to blockholders: threat of exit. Threat of exit, as opposed to actual exit, is difficult to measure directly. However, a crucial property is that it is weaker when stock liquidity is lower and vice versa. We use natural experiments of financial crises and decimalization as exogenous shocks to stock liquidity. Firms with larger blockholdings experience greater declines (increases) in firm value during the crises (decimalization), particula...
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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：European University Institute; Northwestern University; National Bureau of Economic Research; University of Chicago
摘要：We use survey data to measure households' propensity to default on mortgages even if they can afford to pay them (strategic default) when the value of the mortgage exceeds the value of the house. The willingness to default increases in both the absolute and the relative size of the home-equity shortfall. Our evidence suggests that this willingness is affected by both pecuniary and non-pecuniary factors, such as views about fairness and morality. We also find that exposure to other people who s...
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作者：Hassan, Tarek A.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Differences in real interest rates across developed economies are puzzlingly large and persistent. I propose a simple explanation: bonds issued in the currencies of larger economies are expensive because they insure against shocks that affect a larger fraction of the world economy. I show that, indeed, differences in the size of economies explain a large fraction of the cross-sectional variation in currency returns. The data also support additional implications of the model: the introduction o...
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作者：Drechsler, Itamar
作者单位：New York University
摘要：I construct an equilibrium model that captures salient properties of index option prices, equity returns, variance, and the risk-free rate. A representative investor makes consumption and portfolio choice decisions that are robust to his uncertainty about the true economic model. He pays a large premium for index options because they hedge important model misspecification concerns, particularly concerning jump shocks to cash flow growth and volatility. A calibration shows that empirically cons...
