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作者：Langlois, Hugues
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We provide a new methodology to empirically investigate the respective roles of systematic and idiosyncratic skewness in explaining expected stock returns. Using a large number of predictors, we forecast the cross-sectional ranks of systematic and idiosyncratic skewness, which are easier to predict than their actual values. Compared to other measures of ex ante systematic skewness, our forecasts create a significant spread in ex post systematic skewness. A predicted systematic skewness risk fa...
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作者：Hendershott, Terrence; Livdan, Dmitry; Rosch, Dominik
作者单位：University of California System; University of California Berkeley; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：The capital asset pricing model (CAPM) performs poorly overall, as market risk (beta) is weakly related to 24-h returns. This is because stock prices behave very differently with respect to their sensitivity to beta when markets are open for trading versus when they are closed. Stock returns are positively related to beta overnight, whereas returns are negatively related to beta during the trading day. These day-night relations hold for beta-sorted portfolios and individual stocks in the US an...
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作者：Fedaseyeu, Viktar
作者单位：China Europe International Business School
摘要：This paper finds that stricter laws regulating third-party debt collection reduce the number of third-party debt collectors, lower the recovery rates on delinquent credit card loans, and lead to a modest decrease in the openings of new revolving lines of credit. Further, stricter third-party debt collection laws are associated with fewer consumer lawsuits against third-party debt collectors but not with a reduction in the overall number of consumer complaints. Overall, stricter third-party deb...
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作者：Lang, Mark; Maffett, Mark; Omartian, James D.; Silvers, Roger
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Chicago; University of Michigan System; University of Michigan; Utah System of Higher Education; University of Utah
摘要：We investigate the effect of cross-border regulatory cooperation in the enforcement of securities laws on global-mutual-fund portfolio allocations. Our research design exploits a shock to the Securities and Exchange Commission's oversight of foreign firms cross-listed on a US stock exchange around the signing of the Multilateral Memorandum of Understanding (MMoU), a non-binding, information-sharing arrangement between global securities regulators. In signatory countries, foreign investment in ...
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作者：Graham, John R.; Kim, Hyunseob; Leary, Mark
作者单位：Duke University; National Bureau of Economic Research; Cornell University; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We examine CEO-board dynamics using a new panel dataset that spans 1920 to 2011. The long sample allows us to perform within-firm and within-CEO tests over a long horizon, many for the first time in the governance literature. Consistent with theories of bargaining or dynamic contracting, we find board independence increases at CEO turnover and falls with CEO tenure, with the decline stronger following superior performance. CEOs are also more likely to be appointed board chair as tenure increas...
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作者：Gilje, Erik P.; Gormley, Todd A.; Levit, Doron
作者单位：University of Pennsylvania; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We derive a measure that captures the extent to which common ownership shifts managers' incentives to internalize externalities. A key feature of the measure is that it allows for the possibility that not all investors are attentive to whether a manager's actions benefit the investor's overall portfolio. Empirically, we show that potential drivers of common ownership, including mergers in the asset management industry and, under certain circumstances, even indexing, could diminish managerial m...
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作者：Gryglewicz, Sebastian; Mayer, Simon; Morellec, Erwan
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We build a dynamic agency model in which the agent controls both current earnings via short-term investment and firm growth via long-term investment. Under the optimal contract, agency conflicts can induce short- and long-term investment levels beyond first best, leading to short- or long-termism in corporate policies. The paper analytically shows how firm characteristics shape the optimal contract and the horizon of corporate policies, thereby generating a number of novel empirical prediction...
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作者：Feldman, David; Saxena, Konark; Xu, Jingrui
作者单位：University of New South Wales Sydney; Xiamen University; Xiamen University
摘要：We introduce a theoretical model of the active fund management industry (AFMI) in which performance and size depend on the AFMI's competitiveness (concentration). Under plausible assumptions, as AFMI's concentration decreases, so do fund managers' incentives for exerting effort in search of alpha. Consequently, managers produce lower gross alpha, and rational investors, inferring lower expected AFMI performance, allocate a smaller portion of their wealth to active funds. Empirically, we find t...
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作者：Chernenko, Sergey; Sunderam, Adi
作者单位：Purdue University System; Purdue University; Harvard University; National Bureau of Economic Research; Harvard University
摘要：We develop three novel measures of the incentives of equity mutual funds to internalize the price impact of their trading. We show that mutual funds with stronger incentives to internalize their price impact accommodate inflows and outflows by adjusting their cash buffers instead of trading in portfolio securities. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results pr...
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作者：Shi, Zhan
作者单位：Tsinghua University
摘要：This paper studies the effects of time-varying Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy. Specifically, it considers a general equilibrium model where an ambiguity-averse agent applies a discount rate that is adjusted not only for the current magnitude of ambiguity but also for the risk associated with its future fluctuations. As such, both the ambiguity level and volatility help to raise the asset premiums and accommodate richer dynamics of asset prices. B...
