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作者：Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun
作者单位：Goethe University Frankfurt; Universita Ca Foscari Venezia; New York University; Copenhagen Business School; Waseda University
摘要：We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the eurozone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity of the market. A 10% change in the credit default swap (CDS) spread leads to a 13% change in the bid-ask spread, the relation being stronger when the CDS spread exceeds 500 basis points. The Long-Term Refinancing Operations of the ECB weakened the sensitivity of market mak...
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作者：Kim, Hugh Hoikwang; Maurer, Raimond; Mitchell, Olivia S.
作者单位：University of South Carolina System; University of South Carolina Columbia; Goethe University Frankfurt; University of Pennsylvania; National Bureau of Economic Research
摘要：Many households display inertia in investment management over their life cycles. Our calibrated dynamic life cycle portfolio choice model can account for such an apparently 'irrational' outcome, by incorporating the fact that investors must forgo acquiring job-specific skills when they spend time managing their money, and their efficiency in financial decision making varies with age. Resulting inertia patterns mesh well with findings from prior studies and our own empirical results from Panel ...
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作者：Ball, Ray; Gerakos, Joseph; Linnainmaa, Juhani T.; Nikolaev, Valeri
作者单位：University of Chicago; University of Southern California; National Bureau of Economic Research
摘要：Accruals are the non-cash component of earnings. They represent adjustments made to cash flows to generate a profit measure largely unaffected by the timing of receipts and payments of cash. Prior research uncovers two anomalies: expected returns increase in profitability and decrease in accruals. We show that cash-based operating profitability (a measure that excludes accruals) outperforms measures of profitability that include accruals. Further, cash-based operating profitability subsumes ac...
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作者：Borochin, Paul; Golec, Joseph
作者单位：University of Connecticut
摘要：Many event studies only measure a fraction of an event's full value effect because they do not adjust for market anticipation of the event. We present a method based on stock and options prices to measure the full effect that accounts for market anticipation. We apply the method to the passage of Obamacare. Our method estimates the full value effect of Obamacare on the healthcare sector as $55 billion, compared to $16 billion when market anticipation is ignored. The method is applicable to mos...
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作者：Degeorge, Francois; Martin, Jens; Phalippou, Ludovic
作者单位：Swiss Finance Institute (SFI); Universita della Svizzera Italiana; University of Amsterdam; University of Oxford; University of Oxford
摘要：Private equity firms increasingly sell companies to each other in secondary buyouts (SBOs), raising concerns which we examine using novel data sets. Our evidence paints a nuanced picture. SBOs underperform and destroy value for investors when they are made by buyers under pressure to spend. Investors then reduce their capital allocation to the firms doing those transactions. But not all SBOs are money-burning devices. SBOs made under no pressure to spend perform as well as other buyouts. When ...
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作者：Boons, Martijn
作者单位：Universidade Nova de Lisboa
摘要：I study whether risk premiums for exposure to state variables in the cross-section of individual stocks are consistent with how these variables forecast macroeconomic activity in the time series. I find such time series and cross-sectional consistency. This finding suggests that investors are ultimately concerned about business cycle risk and therefore require a premium for exposure to variables that contain systematic economic news. This finding challenges recent portfolio-level evidence show...
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作者：Cremers, Martijn; Pareek, Ankur
作者单位：University of Notre Dame; Rutgers University System; Rutgers University New Brunswick
摘要：Among high active share portfolios whose holdings differ substantially from their benchmark only those with patient investment strategies (with holding durations of over two years) on average outperform, over 2% per year. Funds trading frequently generally underperform, including those with high active share. Among patient funds, separating closet index from high active share funds matters, as low active share funds on average under perform even with patient strategies. Our results suggest tha...
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作者：Rapach, David E.; Ringgenberg, Matthew C.; Zhou, Guofu
作者单位：Saint Louis University; Washington University (WUSTL)
摘要：We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R-2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest's predictive power stems predominantly from a cash f...
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作者：Boone, Audra L.; Floros, Loannis V.; Johnson, Shane A.
作者单位：U.S. Securities & Exchange Commission (SEC); Iowa State University; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：Nearly 40% of IPO firms redact information from their SEC registration filings. These firms exhibit characteristics consistent with the need to shield proprietary information from potential rivals. They experience greater underpricing, but pre-IPO insiders reduce underpricing-related wealth transfers by selling proportionately less of the firm's shares at the IPO, raising more equity financing in later seasoned equity offerings, and selling their own holdings at a relatively slow pace. The inf...
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作者：Jacobs, Heiko
作者单位：University of Mannheim
摘要：Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45 countries between 1994 and 2013, I document economically meaningful and statistically significant cross-sectional stock return predictability around the globe. In contrast to the widely held belief, mispricing associated with the 11 long/short anomalies underlying the composite ranking measure appears to be at least as prevalent in developed markets as in emerging markets. Additional support for this conjecture is obtaine...
