Journal of Financial Economics

最新文章

• Alpha or beta in the eye of the beholder: What drives hedge fund flows? AI翻译
  作者：Agarwal, Vikas; Green, T. Clifton; Ren, Honglin
  作者单位：University System of Georgia; Georgia State University; Emory University
  摘要：Capital Asset Pricing Model (CAPM) alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks. We decompose performance into traditional and exotic risk components and find that while investors chase both components, they place greater relative emphasis on returns associated with exotic risk exposures that can only be o...
• Does policy uncertainty affect mergers and acquisitions? AI翻译
  作者：Bonaime, Alice; Gulen, Huseyin; Ion, Mihai
  作者单位：University of Arizona; Purdue University System; Purdue University
  摘要：Political and regulatory uncertainty is strongly negatively associated with merger and acquisition activity at the macro and firm levels. The strongest effects are for uncertainty regarding taxes, government spending, monetary and fiscal policies, and regulation. Consistent with a real options channel, the effect is exacerbated for less reversible deals and for firms whose product demand or stock returns exhibit greater sensitivity to policy uncertainty, but attenuated for deals that cannot be...
• The effect of mortgage securitization on foreclosure and modification AI翻译
  作者：Kruger, Samuel
  作者单位：University of Texas System; University of Texas Austin
  摘要：Did securitization exacerbate the foreclosure crisis by altering mortgage servicing practices? I exploit the unanticipated freeze of private mortgage securitization in 2007 to provide new evidence that securitization increases foreclosure probability and decreases modification probability. These effects are economically large and persist over time even after implementation of the Home Affordable Modification Program (HAMP) in 2009. Using hand-collected data on the contractual terms of servicin...
• Playing favorites: Conflicts of interest in mutual fund management AI翻译
  作者：Del Guercio, Diane; Genc, Egemen; Tran, Hai
  作者单位：University of Oregon; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Loyola Marymount University
  摘要：We examine the performance of mutual funds whose managers simultaneously manage portfolios with performance-based incentive fees for three account types: mutual funds, hedge funds, and separate accounts. Importantly, our data set is free of selection bias because it is hand-collected from mandatory SEC filings. We find that only funds whose managers also manage hedge funds significantly underperform peer mutual funds. Moreover, underperformance begins only after fund managers begin to manage a...
• Pay me now (and later): Pension benefit manipulation before plan freezes and executive retirement AI翻译
  作者：Stefanescu, Irina; Wang, Yupeng; Xie, Kangzhen; Yang, Jun
  作者单位：Federal Reserve System - USA; Massachusetts Institute of Technology (MIT); Seton Hall University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
  摘要：Large US firms modify top executives' compensation before pension-related events. Top executives receive one-time increases in pensionable earnings through higher annual bonuses one year before a plan freeze and one year before retirement. Firms also boost pension payouts by lowering plan discount rates when top executives are eligible to retire with lump-sum benefit distributions. Increases in executive pensions do not appear to be an attempt to improve managerial effort or retention and are ...
• Financing as a supply chain: The capital structure of banks and borrowers AI翻译
  作者：Gornall, Will; Strebulaev, Ilya A.
  作者单位：University of British Columbia; Stanford University; National Bureau of Economic Research
  摘要：We develop a model of the joint capital structure decisions of banks and their borrowers. Bank leverage of 85% or higher emerges because bank seniority both dramatically reduces bank asset volatility and incentivizes risk-taking by producing a skewed return distribution. Nonfinancial firms choose low leverage to protect their banks, presenting a partial resolution to the low-leverage puzzle. Our setup naturally extends to include government actions as we model bank assets using a modified Base...
• Asset pricing and ambiguity: Empirical evidence AI翻译
  作者：Brenner, Menachem; Izhakian, Yehuda
  作者单位：New York University; City University of New York (CUNY) System; Baruch College (CUNY)
  摘要：We introduce ambiguity in conjunction with risk to study the relation between risk, ambiguity, and expected returns. Distinguishing between ambiguity and attitudes toward ambiguity, we develop an empirical methodology for measuring the degree of ambiguity and for assessing attitudes toward ambiguity from market data. The main findings indicate that ambiguity in the equity market is priced. Introducing ambiguity alongside risk provides stronger evidence on the role of risk in explaining expecte...
• Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity AI翻译
  作者：Chen, Yong; Eaton, Gregory W.; Paye, Bradley S.
  作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Oklahoma State University System; Oklahoma State University - Stillwater; Virginia Polytechnic Institute & State University
  摘要：This paper constructs and analyzes various measures of trading costs in US equity markets covering the period 1926-2015. These measures contain statistically and economically significant predictive signals for stock market returns and real economic activity. We decompose illiquidity proxies into a component capturing aggregate volatility and a residual. The predictive content of these components differs in important ways. Specifically, we find strong evidence that the component of illiquidity ...
• Tax distortions and bond issue pricing AI翻译
  作者：Landoni, Mattia
  作者单位：Southern Methodist University
  摘要：Original issue premium (OIP) bonds are the norm in the US tax-exempt market but very rare in the taxable market. A tax subsidy helps explain this disparity. Unlike bonds issued at par or discount, the price of OIP bonds can fall and yet remain above par, providing secondary market buyers with more tax-exempt coupon and less taxable market discount gain. The subsidy for OIP bonds explains additional, previously undocumented empirical facts. In a calibration exercise, the subsidy's expected cost...
• Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market AI翻译
  作者：Li, Xindan; Subrahmanyam, Avanidhar; Yang, Xuewei
  作者单位：Nanjing University; Nanjing University; University of California System; University of California Los Angeles
  摘要：We examine the notion that financial products which cater to investors' behavioral biases can yield high trading activity and thus be profitable for issuers. Our setting considers options with a callback feature, namely, callable bull/bear contracts (CBBCs). Such contracts have high skewness when close to callback and thus appeal to cumulative prospect theory preferences. CBBCs with high skewness earn negative average returns, and issuers' gross profits vary positively with CBBC skewness. Over...