-
作者：Cronqvist, Henrik; Siegel, Stephan; Yu, Frank
作者单位：China Europe International Business School; University of Washington; University of Washington Seattle
摘要：We find that several factors explain an individual investor's style, i.e., the value versus growth orientation of the investor's stock portfolio. First, we find that an investor's style has a biological basis and is partially ingrained in an investor from birth. Second, we show that an investor's hedging demands as well as behavioral biases explain investment style. Finally, an investor's style is explained by life course theory in that experiences, both earlier and later in life, are related ...
-
作者：Mironov, Maxim
摘要：This paper examines the interaction between the propensity to corrupt (PTC) and firm performance. Using a unique data set of Moscow traffic violations, I construct the PTC of every Muscovite with a driver's license. Next, I determine the PTC for the top management of 58,157 privately held firms. I find that a 1 standard deviation increase in management PTC corresponds to a 3.6% increase in income diversion and that firms with corrupt management significantly outperform their counterparts. This...
-
作者：Bliss, Barbara A.; Cheng, Yingmei; Denis, David J.
作者单位：University of San Diego; State University System of Florida; Florida State University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We document significant reductions in corporate payouts-both dividends and (to a larger extent) share repurchases-during the 2008-2009 financial crisis. Payout reductions are more likely in firms with higher leverage, more valuable growth options, and lower cash balances, i.e., those more susceptible to the negative consequences of an external financing shock. Moreover, firms appear to use the proceeds from the reduction in payout to maintain cash levels and to fund investment. These findings ...
-
作者：Dimson, Elroy; Rousseau, Peter L.; Spaenjers, Christophe
作者单位：University of Cambridge; University of London; London Business School; Vanderbilt University; Hautes Etudes Commerciales (HEC) Paris
摘要：Using historical price records for Bordeaux Premiers Crus, we examine the impact of aging on wine prices and the long-term investment performance of fine wine. In line with the predictions of an illustrative model, young maturing wines from high-quality vintages provide the highest financial returns. Past maturity, famous chateaus deliver growing non-pecuniary benefits to their owners. Using an arithmetic repeat-sales regression over 1900-2012, we estimate a real financial return to wine inves...
-
作者：Bollerslev, Tim; Todorov, Viktor; Xu, Lai
作者单位：Duke University; National Bureau of Economic Research; CREATES; Northwestern University; Syracuse University
摘要：The variance risk premium, defined as the difference between the actual and risk-neutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on a new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the part of the variance risk premium associated with the special compensation demanded by investors for bearing jump tail risk, consistent with the idea that market fears pl...
-
作者：Pevzner, Mikhail; Xie, Fei; Xin, Xiangang
作者单位：University System of Maryland; University of Baltimore; Clemson University; City University of Hong Kong
摘要：We examine whether the level of trust in a country affects investors' perception and utilization of information transmitted by firms through financial disclosure. Specifically, we investigate the effect of societal trust on investor reactions to corporate earnings announcements. We test two competing hypotheses. On the one hand, corporate earnings announcements are perceived as more credible by investors in more trusting societies and, therefore, elicit stronger investor reactions. On the othe...
-
作者：Jeong, Daehee; Kim, Hwagyun; Park, Joon Y.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Korea Development Institute (KDI); Indiana University System; Indiana University Bloomington; Sungkyunkwan University (SKKU)
摘要：This paper considers asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. Under a representative agent setting, we empirically evaluate alternative preference specifications including a multiple-priors recursive utility. We find that relative risk aversion is estimated around 1-8 with ambiguity aversion and 7.4-15 without ambiguity aversion. Estimated ambiguity aversion is both economically and statisticall...
-
作者：Sen, Rik; Tumarkin, Robert
作者单位：Hong Kong University of Science & Technology
摘要：We show that an executive is optimistic about her company's prospects if and only if she retains some of the shares received whenever she exercises company stock options. Empirically, an indicator of optimism based on this idea matches the expected relations between optimism and corporate decision-making better than commonly used indicators based on the timing of option exercise. This makes sense, as our model of an executive's optimal option exercise and portfolio choice demonstrates that the...
-
作者：Hugonnier, Julien; Prieto, Rodolfo
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Boston University
摘要：We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a credit facility. Such credit is valuable as it allows arbitrageurs to exploit the limited arbitrage opportunities that emerge endogenously in reaction to the demand imbalance generated by the portfolio constraint The model is solved in closed...
-
作者：John, Kose; Knyazeva, Anzhela; Knyazeva, Diana
作者单位：New York University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; U.S. Securities & Exchange Commission (SEC)
摘要：This paper examines the outcomes and characteristics of corporate acquisitions from the perspective of stakeholder-shareholder agency conflicts. Using state variation in labor protections, we find that acquirers with strong labor rights experience lower announcement returns. Combined acquirer and target announcement returns are also lower in the presence of strong labor rights. Our findings remain statistically and economically significant after we control for a range of deal, firm, industry a...
