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作者：Gofman, Michael
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：The regulation of large interconnected financial institutions has become a key policy issue. To improve financial stability, regulators have proposed limiting banks' size and interconnectedness. I estimate a network-based model of the over-the-counter interbank lending market in the US and quantify the efficiency-stability implications of this policy. Trading efficiency decreases with limits on interconnectedness because the intermediation chains become longer. While restricting the interconne...
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作者：Fama, Eugene F.; French, Kenneth R.
作者单位：University of Chicago; Dartmouth College
摘要：Average stock returns for North America, Europe, and Asia Pacific increase with the book-to-market ratio (B/M) and profitability and are negatively related to investment. For Japan, the relation between average returns and B/M is strong, but average returns show little relation to profitability or investment. A five-factor model that adds profitability and investment factors to the three-factor model of Fama and French (1993) largely absorbs the patterns in average returns. As in Fama and Fren...
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作者：Braun, Reiner; Jenkinson, Tim; Stoff, Ingo
作者单位：Technical University of Munich; University of Oxford
摘要：The persistence of returns is a critical issue for investors in their choice of private equity managers. In this paper, we analyse buyout performance persistence in new ways, using a unique database containing cash flow data on 13,523 portfolio company investments by 865 buyout funds. We focus on unique realized deals and find that persistence of fund managers has substantially declined as the private equity sector has matured and become more competitive. Private equity has, therefore, largely...
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作者：Caporin, Massimiliano; Kolokolov, Aleksey; Reno, Roberto
作者单位：University of Padua; Goethe University Frankfurt; University of Verona
摘要：The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and correlations when they come along with bad (good) news. These systemic events and their implications can be easily overlooked by traditional univariate jump statistics applied to stock indices. They are instead ...
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作者：Bova, Francesco; Yang, Liyan
作者单位：University of Toronto; Peking University
摘要：We develop a model to illustrate that equity-based compensation for non-executive employees and product market decisions are related. When the product market is competitive and employees have low bargaining power, the unique equilibrium is for each firm's owners to offer equity-based compensation to their employees. In this setting, equity-based compensation leads to a lower wage rate, which makes each firm more competitive with its rival. However, this unique equilibrium is a Prisoner's Dilem...
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作者：Bennett, Benjamin; Bettis, J. Carr; Gopalan, Radhakrishnan; Milbourn, Todd
作者单位：University System of Ohio; Ohio State University; Arizona State University; Arizona State University-Tempe; Washington University (WUSTL)
摘要：Using a large data set of performance goals employed in executive incentive contracts, we find that a disproportionately large number of firms exceed their goals by a small margin as compared to the number that fall short of the goal by a similar margin. This asymmetry is particularly acute for earnings goals, when compensation is contingent on a single goal, when the pay-performance relationship around the goal is concave-shaped, and for grants with non-equity-based payouts. Firms that exceed...
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作者：Glaeser, Edward L.; Nathanson, Charles G.
作者单位：Harvard University; Northwestern University
摘要：A model in which homebuyers make a modest approximation leads house prices to display three features present in the data but usually missing from rational models: momentum at one-year horizons, mean reversion at five-year horizons, and excess longer-term volatility relative to fundamentals. Approximating buyers assume that past prices reflect only contemporaneous demand, just like professional economists who use trends in housing prices to infer trends in housing demand. Consistent with survey...
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作者：Richard, Scott F.
作者单位：University of Pennsylvania
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作者：Amihud, Yakov; Stoyanov, Stoyan
作者单位：New York University
摘要：We examine the Cohen and Wang (2013) conclusion that a staggered board lowers firm value based on the stock price reaction to two 2010 Delaware court rulings in the Air gas, Inc. case. The first ruling weakened the potency of a staggered board and the second restored it. We find that the Cohen and Wang results, for their sample, become insignificant after excluding a few penny stocks, stocks with value below $10 million, or over-the-counter (non-exchange) stocks. The effects of the rulings are...
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作者：Focke, Florens; Maug, Ernst; Niessen-Ruenzi, Alexandra
作者单位：University of Mannheim
摘要：We show that chief executive officers (CEOs) of prestigious firms earn less. Total compensation is on average 8% lower for firms listed in Fortune's ranking of America's most admired companies. We suggest that CEOs are willing to trade off status and career benefits from working for a publicly admired company against additional monetary compensation. Our identification strategy is based on matched sample analyses, difference-in-differences regressions, and a regression discontinuity design. We...
