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作者：Fang, Jieyan; Kempf, Alexander; Trapp, Monika
作者单位：University of Mannheim; University of Cologne; University of Cologne
摘要：We show that fund families allocate their most skilled managers to market segments in which manager skill is rewarded best. In efficient markets, even skilled managers cannot generate excess returns. In less efficient markets, skilled managers can exploit inefficiencies and generate higher performance than unskilled managers. Fund families seem to be aware of the relation between skill, efficiency, and performance, and allocate more skilled managers to inefficient markets. They pursue this str...
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作者：Carlin, Bruce I.; Longstaff, Francis A.; Matoba, Kyle
作者单位：University of California System; University of California Los Angeles
摘要：How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage dealers about prepayment speeds. We examine how disagreement evolves over time and study its effects on expected returns, return volatility, ...
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作者：Ouimet, Paige; Zarutskie, Rebecca
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Young firms disproportionately employ and hire young workers. On average, young employees in young firms earn higher wages than young employees in older firms. Young employees disproportionately join young firms with greater innovation potential and that exhibit higher growth, conditional on survival. We argue that the skills, risk tolerance, and joint dynamics of young workers contribute to their disproportionate share of employment in young firms. Moreover, an increase in the supply of young...
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作者：Hu, Jianfeng
作者单位：Singapore Management University
摘要：After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance into an imbalance induced by option transactions and an imbalance independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the cross sect...
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作者：Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O.
作者单位：Georgetown University; New York University; University of Melbourne; Ozyegin University
摘要：This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of the cross-sectional dispersion in hedge fund returns. However, the same is not true for mutual funds, for which there is no significant relationship. After controlling for a large set of fund characteristics and risk factors, the positive relation betwe...
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作者：Hsu, Po-Hsuan; Tian, Xuan; Xu, Yan
作者单位：University of Hong Kong; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We examine how financial market development affects technological innovation. Using a large data set that includes 32 developed and emerging countries and a fixed effects identification strategy, we identify economic mechanisms through which the development of equity markets and credit markets affects technological innovation. We show that industries that are more dependent on external finance and that are more high-tech intensive exhibit a disproportionally higher innovation level in countrie...
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作者：Choi, Hyun-Soo; Hong, Harrison; Scheinkman, Jose
作者单位：Singapore Management University; Princeton University; Columbia University; National Bureau of Economic Research
摘要：We develop a speculation-based theory of home improvements. Housing services are produced from a mix of land and structures. Homeowners optimistic about future prices for these services speculate by making improvements, which we model as them increasing their structures holding fixed their land. The recoup value (the difference between the resale value of improvements and construction costs) is simultaneously increasing in home price appreciation and falls with construction cost growth. This p...
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作者：Foucault, Thierry; Fresard, Laurent
作者单位：Hautes Etudes Commerciales (HEC) Paris; University System of Maryland; University of Maryland College Park
摘要：Peers' valuation matters for firms' investment: a one standard deviation increase in peers' valuation is associated with a 5.9% increase in corporate investment. This association is stronger when a firm's stock price informativeness is lower or when its managers appear less informed. Also, the sensitivity of a firm's investment to its stock price is lower when its peers' stock price informativeness is higher or when demands for its products and its peers' products are more correlated. Furtherm...
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作者：Tahoun, Ahmed
作者单位：University of London; London Business School
摘要：I examine whether stock ownership by politicians helps to enforce noncontractible quid pro quo relations with firms. The ownership by US Congress members in firms contributing to their election campaigns is higher than in noncontributors. This bias toward contributors depends on the financial incentives of politicians and the relation's value. Firms with a stronger ownership-contribution association receive more government contracts. The financial gains from these contracts are economically la...
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作者：Conrad, Jennifer; Kapadia, Nishad; Xing, Yuhang
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Rice University; Tulane University
摘要：Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have abnormally low average future returns. We show that firms with a high potential for default (death) also tend to have a relatively high probability of extremely large (jackpot) payoffs. Consistent with an investor preference for skewed, lottery-like payoffs, stocks with high predicted probabilities for jackpot returns earn abnormally low average returns. Stocks with high death or jackpot probabiliti...
