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作者：Edmans, Alex; Fang, Vivian W.; Lewellen, Katharina A.
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR); University of Minnesota System; University of Minnesota Twin Cities; Dartmouth College
摘要：This paper links the CEO's concerns for the current stock price to reductions in real investment. We identify short-term concerns using the amount of stock and options scheduled to vest in a given quarter. Vesting equity is associated with a decline in the growth of research and development and capital expenditure, positive analyst forecast revisions, and positive earnings guidance, within the same quarter. More broadly, by introducing a measure of incentives that is determined by equity grant...
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作者：Cole, Shawn; Gine, Xavier; Vickery, James
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作者：Brownlees, Christian; Engle, Robert F.
作者单位：Pompeu Fabra University; Barcelona School of Economics; New York University
摘要：We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top financial institutions in the recent financial crisis. SRISK delivers useful rankings of systemic institutions at various stages of the crisis and identifies Fannie Mae, Freddie Mac, Morgan Stanley, Bear Stearns, and Lehman Brothers as top contrib...
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作者：Chang, Tom Y.; Hartzmark, Samuel M.; Solomon, David H.; Soltes, Eugene F.
作者单位：University of Southern California; Harvard University
摘要：We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (positive seasonality quarters) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings follow...
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作者：Maturana, Gonzalo
作者单位：Emory University
摘要：Loan modification is widely discussed as an alternative to foreclosure, but little research has focused on quantifying its effect on loan performance. I quantify this effect early in the housing crisis by exploiting exogenous variation in the incentives to modify securitized nonagency loans. An additional modification reduces loan losses by 35.8% relative to the average loss; this reduction suggests that the marginal benefit of modification likely exceeded the marginal cost. Consistent with th...
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作者：Graham, John R.; Hanlon, Michelle; Shevlin, Terry; Shroff, Nemit
作者单位：Duke University; Massachusetts Institute of Technology (MIT); University of California System; University of California Irvine
摘要：We survey companies and find that many use incorrect tax rate inputs into important corporate decisions. Specifically, many companies use an average tax rate (the GAAP effective tax rate, ETR) to evaluate incremental decisions, rather than using the theoretically correct marginal tax rate. We find evidence consistent with behavioral biases (heuristics, salience) and managers' educational backgrounds affecting these choices. We estimate the economic consequences of using the theoretically incor...
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作者：Chen, Andrew Y.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A standard real business-cycle model with external habit and capital adjustment costs matches a long list of asset price and business-cycle moments: equity, firm value, and risk-free rate volatility; the equity premium; excess return predictability; consumption growth predictability; basic moments of consumption, output, and investment; among others. The model also generates endogenous consumption volatility risk. Precautionary savings motives make consumption sensitive to shocks in bad times,...
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作者：Stambaugh, Robert F.; Yuan, Yu
作者单位：University of Pennsylvania; National Bureau of Economic Research; Shanghai Jiao Tong University; University of Pennsylvania
摘要：A four-factor model with two mispricing factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four-and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing factors aggregate information across 11 prominent anomalies by averaging rankings within two clusters exhibiting the greatest return co-movement. Investor sentiment predicts the mispricing factors, especially t...
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作者：Chen, Nan; Glasserman, Paul; Nouri, Behzad; Pelger, Markus
作者单位：Chinese University of Hong Kong; Columbia University; Stanford University
摘要：We study the design and incentive effects of contingent convertible debt. With contingent convertibles, the endogenous bankruptcy boundary can be at either of two levels: one with lower default risk or one at which default precedes conversion. An increase in debt moves the firm from the first regime to the second, a phenomenon we call debt-induced collapse. Setting the conversion trigger sufficiently high avoids this hazard. Given this condition, we investigate the effect of contingent capital...
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作者：Gargano, Antonio; Rossi, Alberto G.; Wermers, Russ
作者单位：University of Melbourne; University System of Maryland; University of Maryland College Park
摘要：We document a little-known source of information exploited by sophisticated institutional investors: the Freedom of Information Act (FOIA), a law that allows for the disclosure of previously unreleased information by the U.S. Government. Through FOIA requests, we identify several sophisticated institutional investors, chiefly hedge funds, that request information from the FDA. We explore the type of information commonly requested by funds and the types of firms that are targets of FDA-FOIA req...
