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作者：Hubener, Andreas; Maurer, Raimond; Mitchell, Olivia S.
作者单位：Goethe University Frankfurt; University of Pennsylvania; National Bureau of Economic Research
摘要：We show how optimal household decisions regarding work, retirement, saving, portfolio allocations, and life insurance are shaped by the complex financial options embedded in U.S. Social Security rules and uncertain family transitions. Our life cycle model predicts sharp consumption drops on retirement, an age-62 peak in claiming rates, and earlier claiming by wives versus husbands and single women. Moreover, life insurance is mainly purchased on men's lives. Our model, which takes Social Secur...
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作者：Cotter, John; Gabriel, Stuart; Roll, Richard
作者单位：University College Dublin; University of California System; University of California Los Angeles; California Institute of Technology
摘要：This study evaluates the effectiveness of geographic diversification in reducing housing investment risk. To characterize diversification potential, we estimate spatial correlation and integration among 401 U.S. metropolitan housing markets. The 2000s boom brought a marked uptrend in housing market integration associated with eased residential lending standards and rapid growth in private mortgage securitization. As boom turned to bust, other macroeconomic factors, including employment and inc...
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作者：Elkamhi, Redouane; Stefanova, Denitsa
作者单位：University of Toronto
摘要：The paper investigates the portfolio allocation effects of increased asset co-movements during market downturns. We develop a model for the stock price process that allows for increased and asymmetric dependence between extreme return realizations. We isolate the portfolio hedging demands that arise due to extreme co-movements and find a substantial shift of the portfolio holdings toward the risk-free asset. We demonstrate that accounting for dependence between extreme events in portfolio deci...
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作者：Norli, Oyvind; Ostergaard, Charlotte; Schindele, Ibolya
作者单位：BI Norwegian Business School
摘要：Blockholders' incentives to intervene in corporate governance are weakened by free-rider problems and high costs of activism. Theory suggests activists may recoup expenses through informed trading of target firms' stock when stocks are liquid. We show that stock liquidity increases the probability of activism but does less so for potentially overvalued firms for which privately informed blockholders may have greater incentives to sell their stake than to intervene. We also document that activi...
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作者：Oehmke, Martin; Zawadowski, Adam
作者单位：Columbia University; Boston University; Central European University
摘要：We provide a model of nonredundant credit default swaps (CDSs), building on the observation that CDSs have lower trading costs than bonds. CDS introduction involves a trade-off: it crowds out existing demand for the bond, but improves the bond allocation by allowing long-term investors to become levered basis traders and absorb more of the bond supply. We characterize conditions under which CDS introduction raises bond prices. The model predicts a negative CDS-bond basis, as well as turnover a...
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作者：Lel, Ugur; Miller, Darius P.
作者单位：Virginia Polytechnic Institute & State University; Southern Methodist University
摘要：This paper exploits the staggered initiation of takeover laws across countries to examine whether the threat of takeover enhances managerial discipline. We show that following the passage of takeover laws, poorly performing firms experience more frequent takeovers; the propensity to replace poorly performing CEOs increases, especially in countries with weak investor protection; and directors of targeted firms are more likely to lose board seats following corporate-control events. Our findings ...
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作者：Gao, Xiaohui; Lin, Tse-Chun
作者单位：University of Hong Kong
摘要：We hypothesize that individual investors treat trading as a fun and exciting gambling activity, implying substitution between this activity and alternative gambling opportunities. To examine this hypothesis, we study the lottery jackpots and the trading of individual investors in Taiwan. When the jackpots exceed 500 million Taiwan dollars, the trading volume decreases between 5.2% and 9.1% among stocks preferred by individual investors and between 6.8% and 8.6% among lottery-like stocks. The d...
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作者：Chaudhuri, Ranadeb; Schroder, Mark
作者单位：Oakland University; Michigan State University
摘要：Evidence shows that the stochastic discount factor (SDF) is not always a downward-sloping function of S&P 500 returns when estimated using options data. In contrast, our results suggest that SDFs as functions of individual stock returns are generally downward sloping. A simple jump-diffusion model can reconcile these empirical findings. The same model also implies a steeper implied-volatility curve for the index than for the typical stock, a well-known empirical fact from the options literatur...
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作者：Henderson, Brian J.; Pearson, Neil D.; Wang, Li
作者单位：George Washington University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper uses a novel dataset of commodity-linked notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The flows are not based on information about futures price movements but nonetheless cause increases and decreases in commodity futures prices when they are passed through to and withdrawn from the futures...
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作者：Hoberg, Gerard; Maksimovic, Vojislav
作者单位：University of Southern California; University System of Maryland; University of Maryland College Park
摘要：We score 10-K text to obtain annual measures of financial constraints, with separate measures for firms reporting equity and debt financing issues. Equity market constraints are associated with firms funding growth opportunities, have more severe consequences for the firm following large unexpected negative shocks, and are likely driven by informational asymmetries. A significant population of firms reporting equity market constraints also declare that they possess material undisclosed proprie...
