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作者：Calomiris, Charles W.; Mamaysky, Harry
作者单位：Columbia University; National Bureau of Economic Research; Columbia University
摘要：We develop a classification methodology for the context and content of news articles to predict risk and return in stock markets in 51 developed and emerging economies. A parsimonious summary of news, including topic-specific sentiment, frequency, and unusualness (entropy) of word flow, predicts future country-level returns, volatilities, and drawdowns. Economic and statistical significance are high and larger for year ahead than monthly predictions. The effect of news measures on market outco...
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作者：Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.
作者单位：Ulsan National Institute of Science & Technology (UNIST); Rutgers University System; Rutgers University New Brunswick; Carnegie Mellon University
摘要：This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multifaceted dynamics in the market. These include autocorrelated order flow, sunshine trading, endogenous learning, and short-term speculation. The model has testable implications for intraday patterns in volume, liquidity, price volatility, order-flow autocorrelati...
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作者：Donangelo, Andres; Gourio, Francois; Kehrig, Matthias; Palacios, Miguel
作者单位：University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Duke University; University of Calgary
摘要：The relative size and inflexibility of labor expenses lead to a form of operating leverage, which we call labor leverage. We derive a set of conditions for the existence of labor leverage even when labor markets are frictionless. Our model provides theoretical support for the use of firm-level labor share as a measure of labor leverage. Using Compustat/CRSP and confidential Census data, we provide evidence for the existence and for the economic significance of labor leverage: high labor share ...
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作者：Jiang, Fuwei; Lee, Joshua; Martin, Xiumin; Zhou, Guofu
作者单位：Central University of Finance & Economics; University System of Georgia; University of Georgia; Washington University (WUSTL)
摘要：This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample Res of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously studied macroeconomic variables. Its predictive power is economically comparable and is informationally complementary to existi...
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作者：Ma, Qingzhong; Whidbee, David A.; Zhang, Wei
作者单位：California State University System; California State University Chico; Washington State University; California State University System; California State University Chico
摘要：In a comprehensive sample of mergers and acquisitions, we find a reference price effect: acquirers earn higher (lower) announcement-period returns when their pre-announcement stock prices are well below (near) their 52-week highs. This reference price effect is stronger in acquisitions of private targets, deals involving greater uncertainty, and acquirers with greater individual investor ownership, and it is reversed in the subsequent year. Further, acquirer reference prices affect bid premia ...
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作者：Harford, Jarrad; Stanfield, Jared; Zhang, Feng
作者单位：University of Washington; University of Washington Seattle; University of New South Wales Sydney; Utah System of Higher Education; University of Utah
摘要：We provide evidence that managers and controlling shareholders time management buyouts (MBOs) and freezeout transactions to take advantage of industry-wide undervaluation. Portfolios of industry peers of MBO and freezeout targets show significant alphas of around 1% per month over the 12-month period following the transaction. These returns are not explained by a battery of risk factors or empirical methodologies, but exhibit significant heterogeneity across deals. Additional tests show that, ...
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作者：Chung, Kee H.; Wang, Junbo; Wu, Chunchi
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Sungkyunkwan University (SKKU); City University of Hong Kong
摘要：This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016. Results show that bonds with high volatility betas have low expected returns, and this negative relation appears in all segments of corporate bonds. Further, bonds with high idiosyncratic bond (stock) volatility have high (low) expected returns, and this relation strengthens as ratings decrease. Conventional risk factors and bond/issuer cha...
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作者：Guay, Wayne R.; Kepler, John D.; Tsui, David
作者单位：University of Pennsylvania; University of Southern California
摘要：Given CEOs' substantial equity portfolios, much recent literature on CEO incentives regards cash-based bonus plans as largely irrelevant, begging the question of why nearly all CEO compensation plans include such bonuses. We develop a new measure of bonus plan incentives and show that performance sensitivities are much greater than prior estimates. We also test hypotheses regarding the role of bonuses in providing executives with individualized and team incentives. We find little evidence supp...
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作者：Huang, Pinghsun; Huang, Hsin-Yi; Zhang, Yan
作者单位：National Cheng Kung University; National Taichung University of Science & Technology; State University of New York (SUNY) System; Binghamton University, SUNY
摘要：Using a sample of 3004 US firm-years with foreign sales, we provide the first evidence that a firm's employee treatment score is an important determinant of its fraction of foreign sales hedged with currency-based derivatives. The positive relation between employee treatment rating and currency hedging activity is driven by firms operating in competitive industries, businesses with relatively unique products or assets, and companies adopting aggressive business strategies. These results sugges...
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作者：Pyun, Sungjune
作者单位：National University of Singapore
摘要：This paper introduces a new out-of-sample forecasting methodology for monthly market returns using the variance risk premium (VRP) that is both statistically and economically significant. This methodology is motivated by the 'beta representation,' which implies that the market risk premium is related to the price of variance risk by the variance risk exposure. Hence, when the slope of the contemporaneous regression of market returns on variance innovation is larger, future returns are more sha...
