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作者：Israel, Ronen; Moskowitz, Tobias J.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is weak among the largest stocks. Momentum profits, however, exhibit no reliable relation with size. These effects are robust over 86 year...
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作者：Ozmel, Umit; Robinson, David T.; Stuart, Toby E.
作者单位：Purdue University System; Purdue University; Duke University; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：We study the trade-offs that biotech start-ups face in the private equity market when they choose between raising firm-level capital from venture capitalists or project-level capital from strategic alliance partners. Increased alliance activity makes future alliances more likely, but future VC activity less likely. In contrast, venture capital (VC) activity makes both future alliance and future VC activity more likely. Both types of private capital raise the hazard of going public. Acquisition...
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作者：Asquith, Paul; Au, Andrea S.; Covert, Thomas; Pathak, Parag A.
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University; Massachusetts Institute of Technology (MIT)
摘要：This paper describes the market for borrowing corporate bonds using a comprehensive data set from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points, and both have fallen over time. Factors that influence borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. There is no evidence that bond short sellers have private information. Bonds with Credit Default Swaps (CDS) contracts ar...
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作者：Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian T.; Siegel, Stephan
作者单位：Columbia University; National Bureau of Economic Research; Duke University; University of North Carolina; University of North Carolina Chapel Hill; University of Washington; University of Washington Seattle
摘要：We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on both economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one industry, irrespective of the country, implying narrowing valuation differentials as countries become more integrated. Our analysis of the 1990-2007 period shows that membership in the EU significantly lower...
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作者：Eisfeldt, Andrea L.; Kuhnen, Camelia M.
作者单位：University of California System; University of California Los Angeles; Northwestern University
摘要：There is widespread concern about whether Chief Executive Officers (CEOs) are appropriately punished for poor performance. While CEOs are more likely to be forced out if their performance is poor relative to the industry average, overall industry performance also matters. This seems puzzling if termination is disciplinary, however, we show that both absolute and relative performance-driven turnover can be natural and efficient outcomes in a competitive assignment model in which CEOs and firms ...
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作者：Bar-Isaac, Heski; Shapiro, Joel
作者单位：University of Toronto; University of Oxford
摘要：Credit rating agencies (CRAs) have long held that reputational concerns discipline their behavior. The value of reputation, however, depends on economic fundamentals that vary over the business cycle. In a model of ratings incorporating endogenous reputation and a market environment that varies, we find that ratings quality is countercyclical. Specifically, a CRA is more likely to issue less-accurate ratings when fee-income is high, competition in the labor market for analysts is tough, and se...
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作者：Favilukis, Jack
作者单位：University of London; London School Economics & Political Science
摘要：The last 30 years saw substantial increases in wealth inequality and stock market participation, smaller increases in consumption inequality and the fraction of indebted households, a decline in interest rates and the expected equity premium, as well as a prolonged stock market boom. In an incomplete markets, overlapping generations model I jointly explain these trends by the observed rise in wage inequality, decrease in participation costs, and loosening of borrowing constraints. After accoun...
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作者：Gantchev, Nickolay
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper provides benchmarks for monitoring costs and evaluates the net returns to shareholder activism. I model activism as a sequential decision process consisting of demand negotiations, board representation, and proxy contest and estimate the costs of each activism stage. A campaign ending in a proxy fight has average costs of $10.71 million. I find that the estimated monitoring costs reduce activist returns by more than two-thirds. The mean net activist return is close to zero but the t...
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作者：Duchin, Ran; Schmidt, Breno
作者单位：University of Washington; University of Washington Seattle; Emory University
摘要：We show that acquisitions initiated during periods of high merger activity (merger waves) are accompanied by poorer quality of analysts' forecasts, greater uncertainty, and weaker CEO turnover-performance sensitivity. These conditions imply reduced monitoring and lower penalties for initiating inefficient mergers. Therefore, merger waves may foster agency-driven behavior, which, along with managerial herding, could lead to worse mergers. Consistent with this hypothesis, we find that the averag...
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作者：Du, Du
作者单位：City University of Hong Kong
摘要：This paper presents a consumption-based general equilibrium model for valuing foreign exchange contingent claims. The model identifies a novel economic mechanism by exploiting highly but imperfectly shared consumption disaster with variable intensities which are the concerns to the representative investor under recursive utility. When applied to the data, the model simultaneously replicates (i) the moderate option-implied volatilities; (ii) substantial variations in the risk-neutral skewness o...
