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作者：Larcker, David F.; Ormazabal, Gaizka; Taylor, Daniel J.
作者单位：Stanford University; University of Pennsylvania
摘要：This paper investigates the market reaction to recent legislative and regulatory actions pertaining to corporate governance. The managerial power view of governance suggests that executive pay, the existing process of proxy access, and various governance provisions [e.g., staggered boards and Chief Executive Officer (CEO)-chairman duality] are associated with managerial rent extraction. This perspective predicts that broad government actions that reduce executive pay, increase proxy access, an...
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作者：Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias
作者单位：University of Guelph; University of Warwick; City St Georges, University of London
摘要：This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates. Using a new dataset of spot implied volatility quoted on over-the-counter currency options, we compute the forward implied volatility that corresponds to the delivery price of a forward...
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作者：Houston, Joel F.; Lin, Chen; Ma, Yue
作者单位：State University System of Florida; University of Florida; Chinese University of Hong Kong; Lingnan University
摘要：Building on the pioneering study by Beck, Demirguc-Kunt, and Levine (2006), this study examines the effects of media ownership and concentration on corruption in bank lending using a unique World Bank data set covering more than 5,000 firms across 59 countries. We find strong evidence that state ownership of media is associated with higher levels of bank corruption. We also find that media concentration increases corruption both directly and indirectly through its interaction with media state ...
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作者：Henkel, Sam James; Martin, J. Spencer; Nardari, Federico
作者单位：University of Houston System; University of Houston; University of Melbourne
摘要：In the G7 countries, the short-horizon performance of aggregate return predictors such as the dividend yield and the short rate appears non-existent during business cycle expansions but sizable during contractions. This phenomenon appears related to countercyclical risk premiums as well as the time-variation in the dynamics of predictors. Our empirical model outperforms the historical average out-of-sample in the US, but the results throughout the G7 are mixed. (C) 2010 Elsevier B.V. All right...
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作者：Wahal, Sunil; Wang, Albert (Yan)
作者单位：Arizona State University; Arizona State University-Tempe; Chinese University of Hong Kong
摘要：We examine the impact of the entry of new mutual funds on incumbents using the overlap in their portfolio holdings as a measure of competitive intensity. This simple metric delivers powerful economic results. Incumbents that have a high overlap with entrants subsequently engage in price competition by reducing management fees. Distribution fees, however, rise so that investors do not benefit as much from price competition. Funds with high overlap also experience quantity competition through lo...
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作者：Kim, Jeong-Bon; Li, Yinghua; Zhang, Liandong
作者单位：City University of Hong Kong; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Using a large sample of U.S. firms for the period 1993-2009, we provide evidence that the sensitivity of a chief financial officer's (CFO) option portfolio value to stock price is significantly and positively related to the firm's future stock price crash risk. In contrast, we find only weak evidence of the positive impact of chief executive officer option sensitivity on crash risk. Finally, we find that the link between CFO option sensitivity and crash risk is more pronounced for firms in non...
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作者：Glode, Vincent; Green, Richard C.
作者单位：University of Pennsylvania; Carnegie Mellon University
摘要：We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition if informed investors were to partner with non-incumbent managers, incumben...
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作者：Ferreira, Miguel A.; Santa-Clara, Pedro
作者单位：Universidade Nova de Lisboa; European Corporate Governance Institute; National Bureau of Economic Research
摘要：We propose forecasting separately the three components of stock market returns the dividend-price ratio, earnings growth, and price-earnings ratio growth the sum-of-the-parts (SOP) method. Our method exploits the different time series persistence of the components and obtains out-of-sample R-squares (compared with the historical mean) of more than 1.3% with monthly data and 13.4% with yearly data. This compares with typically negative R-squares obtained in a similar experiment with predictive ...
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作者：Dimson, Elroy; Spaenjers, Christophe
作者单位：University of London; London Business School; University of Cambridge; Tilburg University
摘要：This paper uses stamp catalogue prices to investigate the returns on British collectible postage stamps over the period 1900-2008. We find an annualized return on stamps of 7.0% in nominal terms, or 2.9% in real terms. These returns are higher than those on bonds but below those on equities. The volatility of stamp prices approaches that of equities. Stamp returns are impacted by movements in the equity market, but the systematic risk of stamps remains low. Stamps partially hedge against unant...
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作者：Yu, Jianfeng; Yuan, Yu
作者单位：University of Pennsylvania; University of Minnesota System; University of Minnesota Twin Cities; University of Iowa
摘要：This study shows the influence of investor sentiment on the market's mean-variance tradeoff. We find that the stock market's expected excess return is positively related to the market's conditional variance in low-sentiment periods but unrelated to variance in high-sentiment periods. These findings are consistent with sentiment traders who, during the high-sentiment periods, undermine an otherwise positive mean-variance tradeoff. We also find that the negative correlation between returns and c...
