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作者：Lee, Jongsub; Naranjo, Andy; Velioglu, Guner
作者单位：Seoul National University (SNU); State University System of Florida; University of Florida
摘要：We find that credit default swap (CDS) spreads contribute significantly to price discovery in financial markets when firm-specific credit information is prominent. Using 3,470 S&P rating notch and watch changes for US public and private entities from 2001-2013, we show that CDS prices contain unique firm credit risk information that is not captured by the prices of other related securities such as stocks and bonds of the same firm. Credit information unidirectionally flows from CDS to bonds, p...
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作者：Adams, Renee; Keloharju, Matti; Knupfer, Samuli
作者单位：University of New South Wales Sydney; Aalto University; BI Norwegian Business School
摘要：What makes a successful CEO? We combine a near-exhaustive sample of male CEOs from Swedish companies with data on their cognitive and noncognitive ability and height at age 18. CEOs differ from other high-skill professions most in noncognitive ability. The median large-company CEO belongs to the top 5% of the population in the combination of the three traits. The traits have a monotonic and close to linear relation with CEO pay, but their correlations with pay, firm size, and CEO fixed effects...
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作者：Chaigneau, Pierre; Edmans, Alex; Gottlieb, Daniel
作者单位：Queens University - Canada; Universite de Montreal; HEC Montreal; University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Washington University (WUSTL)
摘要：This paper studies the value of more precise signals on agent performance in an optimal contracting model with endogenous effort. With limited liability, the agent's wage is increasing in output only if output exceeds a threshold, else it is zero regardless of output. If the threshold is sufficiently high, the agent only beats it, and is rewarded for increasing output through greater effort, if there is a high noise realization. Thus, a fall in output volatility reduces effort incentives infor...
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作者：Kallunki, Jenni; Kallunki, Juha-Pekka; Nilsson, Henrik; Puhakka, Mikko
作者单位：University of Oulu; Aalto University; Stockholm School of Economics
摘要：We explore why insiders engage in informed trading, given the surprisingly small average insider returns reported in the literature and the potential costs involved. We begin by proposing a model of an insider's decision to engage in insider trading. We then empirically test the model's predictions using archival data of corporate insiders in Sweden. Consistent with the model, we find that less wealthy insiders are more likely to time their insider selling, and to sell in greater magnitudes, p...
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作者：Berrada, Tony; Detemple, Jerome; Rindisbacher, Marcel
作者单位：University of Geneva; Boston University
摘要：This paper studies equilibrium in a pure exchange economy with unobservable Markov switching growth regimes and beliefs-dependent risk aversion (BDRA). Risk aversion is stochastic and depends nonlinearly on consumption and beliefs. Equilibrium is obtained in closed form. The market price of risk, the interest rate, and the stock return volatility acquire new components tied to fluctuations in beliefs. A three-regime specification is estimated using the generalized method of moments (GMM). Mode...
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作者：Huang, Jiekun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper investigates whether consumer opinions convey value-relevant information to financial markets. Using a data set of more than 14.5 million customer product reviews on Amazon.com from 2004 through 2015, I find evidence that consumer opinions contain information for stock pricing. A spread portfolio that is long on stocks with high abnormal customer ratings and short on stocks with low abnormal customer ratings delivers an abnormal return of around 55.7 to 73.0 basis points per month. ...
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作者：Bernile, Gennaro; Bhagwat, Vineet; Yonker, Scott
作者单位：University of Miami; George Washington University; Cornell University
摘要：We examine the effects of diversity in the board of directors on corporate policies and risk. Using a multidimensional measure, we find that greater board diversity leads to lower volatility and better performance. The lower risk levels are largely due to diverse boards adopting more persistent and less risky financial policies. However, consistent with diversity fostering more efficient (real) risk-taking, firms with greater board diversity also invest persistently more in research and develo...
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作者：Aldatmaz, Serdar; Ouimet, Paige; Van Wesep, Edward D.
作者单位：George Mason University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of Colorado System; University of Colorado Boulder
摘要：We show that in the years following a large broad-based employee stock option (BBSO) grant, employee turnover falls at the granting firm. We find evidence consistent with a causal relation by exploiting unexpected changes in the value of unvested options. A large fraction of the reduction in turnover appears to be temporary with turnover increasing in the third year following the year of the adoption of the BBSO plan. The increase three years post-grant is equal in magnitude to the cumulative ...
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作者：Frydman, Carola; Papanikolaou, Dimitris
作者单位：Northwestern University; National Bureau of Economic Research
摘要：We develop a general equilibrium model that delivers realistic fluctuations in pay inequality as a result of changes in the technology frontier. In our model, executives add value to the firm not only by participating in production decisions, as do other workers in the economy, but also by identifying new investment opportunities. Improvements in technology that are specific to new vintages of capital raise the return to managers' skills for discovering new growth projects and, thus, increase ...
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作者：Zhu, Min
作者单位：University of Queensland; Queensland University of Technology (QUT)
摘要：This paper considers the nature of returns to scale in active management following Pastor et al. (2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced empirical strategy, we find a significant negative impact of fund size on performance. This empirical evidence indicates that fund alpha and fund size are not independent entities. Consequently, skill, rather than being measured by the fund alpha, should be measured by the value that a fund extracts from capital...
