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作者：Dittmann, Ingolf; Maug, Ernst; Spalt, Oliver G.
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Mannheim; Tilburg University
摘要：We analyze the efficiency of indexing executive pay by calibrating the standard compensation model to a large sample of U.S. CEOs. The benefits from indexing the strike price of options are small, and fully indexing all options would increase compensation costs by 50% for most firms. Indexing has several effects with overall ambiguous outcome; the quantitatively most important effect is to reduce incentives, because indexed options pay off when CEOs' marginal utility is low. The results also h...
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作者：Hortacsu, Ali; Matvos, Gregor; Syverson, Chad; Venkataraman, Sriram
作者单位：University of Chicago; National Bureau of Economic Research; University of Chicago
摘要：Financial distress can disrupt a durable goods producer's provision of complementary goods and services such as warranties, spare parts and maintenance. This reduces consumers' demand for the core product, causing indirect costs of financial distress. We test this hypothesis in the market for used cars sold at wholesale auctions. An increase in a manufacturer's credit default swaps significantly decreases the prices of its cars at auction, especially cars with longer expected service lives. Ou...
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作者：Bassi, Anna; Colacito, Riccardo; Fulghieri, Paolo
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：Although weather has been shown to affect financial markets and financial decision making, a still open question is the channel through which such influence is exerted. By employing a multiple price list method, this paper provides direct experimental evidence that sunshine and good weather promote risk-taking behavior. This effect is present whether relying on objective measures of meteorological conditions or subjective weather assessments. Finally, employing a psychological test, we find ev...
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作者：Greenwood, Robin; Hanson, Samuel G.
作者单位：Harvard University
摘要：We show that the credit quality of corporate debt issuers deteriorates during credit booms and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs faced by low-quality firms, so debt issuance of low-quality firms is particularly useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit market o...
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作者：Robinson, David T.; Sensoy, Berk A.
作者单位：Duke University; National Bureau of Economic Research; University System of Ohio; Ohio State University
摘要：We study the relations between management contract terms and performance in private equity using new data for 837 funds from 1984-2010. We find no evidence that higher fees or lower managerial ownership are associated with lower net-of-fee performance. Nevertheless, compensation rises and shifts to performance-insensitive components during fundraising booms. Further, the behavior of distributions around contractual fee triggers is consistent with an underlying agency conflict between investors...
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作者：Detemple, Jerome; Rindisbacher, Marcel
作者单位：Boston University
摘要：This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public information of an uninformed observer. Timing components are identified. The paper provides foundations for regression analyses of fund returns and tests of market timing.
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作者：Kaniel, Ron; Kondor, Peter
作者单位：University of Rochester; Central European University
摘要：We analyze the effects of the observed increased share of delegated capital for trading strategies and equilibrium prices by introducing delegation into a standard Lucas exchange economy. In equilibrium, some investors trade on their own account, but others decide to delegate trading to professional fund managers. Flow-performance incentive functions describe how much capital clients provide to funds at each date as a function of past performance. Convex flow-performance relations imply that t...
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作者：Guibaud, Stephane; Nosbusch, Yves; Vayanos, Dimitri
作者单位：University of London; London School Economics & Political Science; National Bureau of Economic Research
摘要：We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk-averse than log, then an increase in the long-horizon clientele raises the price and optimal supply of long-term bonds-effects that we ...
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作者：Gomes, Francisco; Michaelides, Alexander; Polkovnichenko, Valery
作者单位：University of London; London Business School; University of Cyprus; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study the simultaneous impact of fiscal policy decisions on macroeconomic activity, wealth distribution, and asset prices. We consider a general equilibrium, overlapping generations model with incomplete markets and heterogeneous agents, where government debt and capital are imperfect substitutes. Increases in public debt lead to significant increases in the riskless rate and to a reduction in the equity premium, while higher capital income tax rates lead to a higher equity premium. The cro...
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作者：Chen, Long; Da, Zhi; Zhao, Xinlei
作者单位：University of Notre Dame; University System of Ohio; Kent State University; Kent State University Salem; Kent State University Kent
摘要：A central issue in finance is whether stock prices move because of revisions in expected cash flows or discount rates, and by how much of each. Using direct cash flow forecasts, we show that stock returns have a significant cash flow news component whose importance increases with the investment horizon. For horizons over two years, cash flow news is more important. These conclusions hold at both the firm and aggregate levels, and diversification plays a secondary role in affecting the relative...
