-
作者：Gonzalez-Urteaga, Ana; Rubio, Gonzalo
作者单位：Universidad Publica de Navarra; Universidad CEU Cardenal Herrera
摘要：This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium and, especially, the default premium are shown to be key risk factors in the cross-sectional variation of average volatility risk premium payoffs. The cross-sectional variation of risk premia seems to reflect a very different behavior of the underlying components of our sampl...
-
作者：Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor
作者单位：Duke University; National Bureau of Economic Research; CREATES; Michigan State University; Michigan State University's Broad College of Business; Northwestern University
摘要：We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost 1,000 stocks over two decades, we find that the two rough betas associated with intraday discontinuous and overnight returns entail significant risk premiums, while the intraday continuous beta does not. These higher risk premiums for the ...
-
作者：Li, Jay Yin; Tang, Dragon Yongjun
作者单位：City University of Hong Kong; University of Hong Kong
摘要：This paper provides the first empirical evidence of the externalities of credit default swaps (CDS). We find that a firm's leverage is lower when a larger proportion of its revenue is derived from CDS-referenced customers. This finding is robust to alternative samples and measures, placebo tests, and the selection of customers by suppliers. Moreover, firms affected by customer CDS trading issue equity to lower leverage, and their equity issuance costs are lower. These findings are consistent w...
-
作者：Schepens, Glenn
作者单位：European Central Bank
摘要：This paper shows that a reduction in tax discrimination between debt and equity funding leads to better capitalized financial institutions. The paper exploits exogenous variation in the tax treatment of debt and equity created by the introduction of a tax shield for equity. The results demonstrate that a more equal treatment of debt and equity increases bank capital ratios, driven by an increase in common equity. The change also leads to a significant reduction in risk taking for ex-ante low c...
-
作者：Cooper, Ilan; Priestley, Richard
作者单位：BI Norwegian Business School
摘要：Characteristics play a similar role in describing returns in private firms as in public firms. This evidence suggests a causal effect of optimal investment underlying the role of characteristics, as private firms do not have stock prices to over-or under-react on. Common factor models largely describe the cross section of investment returns of both types of firms, suggesting that the common factors are likely aggregate risk factors. Finally, the cost of capital and firm valuations are similar ...
-
作者：Fischer, Marcel; Gallmeyer, Michael F.
作者单位：Copenhagen Business School; University of Konstanz; University of Virginia
摘要：We study the out-of-sample performance of portfolio trading strategies used when an investor faces capital gain taxation and proportional transaction costs. Overlaying simple tax trading heuristics on trading strategies improves out-of-sample performance. For medium to large transaction costs, no trading strategy can outperform a 1/N trading strategy augmented with a tax heuristic, not even the most tax and transaction cost-efficient buy-and hold strategy. Overall, the best strategy is 1/N aug...
-
作者：Souther, Matthew E.
作者单位：University of Missouri System; University of Missouri Columbia
摘要：I use a sample of closed-end funds to examine how takeover defenses impact shareholder value and promote managerial entrenchment. These funds use the same defenses as general corporations but provide an ideal, homogeneous environment for testing their effects. Defenses are associated with lower fund market values, weaker reactions to activist 13D filings, and higher compensation levels for both fund managers and directors. This study provides greater clarity on the unresolved impact of takeove...
-
作者：Cortes, Kristle; Duchin, Ran; Sosyura, Denis
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan
摘要：Using daily fluctuations in local sunshine as an instrument for sentiment, we study its effect on day-to-day decisions of lower-level financial officers. Positive sentiment is associated with higher credit approvals, and negative sentiment has the opposite effect of a larger magnitude. These effects are stronger when financial decisions require more discretion, when reviews are less automated, and when capital constraints are less binding. The variation in approval rates affects ex post financ...
-
作者：Eckbo, B. Espen; Thorburn, Karin S.; Wang, Wei
作者单位：Dartmouth College; Norwegian School of Economics (NHH); Queens University - Canada; European Corporate Governance Institute; Centre for Economic Policy Research - UK
摘要：We examine chief executive officer (CEO) career and compensation changes for large firms filing for Chapter 11. One-third of the incumbent CEOs maintain executive employment, and these CEOs experience a median compensation change of zero. However, incumbent CEOs leaving the executive labor market suffer a compensation loss with a median present value until age 65 of $7 million (five times pre-departure compensation). The likelihood of leaving decreases with profitability and CEO share ownershi...
-
作者：Cremers, Martijn; Ferreira, Miguel A.; Matos, Pedro; Starks, Laura
作者单位：University of Notre Dame; Universidade Nova de Lisboa; University of Virginia; University of Texas System; University of Texas Austin
摘要：We examine the relation between indexing and active management in the mutual fund industry worldwide. Explicit indexing and closet indexing by active funds are associated with countries' regulatory and financial market environments. We find that actively managed funds are more active and charge lower fees when they face more competitive pressure from low-cost explicitly indexed funds. A quasi-natural experiment using the exogenous variation in indexed funds generated by the passage of pension ...
