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作者：Armstrong, Christopher S.; Larcker, David F.; Ormazabal, Gaizka; Taylor, Daniel J.
作者单位：University of Pennsylvania; Stanford University; University of Navarra; IESE Business School
摘要：Prior research argues that a manager whose wealth is more sensitive to changes in the firm's stock price has a greater incentive to misreport. However, if the manager is risk-averse and misreporting increases both equity values and equity risk, the sensitivity of the manager's wealth to changes in stock price (portfolio delta) will have two countervailing incentive effects: a positive reward effect and a negative risk effect. In contrast, the sensitivity of the manager's wealth to changes in r...
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作者：Fu, Fangjian; Lin, Leming; Officer, Micah S.
作者单位：Singapore Management University; State University System of Florida; University of Florida; Loyola Marymount University
摘要：Theory and recent evidence suggest that overvalued firms can create value for shareholders if they exploit their overvaluation by using their stock as currency to purchase less overvalued firms. We challenge this idea and show that, in practice, overvalued acquirers significantly overpay for their targets. These acquisitions do not, in turn, lead to synergy gains. Moreover, these acquisitions seem to be concentrated among acquirers with the largest governance problems. CEO compensation, not sh...
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作者：Chakraborty, Indraneel; Gantchev, Nickolay
作者单位：Southern Methodist University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a new role for private investments in public equity (PIPEs) as a mechanism to reduce coordination frictions among existing equity holders. We establish a causal link between the coordination ability of incumbent shareholders and PIPE issuance. This result obtains even after controlling for alternative explanations such as information asymmetry and access to public markets. Improved equity coordination following a private placement leads to favorable debt renegotiations within one ye...
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作者：Pastor, L'ubos; Veronesi, Pietro
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We develop a general equilibrium model of government policy choice in which stock prices respond to political news. The model implies that political uncertainty commands a risk premium whose magnitude is larger in weaker economic conditions. Political uncertainty reduces the value of the implicit put protection that the government provides to the market. It also makes stocks more volatile and more correlated, especially when the economy is weak. We find empirical evidence consistent with these...
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作者：Bebchuk, Lucian A.; Cohen, Alma; Wang, Charles C. Y.
作者单位：National Bureau of Economic Research; Harvard University; Tel Aviv University; Harvard University
摘要：The correlation between governance indices and abnormal returns documented for 1990-1999 subsequently disappeared. The correlation and its disappearance are both due to market participants' gradually learning to appreciate the difference between good-governance and poor-governance firms. Consistent with learning, the correlation's disappearance was associated with increases in market participants' attention to governance; market participants and security analysts were, until the beginning of t...
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作者：Polkovnichenko, Valery; Zhao, Feng
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Texas System; University of Texas Dallas
摘要：The empirical pricing kernels estimated from index options are non-monotone (Rosenberg and Engle, 2002; Bakshi, Madan, and Panayotov, 2010) and the corresponding risk-aversion functions can be negative (Nit-Sahalia and Lo, 2000; Jackwerth, 2000). We show theoretically that these and several other properties of empirical pricing kernels are consistent with rank-dependent utility model with probability weighting function, which overweights tail events. We also estimate the pricing kernels nonpar...
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作者：Muravyev, Dmitriy; Pearson, Neil D.; Broussard, John Paul
作者单位：Boston College; University of Illinois System; University of Illinois Urbana-Champaign; Rutgers University System; Rutgers University Camden; Rutgers University New Brunswick
摘要：We use tick-by-tick quote data for 39 liquid US stocks and options on them, and we focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option market quotes adjust to eliminate the disagreement, while the stock market quotes behave normally, as if there were no disagreement. The disagreement events are typically precipitated by stock price move...
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作者：Shive, Sophie; Yun, Hayong
作者单位：University of Notre Dame
摘要：We find that patient traders profit from the predictable, flow-induced trades of mutual funds. In anticipation of a 1%-of-volume change in mutual fund flows into a stock next quarter, the institutions in the same 13F category as hedge funds trade 0.29-0.45% of volume in the current quarter. A third of the trading is associated with the subset of 504 identified hedge funds. The effect is stronger when quarterly mutual fund portfolio disclosure is required and among hedge funds with more patient...
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作者：Kitsul, Yuriy; Wright, Jonathan H.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Johns Hopkins University
摘要：Recently a market in options based on consumer price index inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these probability density functions respond to news announcements and find that the implied odds of deflation are sensitive to certain macroeconomic news releases. We also estimate empirical pricing kernels using these option prices along with time series models fitted t...
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作者：Berzins, Janis; Liu, Crocker H.; Trzcinka, Charles
作者单位：Cornell University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We find evidence that conflicts of interest are pervasive in the asset management business owned by investment banks. Using data from 1990 to 2008, we compare the alphas of mutual funds, hedge funds, and institutional funds operated by investment banks and non-bank conglomerates. We find that, while no difference exists in performance by fund type, being owned by an investment bank reduces alphas by 46 basis points per year in our baseline model. Making lead loans increases alphas, but the dis...
