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作者：Hochberg, Yael V.; Rauh, Joshua D.
作者单位：Northwestern University; Stanford University; National Bureau of Economic Research
摘要：Institutional investors exhibit substantial home-state bias in private equity. This effect is particularly pronounced for public pension funds, where overweighting amounts to 9.8% of aggregate private-equity investments and 16.5% for the average limited partner. Public pension funds' in-state investments achieve performance that is lower by two to four percentage points than both their own similar out-of-state investments and similar investments in their state by out-of-state investors. Overwe...
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作者：Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta
作者单位：Stockholm School of Economics; Indiana University System; Indiana University Bloomington
摘要：This paper shows that during episodes of market turmoil, 13F institutional investors with short trading horizons sell their stockholdings to a larger extent than 13F institutional investors with longer trading horizons. This creates price pressure for stocks held mostly by short-horizon investors, which, as a consequence, experience larger price drops, and subsequent reversals, than stocks held mostly by long-horizon investors. These findings, obtained after controlling for the withdrawals exp...
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作者：Carlin, Bruce Ian; Gervais, Simon; Manso, Gustavo
作者单位：University of California System; University of California Los Angeles; Duke University; University of California System; University of California Berkeley
摘要：We develop a theoretical model to analyze the effects of libertarian paternalism on information production and financial decision making. Individuals in our model appreciate the information content of the recommendations made by a social planner. This affects their incentive to gather information, and in turn the speed at which information spreads across market participants, via social learning or formal advice channels. We characterize situations in which libertarian paternalism improves welf...
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作者：Amihud, Yakov; Goyenko, Ruslan
作者单位：New York University; McGill University
摘要：We propose that fund performance can be predicted by its R-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R-2 is positively associated with fund size and negatively associated with its expenses and manager's tenure.
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作者：Choi, Jaewon
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper shows empirically how asset risk and financial leverage interact to explain the equity risk dynamics of value versus growth stocks. During economic downturns, the asset betas and leverage of value firms increase, contributing to a sharp rise in equity betas. Asset betas of growth firms are much less sensitive to economic conditions, and, consistent with the tradeoff theory of capital structure, growth firms are also less levered, contributing to the relative stability of their equit...
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作者：Hirshleifer, David; Schwert, G. William; Singleton, Kenneth J.
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作者：Obreja, Iulian
作者单位：University of Colorado System; University of Colorado Boulder
摘要：I propose a new dynamic model of the firm that links operating leverage to both value premium and book-leverage premium in stock returns. Value firms are low-productivity firms with either high operating leverage or high financial leverage. Firms with high operating leverage maintain low book leverage ratios. When operating leverage is economically significant, both value firms and low book-leverage firms can have high equity risk premiums. In particular, value premium becomes positive while b...
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作者：Ang, Andrew; Shtauber, Assaf A.; Tetlock, Paul C.
作者单位：Columbia University
摘要：Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than do listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared with premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums are ...
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作者：Hori, Keiichi; Osano, Hiroshi
作者单位：Ritsumeikan University; Kyoto University
摘要：We explore a continuous-time agency model with double moral hazard. Using a venture capitalist (VC)-entrepreneur relationship where the VC both supplies costly effort and chooses the optimal timing of the initial public offering (IPO), we show that optimal IPO timing is earlier under double moral hazard than under single moral hazard. Our results also indicate that the manager's compensation tends to be paid earlier under double moral hazard. We derive several comparative static results, notab...
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作者：Alan, Sule; Loranth, Gyongyi
作者单位：Koc University; University of Vienna
摘要：Using a unique panel data set from a U.K. credit card company, we analyze the interest rate sensitivity of subprime credit card borrowers. In addition to all individual transactions and loan terms, we have access to details of a randomized interest rate experiment conducted by the lender on existing (inframarginal) loans. For the whole sample, we estimate a statistically significant 3.4 pound reduction in monthly credit demand in response to a five percentage point increase in interest rates. ...
