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作者：Huizinga, Harry; Voget, Johannes; Wagner, Wolf
作者单位：Tilburg University; Centre for Economic Policy Research - UK; University of Mannheim; University of Oxford; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：In a cross-border takeover, the tax base associated with future capital gains is transferred from target shareholders to acquirer shareholders. Cross-country differences in capital gains tax rates enable us to estimate the discount in target valuation on account of future capital gains. We estimate that a 1 percentage point increase in the capital gains tax rate reduces the value of equity by around 0.3%, which suggests that the capital gains tax significantly raises firms' cost of capital. Fu...
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作者：Backus, David; Boyarchenko, Nina; Chernov, Mikhail
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：We explore the term structures of claims to a variety of cash flows, namely, US government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The average term structures reflect the dynamics of the dollar pricing kernel, cash flow growth, and the interaction between the two. We use an affine model to illustrate how these two components can deliver term...
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作者：Rossi, Alberto G.; Blake, David; Timmermann, Allan; Tonks, Ian; Wermers, Russ
作者单位：University System of Maryland; University of Maryland College Park; City St Georges, University of London; University of California System; University of California San Diego; University of Bath
摘要：We show a positive relation between network centrality and risk-adjusted performance in a delegated investment management setting. More connected managers take more portfolio risk and receive higher investor flows, consistent with these managers improving their ability to exploit investment opportunities through their network connections. Greater network connections are shown to be particularly important in reducing the diseconomies of scale for large managers who are well connected. We also u...
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作者：Gilbert, Thomas; Hrdlicka, Christopher; Kamara, Avraham
作者单位：University of Washington; University of Washington Seattle
摘要：We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism's empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and ...
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作者：Horner, Johannes; Lovo, Stefano; Tomala, Tristan
作者单位：Yale University; Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We analyze security price formation in a dynamic setting in which long-lived dealers repeatedly compete for the opportunity to trade with short-lived retail traders. We characterize equilibria in which dealers' pricing strategies are optimal irrespective of the private information that each dealer may possess. Thus, our model's predictions are robust to different specifications of the dealers' information structure. These equilibria reconcile, in a unified and parsimonious framework, price dyn...
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作者：Cline, Brandon N.; Walkling, Ralph A.; Yore, Adam S.
作者单位：Mississippi State University; Drexel University; University of Missouri System; University of Missouri Columbia
摘要：Personal managerial indiscretions are separate from a firm's business activities but provide information about the manager's integrity. Consequently, they could affect counter parties' trust in the firm and the firm's value and operations. We find that companies of accused executives experience significant wealth deterioration, reduced operating margins, and lost business partners. Indiscretions are also associated with an increased probability of unrelated shareholder-initiated lawsuits, Depa...
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作者：Wagner, Alexander F.; Zeckhauser, Richard J.; Ziegler, Alexandre
作者单位：University of Zurich; Swiss Finance Institute (SFI); Harvard University; National Bureau of Economic Research
摘要：Donald Trump's surprise election shifted expectations: corporate taxes would be lower and trade policies more restrictive. Relative stock prices responded appropriately. High-tax firms and those with large deferred tax liabilities (DTLs) gained: those with significant deferred tax assets from net operating loss carryforwards (NOL DTAs) lost. Domestically focused companies fared better than internationally oriented firms. A price contribution analysis shows that easily assessed consequences (DT...
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作者：Mueller, Philippe; Stathopoulos, Andreas; Vedolin, Andrea
作者单位：University of London; London School Economics & Political Science; University of Washington; University of Washington Seattle
摘要：We show that the cross-sectional dispersion of conditional foreign exchange (FX) correlation is countercyclical and that currencies that perform badly (well) during periods of high dispersion yield high (low) average excess returns. We also find a negative cross-sectional association between average FX correlations and average option-implied FX correlation risk premiums. Our findings show that while investors in spot currency markets require a positive risk premium for exposure to high dispers...
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作者：Izhakian, Yehuda; Yermack, David
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University; National Bureau of Economic Research
摘要：We investigate the importance of ambiguity, or Knightian uncertainty, in executives' stock option exercise decisions. We develop an empirical estimate of ambiguity and include it in regression models alongside the traditional measure of risk, equity volatility. We show that each variable has a significant effect on the timing of option exercises, with volatility causing executives to hold options longer to preserve option value, and ambiguity increasing the tendency for executives to exercise ...
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作者：Anderson, Anders; Baker, Forest; Robinson, David T.
作者单位：Stockholm School of Economics; Swedish House of Finance; Duke University
摘要：We measure financial literacy among Linkedln members, complementing standard questions with additional questions that allow us to gauge self-perceptions of financial literacy. Average financial literacy is surprisingly low given the demographics of our sample: fewer than two-thirds of chief financial officers, chief executive officers, and chief operating officers complete the test correctly. Financial literacy, precautionary savings and retirement planning are positively correlated, but this ...
