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作者：Andonov, Aleksandar; Bauer, Rob M. M. J.; Cremers, K. J. Martijn
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Maastricht University; University of Notre Dame
摘要：The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada, and Europe, we find that U.S. public pension funds act on their regulatory incentives. U.S. public pension funds with a higher level of underfunding per participant, as well as funds with more politici...
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作者：Nickerson, Jordan
作者单位：Boston College
摘要：I develop a simple competitive equilibrium model and derive the prediction that CEO pay-size elasticity increases when more firms compete for an inelastic supply of managers. Using industry-level IPO waves as a proxy for increased competition for CEOs, I find that pay-size elasticity increases by 6% with a one-standard-deviation increase in IPO activity. This effect is stronger in specialized industries. In addition, increased IPO activity leads to a greater likelihood of executive transitions...
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作者：Chakraborty, Archishman; Yilmaz, Bilge
作者单位：Yeshiva University; University of Pennsylvania
摘要：Management-aligned boards exchange precise information with management and make efficient decisions. But when agency conflicts are important, management-aligned boards may not maximize shareholder value. Even if management controls all decisions and the board only provides advice, optimal boards may withhold information. This creates inefficiencies. But agency costs fall because management is induced to obey the board. When the board can directly veto management proposals, shareholders are bet...
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作者：Duffie, Darrell; Zhu, Haoxiang
作者单位：Stanford University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to price pressure. Primary examples include workup in Treasury markets, matching sessions in corporate bond and CDS markets, and block-trading dark pools in equity markets. By freezing the execution price and giving up on market-clearing, size-discovery mechanisms overcome concerns by large investors over their price impacts. Price-discovery mechanisms clear the market, but cause inves...
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作者：Abdi, Farshid; Ranaldo, Angelo
作者单位：University of St Gallen
摘要：We propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, this method utilizes a wider information set, namely, readily available close, high, and low prices. In the absence of end-of-day quote data, this method generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimato...
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作者：Green, Jeremiah; Hand, John R. M.; Zhang, X. Frank
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of North Carolina; University of North Carolina Chapel Hill; Yale University
摘要：We take up Cochrane's (2011) challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data-snooping bias. We find that while 12 characteristics are reliably independent determinants in non-microcap stocks from 1980 to 2014 as a whole, return predictability sharply fell in 2003 such that just two characte...
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作者：Jang, Yeejin
作者单位：Purdue University System; Purdue University
摘要：If the location of firm operations is relevant for financing, multinationals should have easier access to different foreign sources of funding relative to domestic firms. I document that U.S. multinationals are more likely to borrow from a foreign bank and to issue international bonds than are U.S. domestic firms. Multinationals are less affected than domestic firms by capital market dislocations because of greater funding flexibility. Using the 2007-2009 financial crisis as a capital supply s...
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作者：Acharya, Viral V.; Pedersen, Lasse H.; Philippon, Thomas; Richardson, Matthew
作者单位：New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK; New York University
摘要：We present an economic model of systemic risk in which undercapitalization of the financial sector as a whole is assumed to harm the real economy, leading to a systemic risk externality. Each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), that is, its propensity to be undercapitalized when the system as a whole is undercapitalized. SES increases in the institution's leverage and its marginal expected shortfall (MES), that is, its...
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作者：Monnet, Cyril; Quintin, Erwan
作者单位：University of Bern; Study Center Gerzensee
摘要：We present an environment in which long-term investors sometimes choose to restrict how much fundamental information they receive about the value of their investment to preserve its liquidity in secondary markets. When and only when there is a risk that secondary markets may be shallow, more information can reduce the expected payoff of agents who need to cash out early. Even given direct and costless control over information design, stakeholders choose to incentivize managers to withhold inte...
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作者：Barillas, Francisco; Nimark, Kristoffer P.
作者单位：Emory University; Cornell University
摘要：We develop and estimate a tractable equilibrium term structure model populated with rational but heterogeneously informed traders that take on speculative positions to exploit what they perceive to be inaccurate market expectations about future bond prices. The speculative motive is an important driver of trading volume. Yield dynamics due to speculation are (1) statistically distinct from classical term structure components due to risk premiums and expectations about future short rates and ar...
