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作者：Jansen, Mark; Phalippou, Ludovic; Noe, Thomas
作者单位：Utah System of Higher Education; University of Utah; University of Oxford
摘要：We propose a security design model in which a potential acquirer approaches a firm with a value-add plan. The target has a single owner, who possesses private information: he alone knows whether his firm is compatible with the plan. The owner agrees that the acquirer will add value but believes that the value-add will not be as much as what the acquirer expects. Although the acquirer can choose any monotone limited liability security to offer along with cash, we show that, under general condit...
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作者：Couts, Spencer J.; Goncalves, Andrei S.; Rossi, Andrea
作者单位：University of Southern California; University System of Ohio; Ohio State University; University of Arizona
摘要：Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds' returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose a generalized unsmoothing technique and apply it to hedge funds and private commercial real e...
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作者：Pohl, Walter; Schmedders, Karl; Wilms, Ole
作者单位：Norwegian School of Economics (NHH); International Institute for Management Development (IMD); University of Hamburg; Tilburg University
摘要：Modern asset pricing models combine recursive preferences with complex dynamics for the underlying consumption process. The existence of solutions is for many of these models an unsettled question. This paper introduces a novel technique to prove existence and nonexistence, as well as uniqueness for models with recursive preferences. The approach applies to many models of interest, including those with long-run consumption risks, with stochastic volatility and jumps, with time-varying consumpt...
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作者：Gu, Ran; Peng, Cameron; Zhang, Weilong
作者单位：University of Essex; University of London; London School Economics & Political Science; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of Cambridge
摘要：When members of the same household have different risk preferences, whose preference matters more for investment decisions and why? We propose an intrahousehold model that aggregates individual preferences at the household level as a result of bargaining. We structurally estimate the model, analyze the determinants of bargaining power, and find a significant gender gap. Gender differences in individual characteristics, as well as gender effects, partially explain the gap. These patterns hold b...
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作者：Gao, Meng; Huang, Jiekun
作者单位：University of Connecticut; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Information production by shareholders is essential for proxy voting to produce efficient outcomes. We propose a stock return-based measure to capture informed voting. Our measure, the vote alpha, quantifies the extent to which a shareholder votes in the direction that the market perceives as value increasing. Using data on mutual funds' proxy voting records, we find that the vote alpha exhibits persistence. Our main result shows that the voting pattern of high vote alpha funds positively pred...
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作者：Gao, Janet; Wang, Wenyu; Wu, Yufeng
作者单位：Georgetown University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University System of Ohio; Ohio State University
摘要：How does firm-specific human capital shape careers in the finance industry? We build a dynamic model where workers accumulate portable and nonportable (firm-specific) human capital and learn about their match quality with employers. Estimating the model using granular data on M&A advisory bankers, we show that a large fraction of bankers' human capital is nonportable, ranging from 12% to 46% across different firm types. Bankers make a dynamic trade-off between portability and returns on human ...
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作者：de Silva, Tim; Thesmar, David
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Analyst forecasts outperform econometric forecasts in the short run but underperform in the long run. We decompose these differences in forecasting accuracy into analysts' information advantage, forecast bias, and forecast noise. We find that noise and bias strongly increase with forecast horizon, while analysts' information advantage decays rapidly. A noise increase with horizon generates a mechanical reversal in the sign of the error-revision (Coibion-Gorodnichenko) regression coefficient at...
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作者：Matta, Rafael; Perotti, Enrico
作者单位：SKEMA Business School; Universite Cote d'Azur; University of Amsterdam; Centre for Economic Policy Research - UK
摘要：The classic view assumes banks prioritize immediate repayment by selling assets until default. We endogenize run frequency and study how general settlement rules trade off liquidity provision net of fire sale losses against induced run incentives. Panic runs are eliminated when all illiquid assets are sold under orderly resolution, but liquidity provision in a run is minimal. When suspension after some fire sales is followed by immediate liquidation, run frequency falls then rises in suspensio...
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作者：Bacher, Annika
作者单位：BI Norwegian Business School
摘要：Single women invest less in risky assets than do single men. This paper analyzes the determinants of the gender investment gap based on a structural life-cycle framework. The model can rationalize the gender investment gap without gender heterogeneity in preferences. Rather, lower deterministic income and larger household sizes shift the composition of single women toward poorer households that invest less risky (composition effect). Additionally, future outcomes of both variables (which canno...
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作者：Almeida, Heitor; Ersahin, Nuri; Fos, Vyacheslav; Irani, Rustom M.; Kronlund, Mathias
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Southern Methodist University; Boston College; Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：Previous research shows that incentives to meet short-term earnings targets can cause firms to increase share buybacks, leading to cuts in investments and employment. Using plant-level census data, we find that incentives to engage in earnings-per-share- motivated buybacks result in lower productivity at both the plant and firm level. We attribute this productivity drop to two mechanisms: reduced investment in productivity- augmenting technology, and inefficient allocation of resources across ...
