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作者：Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu
作者单位：University of Pennsylvania; Shanghai Jiao Tong University; University of Pennsylvania; National Bureau of Economic Research
摘要：The beta anomaly, negative (positive) alpha on stocks with high (low) beta, arises from beta's positive correlation with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative and stronger among overpriced stocks (Stambaugh, Yu, and Yuan, 2015). That stronger negative relation combines with the positive IVOL-beta correlation to produce the beta anomaly. The anomaly is significant only within overpriced stocks and only in periods w...
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作者：Tian, Mary
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I examine the effect of a firm's tradability, the proportion of output that is exported abroad, on its stock returns over business cycles from 1947-2015. Firms with higher tradability have more cyclical asset returns, even after controlling for the real exchange rate. Returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict changes in the real dollar exchange rate and trade volumes. The empirical patterns are consistent with t...
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作者：Grundy, Bruce D.; Verwijmeren, Patrick
作者单位：University of Melbourne; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We provide evidence that security design reflects the interplay of capital supplier and security issuer preferences. While call provisions have historically been the default option in convertible security design, only a minority of post-2005 issues are callable. Because hedge funds dominate the market for new convertibles today and because convertible arbitrage is less risky without callability, the recent diminution in the frequency of call provisions in new convertible bond issues illustrate...
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作者：Licht, Amir N.; Poliquin, Christopher; Siegel, Jordan I.; Li, Xi
作者单位：Reichman University; University of California System; University of California Los Angeles; University of Michigan System; University of Michigan; University of Arkansas System; University of Arkansas Fayetteville
摘要：We use a US Supreme Court case, Morrison v. National Australia Bank (2010), as a natural experiment to test the legal bonding hypothesis. By decreasing the potential liability of US-listed foreign firms, particularly due to class action lawsuits, Morrison arguably eroded their legal bonding to compliance with disclosure duties. Nevertheless, we find evidence of an increase or insignificant change in share values. Tests of longer-run effects of the legal event indicate that foreign firms' discl...
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作者：Leonello, Agnese
作者单位：European Central Bank
摘要：This paper studies the effects of government guarantees on the interconnection between banking and sovereign debt crises in a framework where both the banks and the government are fragile and the credibility and feasibility of the guarantees are determined endogenously. The analysis delivers some new results on the role of guarantees in the bank sovereign nexus. First, guarantees emerge as a key channel linking banks' and sovereign stability, even in the absence of banks' holdings of sovereign...
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作者：Leverty, J. Tyler; Grace, Martin F.
作者单位：University of Wisconsin System; University of Wisconsin Madison; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：This paper investigates whether elections delay regulatory action against failing financial institutions by exploiting the cross-sectional and time-series heterogeneity in the exogenous electoral cycles of US insurance regulators and governors. We find causal evidence that regulators delay interventions before elections. The extent of the delay is larger for elected regulators than regulators appointed by the governor. Interventions by appointed regulators are less likely before competitive gu...
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作者：Page, T. Beau
作者单位：Tulane University
摘要：I present and estimate a dynamic model of chief executive officer (CEO) compensation and effort provision. I find that variation in CEO attributes explains the majority of variation in compensation (equity and total) but little of the variation in firm value. The primary drivers of cross-sectional compensation are risk aversion and influence on the board. Additionally, I estimate the magnitude of CEO agency issues. Removing CEO influence increases shareholder value in the typical firm by 1.74%...
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作者：Dimmock, Stephen G.; Gerken, William C.; Ivkovic, Zoran; Weisbenner, Scott J.
作者单位：Nanyang Technological University; University of Kentucky; Michigan State University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Differences in accrued gains and investors' tax-sensitivity induce variation in a capital gains lock-in effect across mutual funds even for the same stock at the same time. Exploiting this variation, we show this effect influences funds' governance decisions: higher capital gains decrease the likelihood a fund exits prior to contentious votes and increase the likelihood a fund votes against management. Consistent with tax motivation, these findings are concentrated among funds with tax-sensiti...
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作者：Buchak, Greg; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit
作者单位：University of Chicago; University of Texas System; University of Texas Austin
摘要：Shadow bank market share in residential mortgage origination nearly doubled from 2007 to 2015, with particularly dramatic growth among online fintech lenders. We study how two forces, regulatory differences and technological advantages, contributed to this growth. Difference in difference tests exploiting geographical heterogeneity induced by four specific increases in regulatory burden capital requirements, mortgage servicing rights, mortgage related lawsuits, and the movement of supervision ...
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作者：Lin, Xiaoji; Wang, Chong; Wang, Neng; Yang, Jinqiang
作者单位：University of Minnesota System; University of Minnesota Twin Cities; United States Department of Defense; United States Navy; Naval Postgraduate School; Columbia University; National Bureau of Economic Research; Shanghai University of Finance & Economics
摘要：We study the impact of stochastic interest rates and capital illiquidity on investment and firm value by incorporating a widely used arbitrage-free term structure model of interest rates into a standard g theoretic framework. Our generalized q model informs us to use corporate credit-risk information to predict investments when empirical measurement issues of Tobin's average q are significant (e.g., equity is much more likely to be mis-priced than debt), as in Philippon (2009). We find, consis...
