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作者：Maksimovic, Vojislav; Phillips, Gordon; Yang, Liu
作者单位：University System of Maryland; University of Maryland College Park; University of Southern California; National Bureau of Economic Research
摘要：We document that public firms participate more than private firms as buyers and sellers of assets in merger waves and their participation is affected more by credit spreads and aggregate market valuation. Public firm acquisitions realize higher gains in productivity, particularly for on-the-wave acquisitions and when the acquirer's stock is liquid and highly valued. Our results are not driven solely by public firms' better access to capital. Using productivity data from early in the firm's lif...
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作者：Beber, Alessandro; Pagano, Marco
作者单位：University of Naples Federico II
摘要：Most regulators around the world reacted to the 200709 crisis by imposing bans on short selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks, and featured varying degrees of stringency. We exploit this variation in short-sales regimes to identify their effects on liquidity, price discovery, and stock prices. Using panel and matching techniques, we find that bans (i) were detrimental for liquidity, especially for stocks with s...
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作者：Hann, Rebecca N.; Ogneva, Maria; Ozbas, Oguzhan
作者单位：University System of Maryland; University of Maryland College Park; University of Southern California
摘要：We examine whether organizational form matters for a firm's cost of capital. Contrary to the conventional view, we argue that coinsurance among a firm's business units can reduce systematic risk through the avoidance of countercyclical deadweight costs. We find that diversified firms have, on average, a lower cost of capital than comparable portfolios of stand-alone firms. In addition, diversified firms with less correlated segment cash flows have a lower cost of capital, consistent with a coi...
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作者：Ben-David, Itzhak; Franzoni, Francesco; Landier, Augustin; Moussawi, Rabih
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Universita della Svizzera Italiana; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of Pennsylvania
摘要：We provide evidence suggesting that some hedge funds manipulate stock prices on critical reporting dates. Stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 0.30% on the last day of the quarter and a reversal of 0.25% on the following day. A significant part of the return is earned during the last minutes of trading. Analysis of intraday volume and order imbalance provides further evidence consistent with manipulation. These patterns are stronger for funds that have ...
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作者：Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert W.
作者单位：Harvard University; University of Chicago
摘要：We present a model of shadow banking in which banks originate and trade loans, assemble them into diversified portfolios, and finance these portfolios externally with riskless debt. In this model: outside investor wealth drives the demand for riskless debt and indirectly for securitization, bank assets and leverage move together, banks become interconnected through markets, and banks increase their exposure to systematic risk as they reduce idiosyncratic risk through diversification. The shado...
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作者：Linnainmaa, Juhani T.
作者单位：University of Chicago
摘要：Mutual funds often disappear following poor performance. When this poor performance is partly attributable to negative idiosyncratic shocks, funds' estimated alphas understate their true alphas. This paper estimates a structural model to correct for this bias. Although most funds still have negative alphas, they are not nearly as low as those suggested by the fund-by-fund regressions. Approximately 12% of funds have net four-factor model alphas greater than 2% per year. All studies that run fu...
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作者：Eiling, Esther
作者单位：University of Toronto
摘要：Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross-section of expected stock returns is primarily affected by industry-level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find th...
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作者：Caballero, Ricardo J.; Simsek, Alp
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We present a model of financial crises that stem from endogenous complexity. We conceptualize complexity as banks' uncertainty about the financial network of cross exposures. As conditions deteriorate, cross exposures generate the possibility of a domino effect of bankruptcies. As this happens, banks face an increasingly complex environment since they need to understand a greater fraction of the financial network to assess their own financial health. Complexity dramatically amplifies banks' pe...
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作者：Mironov, Maxim
作者单位：IE University
摘要：This paper examines the interaction between income diversion and firm performance. Using unique Russian banking transaction data, I identify 42,483 spacemen, fly-by-night firms created specifically for income diversion. Next, I build a direct measure of income diversion for 45,429 companies and show that it is negatively related to firm performance. I identify the main reason for the observed effect as managerial diversion rather than tax evasion per se. I further show that stricter tax enforc...
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作者：Singleton, Kenneth J.; Biais, Bruno; Roberts, Michael
