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作者：Levine, Oliver
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：I develop a model of mergers in which M&A deals are used to reallocate investment opportunities. In equilibrium, acquirers lack internal growth options and seek out projects from targets in the M&A market. The model is able to reconcile many features of the merger data that I document, including the high productivity, investment, and valuation of target firms. Furthermore, in my model, profitability is highly predictive of acquisition, and merger transactions naturally lead to a substantial dr...
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作者：Ahern, Kenneth R.
作者单位：University of Southern California
摘要：This paper exploits a novel hand-collected data set to provide a comprehensive analysis of the social relationships that underlie illegal insider trading networks. I find that inside information flows through strong social ties based on family, friends, and geographic proximity. On average, inside tips originate from corporate executives and reach buy-side investors after three links in the network. Inside traders earn prodigious returns of 35% over 21 days, with more central traders earning g...
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作者：Andrei, Daniel; Cujean, Julien
作者单位：University of California System; University of California Los Angeles; University System of Maryland; University of Maryland College Park
摘要：We propose a joint theory of time -series momentum and reversal based on a rational expectations model. We show that a necessary condition for momentum to arise in this framework is that information flows at an increasing rate. We focus on word-ofmouth communication as a mechanism that enforces this condition and generates shortterm momentum and long-term reversal. Investors with heterogeneous trading strategies contrarian and momentum traders coexist in the marketplace. Although a significant...
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作者：Cookson, J. Anthony
作者单位：University of Colorado System; University of Colorado Boulder
摘要：This paper empirically investigates the effect of leverage on strategic preemption. Using new data on entry plans and incumbent investments from the American casino industry, I find that high leverage prevents incumbents from responding to entry threats. Facing the same set of entry plans, low-leverage incumbents expand physical capacity (by 30%), whereas high-leverage incumbents do not. This difference in investment matters because capacity installations preempt eventual entry. Stock market r...
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作者：Babus, Ana; Hu, Tai-Wei
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Northwestern University
摘要：We provide a theory of trading through intermediaries in over-the-counter markets. The role of intermediaries is to sustain trade. In our model, traders are connected through an informational network. Agents observe their neighbors' actions and can trade with their counterparty in a given period through a path of intermediaries in the network. Nevertheless, agents can renege on their obligations. We show that trading through an informational network is essential to support trade when agents in...
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作者：Eraker, Bjorn; Wu, Yue
摘要：We study the returns to investing in VIX futures, VIX Exchange Traded Notes (ETNs), and variance swaps. We document substantial negative return premia for these assets. For example, the constant maturity portfolio of 1-month VIX futures loses about 30% per year over our sample period (2006-2013). We investigate if these findings are consistent with dynamic equilibrium. We derive a model based on present value computation that endogenizes stock prices, the VIX index, and its associated derivati...
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作者：Glover, Brent; Levine, Oliver
作者单位：Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison
摘要：We develop a model to characterize and quantify the effects of stock, option, and fixed compensation on a manager's risk-taking incentive and investment choice. We find the average chief executive officer's (CEO) compensation contract incentivizes overinvestment by 1.3 percentage points per year, with significant variation across firms and over time. We estimate a value of CEO effort implied by compensation contracts and find it to be strongly related to firm intangibility. Finally, we assess ...
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作者：Boissel, Charles; Derrien, Francois; Ors, Evren; Thesmar, David
作者单位：Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：We study how crises affect Central Clearing Counterparties (CCPs). We focus on a large and safe segment of the CCP-cleared repo market during the Eurozone sovereign debt crisis. We develop a simple model to infer CCP stress, which is measured as repo rates' sensitivity to sovereign credit default swaps (CDS) spreads and jointly captures (1) the effectiveness of haircut policies, (2) CCP-member default risk (conditional on sovereign default), and (3) CCP default risk (conditional on both sovere...
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作者：Agarwal, Sumit; Ben-David, Itzhak; Yao, Vincent
作者单位：Georgetown University; University System of Ohio; Ohio State University; National Bureau of Economic Research; University System of Georgia; Georgia State University
摘要：Institutions often offer a menu of contracts to consumers in an attempt to create a separating equilibrium that reveals borrower types and provides better pricing. We test the effectiveness of a specific set of contracts in the mortgage market: mortgage points. Points allow borrowers to exchange an upfront amount for a decrease in the mortgage rate. We document that, on average, points takers lose about $700. Also, points takers are less financially savvy (less educated, older), and they make ...
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作者：Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y.
作者单位：University System of Georgia; Georgia State University; Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine; University of London; London Business School
摘要：This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the Chicago Board Options Exchange (CBOE) volatility index, VIX. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we ...
