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作者：Chatterjee, Sris; John, Kose; Yan, An
作者单位：New York University; Fordham University
摘要：We test several hypotheses on how takeover premium is related to investors' divergence of opinion on a target's equity value. We show that the total takeover premium, the pre-announcement target stock price run-up, and the post-announcement stock price markup are all higher when investors have higher divergence of opinion. We obtain identical results with higher market-level investor sentiment. When divergence of opinion is higher, a firm is less likely to be a takeover target, although takeov...
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作者：Faulkender, Michael; Petersen, Mitchell
作者单位：University System of Maryland; University of Maryland College Park; Northwestern University; National Bureau of Economic Research
摘要：The American Jobs Creation Act (AJCA) significantly lowered U.S. firms' tax cost when accessing their unrepatriated foreign earnings. Using this temporary shock to the cost of internal financing, we examine the role of capital constraints in firms' investment decisions. Controlling for the capacity to repatriate foreign earnings under the AJCA, we find that a majority of the funds repatriated by capital-constrained firms were allocated to approved domestic investment. Although unconstrained fi...
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作者：Keloharju, Matti; Knuepfer, Samuli; Linnainmaa, Juhani
作者单位：Aalto University; University of London; London Business School
摘要：This article shows that individuals' product market choices influence their investment decisions. Using microdata from the brokerage and automotive industries, we find a strong positive relation between customer relationship, ownership of a company, and size of the ownership stake. Investors are also more likely to purchase and less likely to sell shares of companies they frequent as customers. These effects are stronger for individuals with longer customer relationships. A merger-based natura...
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作者：Siegel, Jordan; Choudhury, Prithwiraj
作者单位：Harvard University; University of Pennsylvania
摘要：One of the most rigorous methodologies in the corporate governance literature uses firms' reactions to industry shocks to characterize the quality of governance. This methodology can produce the wrong answer unless one considers the ways firms compete. Because macro-level shocks reverberate differently at the firm level depending on whether a firm has a cost structure that requires significant adjustment, the quality of governance can only be elucidated accurately analyzing a firm's business s...
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作者：Chen, Hui; Joslin, Scott; Ngoc-Khanh Tran
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Risks of rare economic disasters can have a large impact on asset prices. At the same time, difficulties in inference regarding both the likelihood and severity of disasters, as well as agency problems, can lead to significant disagreements among investors about disaster risk. We show that such disagreements generate strong risk-sharing motives, such that just a small number of optimists in the economy will significantly reduce the disaster risk premium. Our model highlights the latent nature ...
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作者：Kelly, Bryan; Ljungqvist, Alexander
作者单位：New York University; University of Chicago; National Bureau of Economic Research
摘要：We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations models with multiple assets and multiple signals, we find that prices and uninformed demand fall as asymmetry increases. These falls are larger when more investors are uninformed, turnover is larger and more variable, payoffs are more uncertain, and the lost signal is more precise. Prices fall partly because expected returns become more sens...
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作者：Sun, Zheng; Wang, Ashley; Zheng, Lu
作者单位：University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We investigate whether skilled hedge fund managers are more likely to pursue unique investment strategies that result in superior performance. We propose a measure of the distinctiveness of a fund's investment strategy based on historical fund return data. We call the measure the Strategy Distinctiveness Index (SDI). We document substantial cross-sectional variations as well as strong persistence in SDI. Our main result indicates that, on average, a higher SDI is associated with better subsequ...
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作者：Evans, Richard B.; Fahlenbrach, Ruediger
作者单位：University of Virginia; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Advisors often manage multiple versions of a fund. These twins have the same manager and similar performance but are sold to different investors with differing abilities to select and monitor managers. Comparing investor flows in retail and institutional twins, we find that institutional investors are more sensitive to high fees and poor risk-adjusted performance. Consistent with the reduction of agency problems from greater monitoring, retail funds with an institutional twin outperform other ...
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作者：Favara, Giovanni
作者单位：International Monetary Fund
摘要：This article proposes a theory of investment fluctuations in which the source of the oscillating dynamics is an agency problem between financiers and entrepreneurs. In the model, investment decisions depend on entrepreneurs' initiative to select investment projects ex ante, and financiers' incentive to control entrepreneurs ex post. Too much control discourages entrepreneurial incentive to initiate new investment, whereas too little control jeopardizes its productivity. This initiative-control...
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作者：Christoffersen, Peter; Errunza, Vihang; Jacobs, Kris; Langlois, Hugues
作者单位：University of Houston System; University of Houston; Tilburg University; McGill University; University of Toronto
摘要：International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run and short-run dependence, multivariate nonnormality, and asymmetries in large cross-sections. We find that correlations have increased markedly in both developed markets (DMs) and emerging markets (EMs), but they are much lower in EMs than in DMs. Tail dependence has also increased, but its level is still relatively low in EMs. We propose ...
