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作者：Edmans, Alex
作者单位：University of Pennsylvania
摘要：This paper analyzes the relationship between employee satisfaction and long-run stock returns. A value-weighted portfolio of the 100 Best Companies to Work For in America earned an annual four-factor alpha of 3.5% from 1984 to 2009, and 2.1% above industry benchmarks. The results are robust to controls for firm characteristics, different weighting methodologies, and the removal of outliers. The Best Companies also exhibited significantly more positive earnings surprises and announcement return...
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作者：Cuoco, Domenico; Kaniel, Ron
作者单位：University of Rochester; University of Pennsylvania; Centre for Economic Policy Research - UK
摘要：This paper analyzes the asset pricing implications of commonly used portfolio management contracts linking the compensation of fund managers to the excess return of the managed portfolio over a benchmark portfolio. The contract parameters, the extent of delegation, and equilibrium prices are all determined endogenously within the model we consider. Symmetric (fulcrum) performance fees distort the allocation of managed portfolios in a way that induces a significant and unambiguous positive effe...
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作者：Jylha, Petri; Suominen, Matti
作者单位：Aalto University
摘要：In this paper, we study a two-country general equilibrium model with partially segmented financial markets, where hedge funds emerge endogenously. Empirically, we show that the hedge fund investment strategy predicted by our model, which we call the risk-adjusted carry trade strategy, explains more than 16% of the overall hedge fund index returns and more than 33% of the fixed income arbitrage sub-index returns. The flow of new money to hedge funds affects market interest rates, exchange rates...
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作者：John, Kose; Knyazeva, Anzhela; Knyazeva, Diana
作者单位：University of Rochester; New York University
摘要：We investigate the impact of geography on agency costs and firm dividend policies. We argue that remote firm location increases the cost of shareholder oversight of managerial investment decisions. We hypothesize that remotely located firms facing free cash flow problems precommit to higher dividends to mitigate agency conflicts. We find that remotely located firms pay higher dividends. As expected, the effect of geography on dividends is most pronounced for firms with severe free cash flow pr...
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作者：Lettau, Martin; Wachter, Jessica A.
作者单位：University of Pennsylvania; University of California System; University of California Berkeley
摘要：This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market, and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimon...
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作者：Da, Zhi; Warachka, Mitch
作者单位：Singapore Management University; University of Notre Dame
摘要：We find the disparity between long-term and short-term analyst forecasted earnings growth is a robust predictor of future returns and long-term analyst forecast errors. After adjusting for industry characteristics, stocks whose long-term earnings growth forecasts are far above or far below their implied short-term forecasts for earnings growth have negative and positive subsequent risk-adjusted returns along with downward and upward revisions in long-term forecasted earnings growth, respective...
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作者：Liljeblom, Eva; Pasternack, Daniel; Rosenberg, Matts
作者单位：Hanken School of Economics
摘要：We analyze the factors that drive exercise price policy for executive option plans (ESOPs) and their scope in a country where firms are not subject to the tax and accounting considerations that seem to have led to the dominance of at-the-money options in the US Our unbounded data for Finland provide us with an excellent opportunity to investigate whether contract design is consistent with compensation theory. Our findings are largely consistent with predictions from the optimal contracting lit...
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作者：Kandel, Eugene; Massa, Massimo; Simonov, Andrei
作者单位：INSEAD Business School; Hebrew University of Jerusalem; Michigan State University
摘要：We hypothesize that age similarity among small shareholders acts as an implicit coordinating device for their actions and, thus, could represent an indirect source of corporate governance in firms with dispersed ownership. We test this hypothesis on a sample of Swedish firms during the 1995-2000 period. Consistent with our hypothesis, we find that compared with shareholders of differing ages, same-age noncontrolling shareholders sell more aggressively following negative firm news; firms with m...
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作者：Maskara, Pankaj K.; Mullineaux, Donald J.
作者单位：University of Kentucky; Eastern Kentucky University
摘要：Event-study driven research has produced a consensus that loans are unique relative to other financial contracts. But these studies assume that small samples of loan announcements adequately represent the loan population. We find that loan announcements are rare and driven by factors such as information asymmetry and perceived materiality. We show that the sample used by Billett, Flannery, and Garfinkel (1995) fails to represent the loan universe and that significant abnormal announcement retu...
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作者：Cici, Gjergji; Gibson, Scott; Merrick, John J., Jr.
作者单位：William & Mary; University of Cologne
摘要：We study the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is related to bond-specific characteristics associated with liquidity and market volatility. The Trade Reporting and Compliance Engine (TRACE) could have contributed to the general decline in dispersion over our sample period, though other factors most likely played roles. Further tests reveal marking patterns to be consistent with returns smoothing behavior by manager...
