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作者：James, Christopher; Karceski, Jason
作者单位：State University System of Florida; University of Florida
摘要：Firms with poor aftermarket performance are given higher target prices and are more likely to receive strong buy recommendations, especially by analysts affiliated with the lead underwriter. This favorable coverage is relatively short lived, typically lasting less than six months. Controlling for the quantity of coverage received, stock prices of newly public firms increase more when the target price ratio is high and recommendation is a strong buy. These results suggest that when a firm goes ...
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作者：Avramov, Doron; Wermers, Russ
作者单位：University System of Maryland; University of Maryland College Park
摘要：This paper forms investment strategies in US domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk loadings, and (iii) benchmark returns. We find predictability in manager skills to be the dominant source of investment profitability-long-only strategies that incorporate such predictability outperform their Fama-French and momentum benchmarks by 2 to 4%/year by timing industries over the business cycle, and by an additional 3 to 6%/year by choosing fun...
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作者：Ottaviani, Marco; Sorensen, Peter Norman
作者单位：University of London; London Business School; University of Copenhagen
摘要：We develop and compare two theories of professional forecasters' strategic behavior. The first theory, reputational cheap talk, posits that forecasters endeavor to convince the market that they are well informed. The market evaluates their forecasting talent on the basis of the forecasts and the realized state. If the market expects forecasters to report their posterior expectations honestly, then forecasts are shaded toward the prior mean. With correct market expectations, equilibrium forecas...
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作者：Lerner, J; Rajan, R
作者单位：Harvard University
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作者：Bhanot, K; Mello, AS
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Texas System; University of Texas at San Antonio
摘要：Recent corporate debt offerings have included a covenant specifying a pre-determined payment to debtholders when the debt is downgraded. We examine the incentive for equityholders to increase firm risk (and the associated costs) when debt includes a rating trigger. Equityholders of firms with a low-risk profile and operating flexibility choose debt with a trigger, while equityholders of firms with a high-risk profile and less flexibility choose regular debt. A trigger that requires an equity i...
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作者：Jin, Li; Merton, Robert C.; Bodie, Zvi
作者单位：Harvard University; Boston University
摘要：This paper examines the empirical question of whether systematic equity risk of US firms as measured by beta from the capital asset pricing model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of accounting rules used to report pension assets, liabilities, and expenses. Pension plan assets and liabilities are off-balance sheet and are often viewed as segregated from the rest of the firm, with its own trus...
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作者：Bernhardt, Dan; Campello, Murillo; Kutsoati, Edward
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; Tufts University
摘要：This paper develops a test for herding in forecasts by professional financial analysts that is robust to (a) correlated information amongst analysts; (b) common unforecasted industry-wide earnings shocks; (c) information arrival over the forecasting cycle; (d) the possibility that the earnings that analysts forecast differ from what the econometrician observes, and (e) systematic optimism or pessimism among analysts. We find that forecasts are biased, but that analysts do not herd. Instead, an...
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作者：Mitton, Todd
作者单位：Brigham Young University
摘要：I use firm-specific measures of openness to foreign investors to study the impact of stock market liberalization on firm-level operating performance. In a sample of over 1, 100 firms from 28 countries, firms with stocks that are open to foreign investors experience higher growth, greater investment, greater profitability, greater efficiency, and lower leverage. Strategies to address potential endogeneity suggest that the observed relation reflects, at least in part, a causal effect of openness...
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作者：Rajan, RG; Wulf, J
作者单位：University of Pennsylvania; University of Chicago; International Monetary Fund
摘要：A widespread view is that executive perks exemplify agency-problems-they are a route through which managers misappropriate a firm's surplus. Accordingly,. firms with high free cash flow, operating in industries with limited investment prospects, should offer more perks, and firms subject to more external monitoring should offer fewer perks. The evidence for agency as an explanation of perks is, at best, mixed. Perks are, however, offered in situations in which they enhance managerial productiv...
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作者：Rangvid, Jesper
作者单位：Copenhagen Business School
摘要：This paper shows for 1929-2003 U.S. data and also for international G-7 data that the ratio of share prices to GDP tracks a large fraction of the variation over time in expected returns on the aggregate stock market, capturing more of that variation than do price-earnings and price-dividend ratios and often also providing additional information about excess returns. The price output ratio tracks long-term U.S. cumulative stock returns almost as well as the cay-ratio of Lettau and Ludvigson [20...
