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作者：Asker, John; Farre-Mensa, Joan; Ljungqvist, Alexander
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Harvard University; New York University
摘要：We investigate whether short-termism distorts the investment decisions of stock market-listed firms. To do so, we compare the investment behavior of observably similar public and private firms, using a new data source on private U.S. firms and assuming for identification that closely held private firms are subject to fewer short-termist pressures. Our results show that compared with private firms, public firms invest substantially less and are less responsive to changes in investment opportuni...
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作者：Da, Zhi; Engelberg, Joseph; Gao, Pengjie
作者单位：University of Notre Dame; University of California System; University of California San Diego
摘要：We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., recession, unemployment, and bankruptcy), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004 and 2011, we find FEARS (i) predict short-term return reversals, (ii) predict temporary increases in volatility, and (iii) predict mutual fund flows o...
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作者：Masulis, Ronald W.; Reza, Syed Walid
作者单位：University of New South Wales Sydney; Queensland University of Technology (QUT)
摘要：Evaluating agency theory and optimal contracting theory views of corporate philanthropy, we find that as corporate giving increases, shareholders reduce their valuation of firm cash holdings. Dividend increases following the 2003 Tax Reform Act are associated with reduced corporate giving. Using a natural experiment, we find that corporate giving is positively (negatively) associated with CEO charity preferences (CEO shareholdings and corporate governance quality). Evidence from CEO-affiliated...
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作者：Chang, Yen-Cheng; Hong, Harrison; Liskovich, Inessa
作者单位：Shanghai Jiao Tong University; Princeton University
摘要：The Russell 1000 and 2000 stock indexes comprise the first 1000 and next 2000 largest firms ranked by market capitalization. Small changes in the capitalizations of firms ranked near 1000 move them between these indexes. Because the indexes are value-weighted, more money tracks the largest stocks in the Russell 2000 than the smallest in the Russell 1000. Using this discontinuity, we find that additions to the Russell 2000 result in price increases and deletions result in price declines. We the...
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作者：Karnaukh, Nina; Ranaldo, Angelo; Soederlind, Paul
作者单位：University of St Gallen
摘要：We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical models relating funding and market liquidity. In these distressed circumstances, liquidity tends to evaporate more for developed a...
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作者：Cieslak, Anna; Povala, Pavol
作者单位：Northwestern University; University of London; Birkbeck University London
摘要：We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectations and maturity-specific interest-rate cycles, which we define as variation in yields orthogonal to expected inflation. The short-maturity cycle captures the real short-rate dynamics. Jointly with expected inflation, it comprises the expectations hypothesis (EH) term in the yield curve. Controlling for the EH term, we extract a measure of risk-premium variation from yields. The risk-premium fact...
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作者：Gale, Douglas; Gottardi, Piero
作者单位：New York University; Imperial College London; European University Institute; Universita Ca Foscari Venezia
摘要：We study a dynamic general equilibrium model in which firms choose their investment level and capital structure, trading off the tax advantages of debt against the risk of costly default. Bankruptcy costs are endogenous, as bankrupt firms are forced to liquidate their assets, resulting in a fire sale if the market is illiquid. When the corporate income tax rate is positive, firms have a unique optimal capital structure. In equilibrium, firms default with positive probability and their assets a...
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作者：Bessembinder, Hendrik; Zhang, Feng
作者单位：Utah System of Higher Education; University of Utah
摘要：Corporate managers frequently announce corporate distributions, including stock splits, stock dividends, special dividends, and increases in regular dividends, on the anniversary of a like announcement at the same firm. The market appears to not fully appreciate the implications of current distributions for future distributions and stock returns, as a simple strategy that involves purchasing firms with high predicted probabilities of distribution announcements earns significant abnormal monthl...
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作者：Dimson, Elroy; Karakas, Oguzhan; Li, Xi
作者单位：University of Cambridge; University of London; London Business School; Boston College; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We analyze an extensive proprietary database of corporate social responsibility engagements with U.S. public companies from 1999-2009. Engagements address environmental, social, and governance concerns. Successful (unsuccessful) engagements are followed by positive (zero) abnormal returns. Companies with inferior governance and socially conscious institutional investors are more likely to be engaged. Success in engagements is more probable if the engaged firm has reputational concerns and high...
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作者：Bernile, Gennaro; Kumar, Alok; Sulaeman, Johan
作者单位：Singapore Management University; University of Miami; Southern Methodist University; National University of Singapore
摘要：We develop a 10-K-based multidimensional measure of firm locations. Using this measure, we show that firm-level information is geographically distributed and institutional investors are able to exploit the resulting information asymmetry. Specifically, institutional investors overweigh firms whose 10-K frequently mentions the investors' state even when those firms are not headquartered locally and earn superior returns on those stocks. These ownership and performance patterns are stronger amon...
