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作者：Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
作者单位：Centre for Economic Policy Research - UK; Northwestern University; National Bureau of Economic Research; University of Chicago
摘要：Exploiting portfolio data and repeated surveys of an Italian bank's clients, we test whether investors' risk aversion increases following the 2008 crisis. We find that, after the crisis, both qualitative and quantitative measures of risk aversion increase substantially and that affected individuals divest more stock. We investigate four explanations: changes in wealth, expected income, perceived probabilities, and emotion-based changes of the utility function. Our data are inconsistent with th...
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作者：Campbell, John Y.; Giglio, Stefano; Polk, Christopher; Turley, Robert
作者单位：Harvard University; National Bureau of Economic Research; Yale University; University of London; London School Economics & Political Science
摘要：This paper studies the pricing of volatility risk using the first-order conditions of a longterm equity investor who is content to hold the aggregate equity market instead of over weighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present nov...
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作者：Neuhann, Daniel; Saidi, Farzad
作者单位：University of Texas System; University of Texas Austin; Swedish House of Finance; Stockholm School of Economics
摘要：Using variation in bank scope generated by the stepwise repeal of the Glass-Steagall Act in the US, we show that the deregulation of universal banks allowed them to finance firms with 14% higher volatility. This increase in risk is compensated by lasting improvements in firms' total factor productivity of 3%. Using bank scope-expanding mergers to identify shocks to universal banks' private information about borrower firms, we provide evidence that informational economies of scope across loans ...
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作者：D'Acunto, Francesco; Liu, Ryan; Pflueger, Carolin; Weber, Michael
作者单位：Boston College; University of British Columbia; University of Chicago; National Bureau of Economic Research
摘要：The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most flexible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital structure. Sticky-price firms increased leverage more than flexible price firms following the staggered implementation of bank deregulation across states and over time, which we use in a difference-in-dif...
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作者：Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin
作者单位：University of Washington; University of Washington Seattle; Utah System of Higher Education; University of Utah; Queens University - Canada; Wilfrid Laurier University; University of Sydney; Rochester Institute of Technology; University of Memphis
摘要：Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type high frequency traders (HFTs) around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by non-high frequency traders (nHFTs). Yet HFT liquidity provision is limited to EPMs in single stocks. When several stocks experience simultaneous EPMs, HFT liquidity demand dominates their supply. There is little ...
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作者：Holderness, Clifford G.
作者单位：European Corporate Governance Institute; Boston College
摘要：Mandatory shareholder approval of equity issuances varies across and within countries. When shareholders approve issuances, average announcement returns are positive. When managers issue stock without shareholder approval, returns are negative and 4% lower. The closer the vote is to the issuance or the greater is the required plurality, the higher are the returns for public offers, rights offers, and private placements. When shareholder approval is required, rights offers predominate. When man...
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作者：Eckbo, B. Espen; Makaew, Tanakorn; Thorburn, Karin S.
作者单位：Dartmouth College; Norwegian School of Economics (NHH); European Corporate Governance Institute; U.S. Securities & Exchange Commission (SEC); Centre for Economic Policy Research - UK
摘要：The more the target knows about the bidder, the more difficult is paying the target with overpriced bidder shares. Thus, when bidders are opportunistic, the fraction of stock in the deal payment will be lower for better informed targets. We test this intuitive prediction against the alternative that stock payments primarily reflect bidder concerns with target adverse selection, which implies a greater fraction of stock in the deal payment for better informed targets. Discriminating between the...
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作者：Matvos, Gregor; Seru, Amit; Silva, Rui C.
作者单位：University of Chicago; National Bureau of Economic Research; University of London; London Business School
摘要：We find new facts that relate the evolution of firm scope to the changing frictions in external capital markets over the last three decades. We find that large, diversified publicly traded firms increase their scope during times of high external capital market frictions, such as in the recent Great Recession. Moreover, during these times firms diversify their investment needs and cash flow across industries. We also find similar phenomena outside diversified public firms. Examining the mergers...
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作者：Lee, Kyeong Hun; Mauer, David C.; Xu, Emma Qianying
作者单位：Norwegian School of Economics (NHH); University of North Carolina; University of North Carolina Charlotte; University of Texas System; University of Texas El Paso
摘要：We construct a measure of the pairwise relatedness of firms' human capital to examine whether human capital relatedness is a key factor in mergers and acquisitions. We find that mergers are more likely and merger returns and postmerger performance are higher when firms have related human capital. These relations are stronger or only present in acquisitions where the merging firms do not operate in the same industries or product markets. Reductions in employment and wages following mergers with...
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作者：Kang, Jun-Koo; Luo, Juan; Na, Hyun Seung
作者单位：Nanyang Technological University; University of Adelaide; Korea University
摘要：We examine whether institutions' monitoring effectiveness is related to the number of their blockholdings. We find that the number of blocks that a firm's large institutions hold is positively associated with forced chief executive officer (CEO) turnover-performance sensitivity, abnormal returns around forced CEO turnover announcements and 13D filings, and changes in firm value. These results are particularly evident when institutions have multiple blockholdings in the same industry, when they...
