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作者：Dewenter, Kathryn L.; Han, Xi; Malatesta, Paul H.
作者单位：University of Washington; University of Washington Seattle; Tsinghua University
摘要：We analyze the impact of sovereign wealth fund (SWF) investments on firm values and provide evidence consistent with the tradeoff between the monitoring and lobbying benefits versus tunneling and expropriation costs of SWFs as blockholders. The data show significant positive (negative) returns to announcements of SWF investments (divestments). The returns are non-monotonic, first rising (falling) and then falling (rising) with the share sought (sold) for investments (divestments). Moreover, we...
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作者：Bernstein, Asaf; Hughson, Eric; Weidenmier, Marc D.
作者单位：Claremont Colleges; Claremont Graduate University; Claremont McKenna College; Claremont Colleges; Harvey Mudd College; National Bureau of Economic Research
摘要：We use the founding of the Federal Reserve to identify the effects of a lender of last resort. We examine stock return and interest rate volatility during September and October, when markets were vulnerable because of financial stringency from the harvest. Stock volatility fell by 40% and interest rate volatility by more than 70% following the monetary regime change. The drop is insignificant if major panic years are omitted from the analysis, however. Because business cycle downturns occurred...
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作者：Chen, Qi; Goldstein, Itay; Jiang, Wei
作者单位：University of Pennsylvania; Duke University; Columbia University
摘要：The paper provides empirical evidence that strategic complementarities among investors generate fragility in financial markets. Analyzing mutual fund data, we find that, consistent with a theoretical model, funds with illiquid assets (where complementarities are stronger) exhibit stronger sensitivity of outflows to bad past performance than funds with liquid assets. We also find that this pattern disappears in funds where the shareholder base is composed mostly of large investors. We present f...
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作者：Baik, Bok; Kang, Jun-Koo; Kim, Jin-Mo
作者单位：Nanyang Technological University; Seoul National University (SNU); Rutgers University System; Rutgers University New Brunswick
摘要：We examine the informational role of geographically proximate institutions in stock markets. We find that both the level of and change in local institutional ownership predict future stock returns, particularly for firms with high information asymmetry; in contrast, such predictive abilities are relatively weak for nonlocal institutional ownership. The local advantage is especially evident for local investment advisors, high local ownership institutions, and high local turnover institutions. W...
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作者：Dorn, Daniel; Huberman, Gur
作者单位：Drexel University; Columbia University; Centre for Economic Policy Research - UK
摘要：The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks whose volatilities are commensurate with their risk aversion. The data, 1995-2000 holdings of over 20,000 clients at a large German broker, are consistent with the predictions of the hypothesis: the returns of stocks within each portfolio have remarkably similar volatilities, when stocks are sold they are replaced by stocks of similar volatilities, and the more risk-averse customers indeed hold l...
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作者：Huang, Jennifer; Wang, Jiang
作者单位：University of Texas System; University of Texas Austin; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper represents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and welfare. We show that, when constant market presence is costly, purely idiosyncratic shocks lead to endogenous demand of liquidity and large price deviations from fundamentals. Moreover, market forces fail to lead to efficient supply of liquidity, which calls for potential policy interventions. However, we demonstrate that different policy tools can yield different efficiency co...
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作者：Munk, Claus; Sorensen, Carsten
作者单位：Aarhus University; Aarhus University; Copenhagen Business School
摘要：We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (HID) data supports this relation with substantial variation across individuals in the slope of this affine function. The slope is crucial for the valuation and riskiness of human capital and for the optimal stock/bond/...
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作者：Jensen, Gerald R.; Moorman, Theodore
作者单位：Northern Illinois University; Baylor University
摘要：We find evidence of a systematic link between monetary conditions and inter-temporal variation in the price of liquidity. Specifically, following an expansive monetary policy shift, funding conditions improve and market-wide liquidity increases, which is especially beneficial for illiquid securities. The improved liquidity and funding conditions reduce the returns required for holding illiquid securities. Consequently, illiquid stocks experience relatively large price increases when monetary c...
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作者：Jermann, Urban J.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：This paper studies the determinants of the equity premium as implied by producers' first-order conditions. A simple closed form expression is presented for the Sharpe ratio as a function of investment volatility and technology parameters. Calibrated to the US postwar economy, the model can match the historical first and second moments of the market return and the risk-free interest rate. The model also generates a very volatile Sharpe ratio and market price of risk. (C) 2010 Elsevier B.V. All ...
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作者：Kang, Qiang; Liu, Qiao; Qi, Rong
作者单位：University of Hong Kong; University of Miami; St. John's University
摘要：We assess the impact of the Sarbanes-Oxley Act of 2002 on corporate investment in an investment Euler equation framework. We allow a dummy for the passage of the Act to affect the rate at which managers discount future investment payoffs. Using generalized method of moments estimators, we find that the rate U.S. firm managers apply to discount investment projects rises significantly after 2002, while the discount rate for U.K. firms remains unchanged. The effects of the legislation on corporat...
