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作者：Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, Christian T.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Indiana University System; Indiana University Bloomington
摘要：This paper investigates fire sales of downgraded corporate bonds induced by regulatory constraints imposed on insurance companies. As insurance companies hold over one-third of investment-grade corporate bonds, the collective need to divest downgraded issues may be limited by a scarcity of counterparties. Using insurance company transaction data, we find that insurance companies that are relatively more constrained by regulation are more likely to sell downgraded bonds. Bonds subject to a high...
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作者：Edwards, Alexander; Shevlin, Terry
作者单位：University of Washington; University of Washington Seattle; University of Toronto
摘要：In an integrated corporate tax system, resident shareholders receive a tax credit for corporate tax paid that can be used to offset personal tax on dividend income. Nonresident and tax-exempt (pension plan) investors cannot use the tax credit on corporate dividends and thus prefer to invest in flow-through entities. We estimate the value of the flow-through entity to nonresident and pension plan investors by examining the price change around the date of an unexpected announcement of a change i...
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作者：Aggarwal, Reena; Erel, Isil; Ferreira, Miguel; Matos, Pedro
作者单位：Georgetown University; University System of Ohio; Ohio State University; Universidade Nova de Lisboa; University of Southern California
摘要：We examine whether institutional investors affect corporate governance by analyzing portfolio holdings of institutions in companies from 23 countries during the period 2003-2008. We find that firm-level governance is positively associated with international institutional investment. Changes in institutional ownership over time positively affect subsequent changes in firm-level governance, but the opposite is not true. Foreign institutions and institutions from countries with strong shareholder...
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作者：Cvitanic, Jaksa; Malamud, Semyon
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; California Institute of Technology
摘要：We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival under an agent-specific, wealth-forward measure. These results allow us to show that price impact and portfolio impact are two independent concepts: a nonsurviving agent with no long-run price impact can have a significant long-run impact on...
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作者：Ferreira, Daniel; Ferreira, Miguel A.; Raposo, Clara C.
作者单位：Universidade Nova de Lisboa; University of London; London School Economics & Political Science; Universidade de Lisboa; European Corporate Governance Institute; Centre for Economic Policy Research - UK
摘要：We develop and test the hypothesis that stock price informativeness affects the structure of corporate boards. We find a negative relation between price informativeness and board independence. This finding is robust to the inclusion of many firm-level controls, including firm fixed effects, and to the choice of the measure of price informativeness. Consistent with the hypothesis that price informativeness and board monitoring are substitutes, this relation is particularly strong for firms more...
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作者：Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur
作者单位：Georgetown University; New York University; Ozyegin University
摘要：This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the cross-sectional variation in hedge fund returns. Both parametric and non-parametric tests indicate a significantly positive (negative) link between default premium beta (inflation beta) and future hedge fund returns. The results are robust across different subsample periods and states of the economy, and...
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作者：Cooper, Ilan; Priestley, Richard
摘要：We ask to what extent the negative relation between investment and average stock returns is driven by risk We show that: (i) the average return spread between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the loadings on the Chen, Roll, and Ross (1986) factors; (ii) as predicted by q-theory and real options models, systematic risk falls during large investment periods; (iii) the returns of factors formed on the i...
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作者：Gilbert, Thomas
作者单位：University of Washington; University of Washington Seattle
摘要：I show that an empirical relation exists between stock returns on macroeconomic news announcement days and the future revisions of the released data but that this link differs across the business cycle. Using three major macroeconomic series that undergo significant revisions (nonfarm payroll, gross domestic product, and industrial production), I present evidence that daily returns on the Standard & Poor's 500 index and revisions are positively related in expansions and negatively related in r...
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作者：Cumming, Douglas; Johan, Sofia; Li, Dan
作者单位：York University - Canada; Tilburg University
摘要：We examine stock exchange trading rules for market manipulation, insider trading, and broker-agency conflict, across countries and over time, in 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules that explicitly prohibit specific manipulative practices, but others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions in the trading rules of each ...
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作者：Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F.
作者单位：New York University; National Bureau of Economic Research; Fordham University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Motivated by existing evidence of a preference among investors for assets with lottery-like payoffs and that many investors are poorly diversified, we investigate the significance of extreme positive returns in the cross-sectional pricing of stocks. Portfolio-level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk-adjusted return differe...
