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作者：Avramov, Doron; Kosowski, Robert; Naik, Narayan Y.; Teo, Melvyn
作者单位：University of London; London Business School; Hebrew University of Jerusalem; University System of Maryland; University of Maryland College Park; Imperial College London; Singapore Management University
摘要：This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strate...
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作者：Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen; Strebulaev, Ilya
作者单位：University of California System; University of California Los Angeles; Stanford University; National Bureau of Economic Research; University of London; London Business School
摘要：We study corporate bond default rates using an extensive new data set spanning the 1866-2008 period. We find that the corporate bond market has repeatedly suffered clustered default events much worse than those experienced during the Great Depression. For example, during the railroad crisis of 1873-1875, total defaults amounted to 36% of the par value of the entire corporate bond market. Using a regime-switching model, we examine the extent to which default rates can be forecast by financial a...
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作者：Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：We explore the sharp uptrend in recent trading activity and accompanying changes in market efficiency. Higher turnover has been associated with more frequent smaller trades, which have progressively formed a larger fraction of trading volume over time. Evidence indicates that secular decreases in trading costs have influenced the turnover trend. Turnover has increased the most for stocks with the greatest level of institutional holdings, suggesting professional investing as a key contributor t...
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作者：Fich, Eliezer M.; Cai, Jie; Tran, Anh L.
作者单位：Drexel University; City St Georges, University of London
摘要：Unscheduled stock options to target chief executive officers (CEOs) are a nontrivial phenomenon during private merger negotiations. In 920 acquisition bids during 1999-2007. over 13% of targets grant them. These options substitute for golden parachutes and compensate target CEOs for the benefits they forfeit because of the merger. Targets granting unscheduled options are more likely to be acquired but they earn lower premiums. Consequently, deal value drops by $62 for every dollar target CEOs ...
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作者：Lynch, Anthony W.; Tan, Sinan
作者单位：New York University; National Bureau of Economic Research; Fordham University
摘要：Young agents with low wealth-income ratios counter factually hold more stock than young, rich agents and old agents using the standard portfolio choice model with i.i.d. stock returns and labor income. This paper matches the countercyclical volatility and procyclical mean of U.S. labor income and finds that, consistent with U.S. data, young, poor agents now hold less stock than both young, rich agents and old agents, and no stock a large fraction of the time. Our results suggest that the predi...
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作者：Day, Theodore E.; Li, George Z.; Xu, Yexiao
作者单位：University of Texas System; University of Texas Dallas; New Jersey City University
摘要：Empirical support for the hypothesis that closed-end fund discounts are related to overhanging tax liabilities has been mixed. We introduce a new approach to testing this hypothesis by examining changes in discount levels following distributions of dividends and capital gains. Since distributions reduce future shareholder tax liabilities, the tax liability hypothesis implies that closed-end fund discounts should decline following distributions. Focusing on changes in discounts isolates this ta...
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作者：Dichev, Ilia D.; Yu, Gwen
作者单位：Emory University; Harvard University
摘要：The returns of hedge fund investors depend not only on the returns of the funds they hold but also on the timing and magnitude of their capital flows in and out of these funds. We use dollar-weighted returns (a form of Internal Rate of Return (IRR)) to assess the properties of actual investor returns on hedge funds and compare them to buy-and-hold fund returns. Our main finding is that annualized dollar-weighted returns are on the magnitude of 3% to 7% lower than corresponding buy-and-hold fun...
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作者：McLean, R. David
作者单位：University of Alberta
摘要：Firms increasingly issue shares for the purpose of cash savings. During the 1970s, $1.00 of issuance resulted in $0.23 of cash savings; over the most recent decade, $1.00 of issuance resulted in $0.60 of cash savings. This increase is caused by increasing precautionary motives. Proxies for precautionary motives increase over the sample period, and firm-level increases in these proxies are associated with firm-level increases in share issuance-cash savings. Share issuance-cash savings are inver...
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作者：Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Boston University; Dublin City University; Columbia University
摘要：A growing literature suggests that, even in the absence of any ability to predict returns, holding options on the benchmarks or trading frequently can generate positive alpha. The ratio of alpha to its tracking error appraises a fund's performance. This paper derives the performance-maximizing strategy, which turns out to be a variant of a buy-write strategy, and the least upper bound on such performance enhancement. If common equity indices are used as benchmarks, the potential alpha generate...
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作者：Ivashina, Victoria; Sun, Zheng
作者单位：Harvard University; National Bureau of Economic Research; University of California System; University of California Irvine
摘要：One of the most important developments in the corporate loan market over the past decade has been the growing participation of institutional investors. As lenders, institutional investors routinely receive private information about borrowers. However, most of these investors also trade in public securities. This leads to a controversial question: Do institutional investors use private information acquired in the loan market to trade in public securities? This paper examines the stock trading o...
