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作者：Boguth, Oliver; Carlson, Murray; Fisher, Adlai; Simutin, Mikhail
作者单位：University of British Columbia; Arizona State University; Arizona State University-Tempe; University of Toronto
摘要：Unconditional alphas are biased when conditional beta covaries with the market risk premium (market timing) or volatility (volatility timing). We demonstrate an additional bias (overconditioning) that can occur any time an empiricist estimates risk using information, such as a realized beta, that is not available to investors ex ante. Calibrating to U.S. equity returns, volatility timing and overconditioning can plausibly impact alphas more than market timing, which has been the focus of prior...
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作者：Bebchuk, Lucian A.; Cremers, K. J. Martijn; Peyer, Urs C.
作者单位：INSEAD Business School; Harvard University; National Bureau of Economic Research; Yale University
摘要：We investigate the relation between the CEO Pay Slice (CPS) the fraction of the aggregate compensation of the top-five executive team captured by the Chief Executive Officer and the value, performance, and behavior of public firms. The CPS could reflect the relative importance of the CEO as well as the extent to which the CEO is able to extracts rents. We find that, controlling for all standard controls, CPS is negatively associated with firm value as measured by industry-adjusted Tobin's q. C...
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作者：Edmans, Alex
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：The option to terminate a manager early minimizes investor losses if he is unskilled. However, it also deters a skilled manager from undertaking efficient long-term projects that risk low short-term earnings. This paper demonstrates how risky debt can overcome this tension. Leverage concentrates equityholders' stakes, inducing them to learn the cause of low earnings. If they result from investment (poor management), the firm is continued (liquidated). Therefore, unskilled managers are terminat...
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作者：Berkman, Henk; Jacobsen, Ben; Lee, John B.
作者单位：Massey University; University of Auckland
摘要：This study provides empirical support for theoretical models that allow for time-varying rare disaster risk. Using a database of 447 international political crises during the period 1918-2006, we create a crisis index that shows substantial variation over time. Changes in this crisis index, our proxy for changes in perceived disaster probability, have a large impact on both the mean and volatility of world stock market returns. Crisis risk is positively correlated with the earnings-price ratio...
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作者：Bakshi, Gurdip; Panayotov, George; Skoulakis, Georgios
作者单位：University System of Maryland; University of Maryland College Park; Georgetown University
摘要：This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and (iv) changes in variance swap rates. Our yardstick for measuring predictive ability is both individual and joint parameter statistical significance within a market, as well as across a set of markets. (C...
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作者：Lin, Chen; Ma, Yue; Malatesta, Paul; Xuan, Yuhai
作者单位：University of Washington; University of Washington Seattle; Chinese University of Hong Kong; Lingnan University; Harvard University
摘要：This article identifies an important channel through which excess control rights affect firm value. Using a new, hand-collected data set on corporate ownership and control of 3,468 firms in 22 countries during the 1996-2008 period, we find that the cost of debt financing is significantly higher for companies with a wider divergence between the largest ultimate owner's control rights and cash-flow rights and investigate factors that affect this relation. Our results suggest that potential tunne...
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作者：DeAngelo, Harry; DeAngelo, Linda; Whited, Toni M.
作者单位：University of Rochester; University of Southern California
摘要：Firms deliberately but temporarily deviate from permanent leverage targets by issuing transitory debt to fund investment. Leverage targets conservatively embed the option to issue transitory debt, with the evolution of leverage reflecting the sequence of investment outlays. We estimate a dynamic capital structure model with these features and find that it replicates industry leverage very well, explains debt issuances/repayments better than extant tradeoff models, and accounts for the leverage...
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作者：Du, Du
作者单位：Hong Kong University of Science & Technology
摘要：This paper proposes a general equilibrium model that explains the pricing of the S&P 500 index options. The central ingredients are a peso component in the consumption growth rate and the time-varying risk aversion induced by habit formation which amplifies consumption shocks. The amplifying effect generates the excess volatility and a large jump-risk premium which combine to produce a pronounced volatility smirk for index options. The time-varying volatility and jump-risk premiums explain the...
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作者：Maksimovic, Vojislav; Phillips, Gordon; Prabhala, N. R.
作者单位：University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
摘要：We examine how firms redraw their boundaries after acquisitions using plant-level data. We find that there is extensive restructuring in a short period following mergers and full-firm acquisitions. Acquirers of full firms sell 27% and close 19% of the plants of target firms within three years of the acquisition. Acquirers with skill in running their peripheral divisions tend to retain more acquired plants. Retained plants increase in productivity whereas sold plants do not. These results sugge...
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作者：Bailey, Warren; Kumar, Alok; Ng, David
作者单位：Cornell University; University of Miami; University of Pennsylvania
摘要：We examine the effect of behavioral biases on the mutual fund choices of a large sample of US discount brokerage investors using new measures of attention to news, tax awareness, and fund-level familiarity bias, in addition to behavioral and demographic characteristics of earlier studies. Behaviorally biased investors typically make poor decisions about fund style and expenses, trading frequency, and timing, resulting in poor performance. Furthermore, trend chasing appears related to behaviora...
