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作者：Aktas, Nihat; de Bodt, Eric; Roll, Richard
作者单位：SKEMA Business School; Universite de Lille; Universite de Lille; SKEMA Business School
摘要：Knowledge gleaned from previous acquisitions may confer valuation expertise and other benefits. But numerous acquisitions also entail costs, due to problems of incorporating diverse units into an ever larger firm. Such benefits and costs are not directly observable from outside the firm. This article proposes a simple model to infer their relative importance, using the time between successive deals. The data requirements are minimal and allow the use of all mergers and acquisitions during 1992...
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作者：Ferson, Wayne; Nallareddy, Suresh; Xie, Biqin
作者单位：University of Southern California; Columbia University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the classical, stationary version. Both the long-run and the short-run consumption shocks in the models are empirically important for the models' performance. The models' average pricing errors are especially small in the decades from the 1950s to the 1990s. When w...
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作者：Bereskin, Frederick L.; Cicero, David C.
作者单位：University of Delaware; University of Tennessee System; University of Tennessee Knoxville
摘要：We examine how Chief Executive Officer (CEO) compensation increased at a subset of firms in response to a governance shock that affected compensation levels at other firms in the economy. We first show that Delaware-incorporated firms with staggered boards and no outside blockholders increased CEO compensation following the mid-1990s Delaware legal cases that strengthened their ability to resist hostile takeovers. Consistent with the Gabaix and Landier (2008) contagion hypothesis, non-Delaware...
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作者：Tzioumis, Konstantinos; Gee, Matthew
作者单位：United States Department of the Treasury; Office of the Comptroller of the Currency; University of Chicago
摘要：In the aftermath of the recent financial crisis, banks should ensure that their incentive compensation policies appropriately balance long-term risk with short-term rewards. Using daily output data from mortgage officers in a US commercial bank, we test the notion that nonlinear contracts create time-varying incentives for the employees and impose costs on the firm. We provide empirical evidence that mortgage officers greatly increase their output toward the end of each month, when the minimum...
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作者：Cao, Charles; Chen, Yong; Liang, Bing; Lo, Andrew W.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Massachusetts System; University of Massachusetts Amherst; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios' market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we find strong evidence of liquidity timing. A bootstrap analysis suggests that top-ranked liquidity timers cannot be attributed to pure luck. In out-of-sample tests, top liquidity timers outperform bottom timers by 4.0-5.5% annually on a risk-adjusted ba...
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作者：Bolton, Patrick; Chen, Hui; Wang, Neng
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic financing conditions. The model predicts (1) cuts in investment and payouts in bad times and equity issues in good times even without immediate financing needs; (2) a positive correlation between equit...
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作者：Chyz, James A.; Leung, Winnie Siu Ching; Li, Oliver Zhen; Rui, Oliver Meng
作者单位：University of Tennessee System; University of Tennessee Knoxville; University of Hong Kong; National University of Singapore; China Europe International Business School
摘要：We examine the impact of unionization on firms' tax aggressiveness. We find a negative association between firms' tax aggressiveness and union power and a decrease in tax aggressiveness after labor union election wins. This relation is consistent with labor unions influencing managers' in one, or both, of two ways: (1) constraining managers' ability to invest in tax aggressiveness through increased monitoring: or (2) decreasing returns to tax aggressiveness that arise from unions' rent seeking...
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作者：Acharya, Viral V.; Schnabl, Philipp; Suarez, Gustavo
作者单位：New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We analyze asset-backed commercial paper conduits, which experienced a shadow-banking run and played a central role in the early phase of the financial crisis of 2007-2009. We document that commercial banks set up conduits to securitize assets worth $1.3 trillion while insuring the newly securitized assets using explicit guarantees. We show that regulatory arbitrage was an important motive behind setting up conduits. In particular, the guarantees were structured so as to reduce regulatory capi...
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作者：He, Zhiguo; Xiong, Wei
作者单位：University of Chicago; National Bureau of Economic Research; Princeton University
摘要：This paper develops a model to explain the widely used investment mandates in the institutional asset management industry based on two insights: first, giving a manager more investment flexibility weakens the link between fund performance and his effort in the designated market, and thus increases agency cost. Second, the presence of outside assets with negatively skewed returns can further increase the agency cost if the manager is incentivized to pursue outside opportunities. These effects m...
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作者：Wahal, Sunil; Yavuz, M. Deniz
作者单位：Purdue University System; Purdue University; Arizona State University; Arizona State University-Tempe
摘要：Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future stock returns after controlling for size, book-to-market and past stock returns. We also use comovement to identify style investing and assess its impact on momentum. High comovement momentum portfolios hav...
