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作者：Bessembinder, Hendrik; Zhang, Feng
作者单位：Utah System of Higher Education; University of Utah
摘要：The well-documented abnormal long-run buy-and-hold returns to firms issuing equity in initial public offerings and seasoned equity offerings, firms bidding in mergers, and firms initiating dividends can be attributed to imperfect control-firm matching. In addition to firm size and market-to-book ratio, event firms on average differ from control firms in terms of idiosyncratic volatility, liquidity, return momentum, and capital investment, each of which also explains returns. We propose a simpl...
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作者：Agrawal, Ashwini K.
作者单位：New York University
摘要：Recent studies have debated the impact of investor protection law on corporate behavior and value. I exploit the staggered passage of state securities fraud statutes (blue sky laws) in the United States to estimate the causal effects of investor protection law on firm financing decisions and investment activity. The statutes induce firms to increase dividends, issue equity, and grow in size. The laws also facilitate improvements in operating performance and market valuations. Overall, the evid...
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作者：Yang, Fan
作者单位：University of Hong Kong
摘要：I identify a slope factor in the cross section of commodity futures returns: high-basis commodity futures have higher loadings on this factor than low-basis commodity futures. Combined with a level factor (an index of commodity futures), this slope factor explains most of the average excess returns of commodity futures portfolios sorted by basis. More importantly, I find that this factor is significantly correlated with investment shocks, which represent the technological progress in producing...
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作者：Loughran, Tim; McDonald, Bill
作者单位：University of Notre Dame
摘要：Form S-1 is the first SEC filing in the initial public offering (IPO) process. The tone of the S-1, in terms of its definitiveness in characterizing the firm's business strategy and operations, should affect investors' ability to value the IPO. We find that IPOs with high levels of uncertain text have higher first-day returns, absolute offer price revisions, and subsequent volatility. Our findings provide empirical evidence for the theoretical models of uncertainty, bookbuilding, and prospect ...
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作者：Boutin, Xavier; Cestone, Giacinta; Fumagalli, Chiara; Pica, Giovanni; Serrano-Velarde, Nicolas
作者单位：City St Georges, University of London; European Corporate Governance Institute; Bocconi University; University of Salerno; Bocconi University; University of Oxford
摘要：We provide evidence that incumbent and entrant firms' access to business group deep pockets affects the entry patterns in product markets. Relying on a unique French data set on business groups, our paper shows that entry into manufacturing industries is negatively related to the cash hoarded by incumbent affiliated groups and positively related to entrant groups' cash. In line with theoretical predictions, we find that the impact of group cash holdingson entry is more important in environment...
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作者：Schwartz-Ziv, Miriam; Weisbach, Michael S.
作者单位：Northeastern University; Harvard University; Michigan State University; Michigan State University's Broad College of Business; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We analyze a unique database from a sample of real-world boardrooms - minutes of board meetings and board-committee meetings of eleven business companies for which the Israeli government holds a substantial equity interest. We use these data to evaluate the underlying assumptions and predictions of models of boards of directors. These models generally fall into two categories: managerial models that assume boards play a direct role in managing the firm, and supervisory models that assume that ...
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作者：Chang, Bo Young; Christoffersen, Peter; Jacobs, Kris
作者单位：University of Toronto; Copenhagen Business School; University of Houston System; University of Houston; Tilburg University
摘要：The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high exposure to innovations in implied market skewness exhibit low returns on average. The results are robust to various permutations of the empirical setup. The market skewness risk premium is statistically a...
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作者：Malamud, Semyon; Rui, Huaxia; Whinston, Andrew
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Texas System; University of Texas Austin
摘要：We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermediary. We calculate the optimal contract for any given effort level and show the natural emergence of extreme punishment for defaults, under which investors stop paying the intermediary after the first default. With securitization contracts opt...
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作者：Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei
作者单位：McMaster University; University of Toronto; Universite de Montreal; University of Texas System; University of Texas Dallas
摘要：This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity premium. The results from our time-series approach reinforce the importance of the skewness premium found in cross-sectional studies using lower-frequency data; and offer a potential resolution to some...
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作者：Adrian, Tobias; Crump, Richard K.; Moench, Emanuel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We show how to price the time series and cross section of the term structure of interest rate using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring a model using five principal components of yields as factors. We demonstrate that this model outperforms the Cochrane and Piazzesi (2008) four-factor specification in out-of-sample exercises but generat...
