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作者：Dessaint, Olivier; Matray, Adrien
作者单位：University of Toronto; Princeton University
摘要：We study how managers respond to hurricane events when their firms are located in the neighborhood of the disaster area. We find that the sudden shock to the perceived liquidity risk leads managers to increase corporate cash holdings and to express more concerns about hurricane risk in 10-Ks/10-Qs, even though the actual risk remains unchanged. Both effects are temporary. Over time, the perceived risk decreases, and the bias disappears. The distortion between perceived and actual risk is large...
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作者：Cain, Matthew D.; McKeon, Stephen B.; Solomon, Steven Davidoff
作者单位：U.S. Securities & Exchange Commission (SEC); University of Oregon; University of California System; University of California Berkeley
摘要：This study evaluates the relation between hostile takeovers and 17 takeover laws from 1965 to 2014. Using a data set of largely exogenous legal changes, we find that certain takeover laws, such as poison pill and business combination laws, have no discernible impact on hostile activity, while others such as fair price laws have reduced hostile takeovers. We construct a Takeover Index from the laws and find that higher takeover protection is associated with lower firm value, consistent with ent...
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作者：He, Zhiguo; Kelly, Bryan; Manela, Asaf
作者单位：University of Chicago; National Bureau of Economic Research; University of Chicago; Washington University (WUSTL)
摘要：We find that shocks to the equity capital ratio of financial intermediaries Primary Dealer counterparties of the New York Federal Reserve possess significant explanatory power for cross-sectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor is strongly ...
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作者：Peters, Ryan H.; Taylor, Lucian A.
作者单位：University of Pennsylvania
摘要：The neoclassical theory of investment has mainly been tested with physical investment, but we show that it also helps explain intangible investment. At the firm level, Tobin's q explains physical and intangible investment roughly equally well, and it explains total investment even better. Compared with physical capital, intangible capital adjusts more slowly to changes in investment opportunities. The classic q theory performs better in firms and years with more intangible capital: Total and e...
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作者：Golinski, Adam; Spencer, Peter
作者单位：University of York - UK
摘要：We advocate the use of excess returns rather than yields or log prices in analysing the risk neutral dynamics of the term structure. We show that under standard assumptions, excess returns are affine in the risk neutral innovations in the factors. This framework has several important advantages. First, it allows for an easy estimation of models that are more flexible than the AR(1). Indeed, we estimate models with more general dynamics, like ARFIMA(p, d, q), almost as easily as AR(1). Second, ...
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作者：Han, Bing; Subrahmanyam, Avanidhar; Zhou, Yi
作者单位：University of Toronto; Shanghai Jiao Tong University; University of California System; University of California Los Angeles; California State University System; San Francisco State University
摘要：We explore the link between credit and equity markets by considering the informational content of the term structure of credit spreads. A shallower credit term structure predicts decreases in default risk and increases in future profitability, as well as favorable earnings surprises. Further, the slope of the credit term structure negatively predicts future stock returns. While systematic slope risk is priced, information diffusion from the credit market to equities, particularly in less visib...
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作者：Shue, Kelly; Townsend, Richard R.
作者单位：University of Chicago; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：The dramatic rise in CEO compensation during the 1990s and early 2000s is a long-standing puzzle. In this paper, we show that much of the rise can be explained by a tendency of firms to grant the same number of options each year. Number-rigidity implies that the grant-date value of option awards will grow with firm equity returns, which were very high on average during the tech boom. Further, other forms of CEO compensation did not adjust to offset the dramatic growth in the value of option pa...
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作者：Edmans, Alex; Jayaraman, Sudarshan; Schneemeier, Jan
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Rochester; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：This paper shows that real decisions depend not only on the total amount of information in prices, but the source of this information-a manager learns from prices when they contain information not possessed by him. We use the staggered enforcement of insider trading laws across 27 countries as a shock to the source of information that leaves total information unchanged: enforcement reduces (increases) managers' (outsiders') contribution to the stock price. Consistent with the predictions of ou...
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作者：Butia, Sabrina; Rindi, Barbara; Werner, Ingrid M.
作者单位：University of Toronto; Bocconi University; Bocconi University; University System of Ohio; Ohio State University
摘要：We show that when a continuous dark pool is added to a limit order book that opens illiquid, book and consolidated fill rates and volume increase, but spread widens, depth declines, and welfare deteriorates. The adverse effects on market quality and welfare are mitigated when book-liquidity builds but so are the positive effects on trading activity. All effects are stronger when traders' valuations are less dispersed, access to the dark pool is greater, horizon is longer, and relative tick siz...
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作者：Monnet, Cyril; Quintin, Erwan
作者单位：University of Bern; Study Center Gerzensee
摘要：Opacity assumes at least two prominent forms in asset markets. Dark exchanges and over-the-counter markets enable expert investors to hide their orders while originators carefully control the disclosure of fundamental information about the assets they source. We describe a simple model in which both forms of opacity- hidden orders and limited disclosure - complement one another. Costly investor expertise gives originators incentives to deliver assets of good quality. Keeping expert orders hidd...
