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作者：Avdis, Efstathios; Wachter, Jessica A.
作者单位：University of Alberta; University of Pennsylvania; National Bureau of Economic Research
摘要：xThe equity premium the expected return on the aggregate stock market less the government bill rate - is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the sample average excess return. We propose an alternative estimator, based on maximum likelihood, that takes into account information contained in dividends and prices. Applied to the postwar sample, our metho...
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作者：Kedia, Simi; Rajgopal, Shivaram; (Alex) Zhou, Xing
作者单位：Rutgers University System; Rutgers University New Brunswick; Columbia University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper addresses regulatory concerns that large shareholders of credit rating agencies can influence the rating process. Unlike Standard & Poor's, which is a privately held division of McGraw-Hill, Moody's is a public company listed on the NYSE. From 2001 to 2010, Moody's has two shareholders, Berkshire Hathaway and Davis Selected Advisors, which collectively own about 23.5% of Moody's. Moody's ratings on bonds issued by important investee firms of these two stable large shareholders are m...
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作者：Field, Laura Casares; Mkrtchyan, Anahit
作者单位：University of Delaware; Northeastern University
摘要：Prior research finds that firms hire directors for their acquisition experience, regardless of acquisition quality (whether their prior acquisitions earned positive or negative announcement returns). Using several short- and long-run measures, we examine the effects of directors' acquisition experience on the acquisition performance of firms hiring them. We find that board acquisition experience is positively related to subsequent acquisition performance, demonstrating that firms appropriately...
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作者：Garlappi, Lorenzo; Song, Zhongzhi
作者单位：University of British Columbia
摘要：Capital utilization and market power crucially affect asset prices in an economy exposed to shocks that improve real investment opportunities through capital-embodied technological innovations. We embed these two mechanisms in a standard general equilibrium model and show that (i) the price of risk for investment shocks is negative under fixed capital utilization, but positive under sufficiently flexible capital utilization, and (ii) the equity return exposure to investment shocks is negative ...
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作者：Korteweg, Arthur; Sorensen, Morten
作者单位：University of Southern California; Copenhagen Business School
摘要：Private equity (PE) performance is persistent, with PE firms consistently producing high (or low) net-of-fees returns. We use a new variance decomposition model to isolate three components of persistence. We find high long-term persistence: the spread in expected net-of-fee future returns between top and bottom quartile PE firms is 7-8 percentage points annually. This spread is estimated controlling for spurious persistence, which arises mechanically from the overlap of contemporaneous funds. ...
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作者：Jiang, George J.; Zhu, Kevin X.
作者单位：Washington State University; Xi'an Jiaotong-Liverpool University; Hong Kong Polytechnic University
摘要：Using jumps in stock prices as a proxy for large information shocks, we provide evidence consistent with short-term underreaction in the US equity market. Strategies long (short) stocks with positive (negative) lagged jump returns earn significantly positive returns over the next one-to three-month horizons. The results based on intraday jumps, especially overnight jumps, provide further evidence consistent with underreaction. The underreaction is robust to controlling for other firm character...
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作者：Cen, Ling; Maydew, Edward L.; Zhang, Liandong; Zuo, Luo
作者单位：University of Toronto; University Toronto Scarborough; University of Toronto; University of North Carolina; University of North Carolina Chapel Hill; City University of Hong Kong; Cornell University
摘要：We investigate whether firms in close customer supplier relationships are better able to identify and implement tax avoidance strategies via supply chains. Consistent with our prediction, we find that both principal customers and their dependent suppliers avoid more taxes than other firms. Further analysis suggests that principal customers and dependent suppliers likely engage in tax strategies involving shifting profits to tax haven subsidiaries. Moreover, tax benefits appear to explain both ...
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作者：Sunder, Jayanthi; Sunder, Shyam V.; Zhang, Jingjing
作者单位：University of Arizona; McGill University
摘要：We find evidence that chief executive officers' (CEOs') hobby of flying airplanes is associated with significantly better innovation outcomes, measured by patents and citations, greater innovation effectiveness, and more diverse and original patents. We rule out alternative explanations, leading us to conclude that CEO pilot credentials capture the personality trait of sensation seeking. Sensation seeking combines risk taking with a desire to pursue novel experiences and has been associated wi...
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作者：Zhao, Guihai
作者单位：Bank of Canada
摘要：I show that investor confidence (size of ambiguity) about future consumption growth is driven by past consumption growth and inflation. The impact of inflation on confidence has moved considerably over time and switched on average from negative to positive in 1997. Motivated by this evidence, I develop and estimate a model in which the confidence process has discrete regime shifts, and I find that the time-varying impact of inflation on confidence enables the model to match bond risks over dif...
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作者：Schmidt, Cornelius; Fahlenbrach, Ruediger
作者单位：Norwegian School of Economics (NHH); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
摘要：We investigate whether corporations and their executives react to an exogenous change in passive institutional ownership and alter their corporate governance structure. We find that exogenous increases in passive ownership lead to increases in CEO power and fewer new independent director appointments. Consistent with these changes not being beneficial for shareholders, we observe negative announcement returns to the appointments of new independent directors. We also show that firms carry out w...
