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作者：Anderson, Evan W.; Ghysels, Eric; Juergens, Jennifer L.
作者单位：Northern Illinois University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve Bank - New York; University of Texas System; University of Texas Austin
摘要：We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical risk-return trade-off and augment these models with our measure of uncertainty. We find stronger empirical evidence for an uncertainty-return trade-off than for the traditional risk-return trade-off. F...
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作者：Goyal, Amit; Saretto, Alessio
作者单位：Purdue University System; Purdue University; Emory University
摘要：We study the cross-section of stock option returns by sorting stocks on the difference between historical realized volatility and at-the-money implied volatility. We find that a zero-cost trading strategy that is long (short) in the portfolio with a large positive (negative) difference between these two volatility measures produces an economically and statistically significant average monthly return. The results are robust to different market conditions, to stock risks-characteristics, to vari...
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作者：Carlin, Bruce Ian; Dorobantu, Florin; Viswanathan, S.
作者单位：University of California System; University of California Los Angeles; The Brattle Group; Duke University
摘要：How does trust evolve in markets? What is the optimal level of regulation and how does this affect trust formation and economic growth? In a theoretical model, we analyze these questions, given the value of social capital and the potential for growth in the market. When social capital is valuable, regulation and trustfulness are substitutes. In this case, regulation may cause lower aggregate investment and decreased economic growth. When the social capital is less valuable, regulation and trus...
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作者：Benmelech, Efraim; Bergman, Nittai K.
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; National Bureau of Economic Research
摘要：We examine how collateral affects the cost of debt capital. Using a novel data set of secured debt issued by U.S. airlines, we construct industry-specific measures of collateral redeployability. We show that debt tranches that are secured by more redeployable collateral exhibit lower credit spreads, higher credit ratings, and higher loan-to-value ratios-an effect which our estimates show to be economically sizeable. Our results suggest that the ability to pledge collateral, and in particular r...
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作者：Hsu, Po-Hsuan
作者单位：University of Connecticut
摘要：In this paper, I propose that technological innovations increase expected stock returns and premiums at the aggregate level. I use aggregate patent data and research and development (R&D) data to measure technological innovations in the U.S., and find that patent shocks and R&D shocks have positive and distinct predictive power for U.S. market returns and premiums. Similar patterns are also found in international data including other G7 countries, China, and India. These findings are consisten...
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作者：Lee, Gemma; Masulis, Ronald W.
作者单位：Vanderbilt University; Seton Hall University
摘要：Flotation costs represent a significant loss of capital to firms and are positively related to information asymmetry between managers and outside investors. We measure a firm's information asymmetry by its accounting information quality based on two extensions of the Dechow and Dichev [2002. The quality of accruals and earnings: the role of accrual estimation errors. Accounting Review 77, 35-59] earnings accruals model, which is a more direct approach to assessing the information available to ...
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作者：Carlin, Bruce I.
作者单位：University of California System; University of California Los Angeles
摘要：There is mounting empirical evidence to suggest that the law of one price is violated in retail financial markets: there is significant price dispersion even when products are homogeneous. Also, despite the large number of firms in the market, prices remain above marginal cost and may even rise as more firms enter. in a non-cooperative oligopoly pricing model, I show that these anomalies arise when firms add complexity to their price structures. Complexity increases the market power of the fir...
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作者：Brockman, Paul; Khurana, Inder K.; Martin, Xiumin
作者单位：University of Missouri System; University of Missouri Columbia; Washington University (WUSTL)
摘要：Managers increase the frequency and magnitude of bad news announcements during the 1-month period prior to repurchasing shares. To a lesser extent, they also increase the frequency and magnitude of good news announcements during the 1-month period following their repurchases. These results are consistent with Barclay and Smith's [1988. Corporate payout policy: Cash dividends versus open-market repurchases. journal of Financial Economics 22, 64-82.] conjecture that share repurchases, unlike div...
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作者：Zia, Bilal H.
作者单位：The World Bank
摘要：This paper combines an exogenous shock to the supply of subsidized credit with unique loan-level data from the export sector in Pakistan to identify the impact and allocation of such financial incentives. The removal of subsidized credit causes a significant decline in the exports of privately owned firms, while the exports of large, publicly listed, and group network firms are unaffected. Publicly listed firms make no significant adjustments to their balance sheets, and only their profits are...
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作者：Del Guercio, Diane; Seery, Laura; Woidtke, Tracie
作者单位：University of Oregon; University of Tennessee System; University of Tennessee Knoxville; University of Tennessee System; University of Tennessee Knoxville
摘要：We examine just vote no campaigns, a recent innovation in low-cost shareholder activist tools whereby activists encourage their fellow shareholders to withhold votes toward a director's election to express dissatisfaction with management performance or the firm's corporate governance structure. Grundfest [1993. Just vote no: a minimalist strategy for dealing with barbarians inside the gates. Stanford Law Review 45, 857-937] argues that a substantial withheld vote motivates directors to take im...
