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作者：Farhi, Emmanuel; Panageas, Stavros
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：We Study optimal consumption and portfolio choice in a framework where investors adjust their labor Supply through an irreversible choice of their retirement time. We show that investing for early retirement tends to increase savings and reduce an agent's effective relative risk aversion, thus increasing her stock market exposure. Contrary to common intuition, an investor might find it optimal to increase the proportion of financial wealth held in stocks as she ages and accumulates assets, eve...
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作者：Doidge, Craig; Karolyi, G. Andrew; Stulz, Ren M.
作者单位：University System of Ohio; Ohio State University; University of Toronto; National Bureau of Economic Research
摘要：This paper develops and tests a model of how country characteristics, such as legal protections for minority investors and the level of economic and financial development, influence firms' costs and benefits in implementing measures to improve their own governance and transparency. We find that country characteristics explain much more of the variance in governance ratings (ranging from 39% to 73%) than observable firm characteristics (ranging from 4% to 22%). Further, we show that firm charac...
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作者：DeMarzo, Peter; Kaniel, Ron; Kremer, Ilan
作者单位：National Bureau of Economic Research; Duke University
摘要：We investigate why new, high-risk technologies can attract excessive and often unprofitable investment. We develop an equilibrium model in which rational, risk-averse agents overinvest in a risky technology, possibly to the point that its expected return is negative. Overinvestment results from relative wealth concerns which arise endogenously from the imperfect tradability of future endowments. Competition over future consumption leads to an indirect utility for wealth with keeping up with th...
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作者：Coval, Joshua; Stafford, Erik
作者单位：Harvard University
摘要：This paper examines institutional price pressure in equity markets by studying mutual fund transactions caused by capital flows from 1980 to 2004. Funds experiencing large outflows tend to decrease existing positions, which creates price pressure in the securities held in common by distressed funds. Similarly, the tendency among funds experiencing large inflows to expand existing positions creates positive price pressure in overlapping holdings. Investors who trade against constrained mutual f...
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作者：Locke, Peter; Onayev, Zhan
作者单位：Texas Christian University
摘要：We analyze the dynamics of the S&P 500 futures price, finding both short- and long-run effects of order flow on price. While price moves strongly with the order flow in the short-run, the long-run impact is slightly negative, attributable to costly slippage from a hedging propensity in futures markets. We find strong evidence of a state dependence in the relation between price and order flow, using both volume and floor trader income measures as states. We also find that both the long- and sho...
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作者：Bharath, Sreedhar; Dahiya, Sandeep; Saunders, Anthony; Srinivasan, Anand
作者单位：New York University; University of Michigan System; University of Michigan; Georgetown University; National University of Singapore
摘要：While many empirical studies document borrower benefits of lending relationships, less is known about lender benefits. A relationship tender's informational advantage over a non-relationship lender may generate a higher probability of selling information-sensitive products to its borrowers. Our results show that the probability of a relationship lender providing a future loan is 42%, while for a non-relationship lender, this probability is 3%. Consistent with theory, we find that borrowers wit...
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作者：Laeven, Luc; Levine, Ross
作者单位：The World Bank; Center for Economic & Policy Research (CEPR); Brown University
摘要：This paper investigates whether the diversity of activities conducted by financial institutions influences their market valuations. We find that there is a diversification discount: The market values of financial conglomerates that engage in multiple activities, e.g., lending and non-lending financial services, are lower than if those financial conglomerates were broken into financial intermediaries that specialize in the individual activities. While difficult to identify a single causal facto...
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作者：Lundblad, Christian
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Previous studies typically find a statistically insignificant relation between the market risk premium and its expected volatility. Further, several of these studies estimate a negative risk return tradeoff, contrary to the predictions of mainstream theory. Using simulations, I demonstrate that even 100 years of data constitute a small sample that may easily lead to this finding even though the true risk return tradeoff is positive. Small-sample inference is plagued by the fact that conditiona...
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作者：Clarke, Jonathan; Khorana, Ajay; Patel, Ajay; Rau, P. Raghavendra
作者单位：Purdue University System; Purdue University; University System of Georgia; Georgia Institute of Technology; Wake Forest University
摘要：Using a sample of all-star analysts who switch investment banks, we examine (1) whether analyst behavior is influenced by banking relationships and (2) whether analyst behavior affects investment banking deal flow. Although the stock coverage decision depends on the relationship with the client firms, we find no evidence that analysts change their optimism or recommendation levels when joining a new firm. Investment banking deal flow is related to analyst reputation only for equity transaction...
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作者：Nimalendran, M.; Ritter, Jay R.; Zhang, Donghang
作者单位：State University System of Florida; University of Florida; University of South Carolina System; University of South Carolina Columbia
摘要：Underwriters using bookbuilding can allocate shares of initial public offerings (IPOs) on the basis of, among other things, commissions paid by investors. In testing the hypothesis that investors trade liquid stocks in order to affect their IPO allocations, we find that money left on the table by IPOs is related to the trading volume of the 50 most liquid stocks near the offer date. For an IPO that leaves $1 billion on the table, there is abnormal volume of 2.7% to 4.1 % in the 50 most liquid ...
