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作者：Titman, Sheridan; Tiu, Cristian
作者单位：University of Texas System; University of Texas Austin; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We provide a simple argument that suggests that better-informed hedge funds choose to have less exposure to factor risk. Consistent with this argument, we find that hedge funds that exhibit lower R-squareds with respect to systematic factors have higher Sharpe ratios, higher information ratios, and higher alphas. They also exhibit higher manipulation-proof performance measures and charge higher fees.
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作者：Boot, Arnoud W. A.; Thakor, Anjan V.
作者单位：Washington University (WUSTL)
摘要：We examine the design of control rights of external financiers, and how these interact with the firm's security issuance and capital structure when the firm's initial owners and managers may disagree with new investors over project choice. The first main result is an ex ante managerial preference for soft financial claims that maximize managerial project-choice autonomy, which is in contrast to agency theory. Second, a dynamic pecking order of cash, equity, and debt emerges. Additional results...
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作者：Bebchuk, Lucian A.; Goldstein, Itay
作者单位：University of Pennsylvania; Harvard University
摘要：This article develops a model of a self-fulfilling credit market freeze and uses it to study alternative governmental responses to such a crisis. We study an economy in which operating firms are interdependent, where their success depends on the ability of other operating firms to obtain financing. In such an economy, an inefficient credit market freeze may arise in which banks abstain from lending to operating firms with good projects because of their self-fulfilling expectations that other b...
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作者：Baranchuk, Nina; MacDonald, Glenn; Yang, Jun
作者单位：Washington University (WUSTL); Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We study a competitive model in which managers differ in ability and choose unobservable effort. Each firm chooses its size, how able a manager is to hire, and managerial compensation. The model can be considered an amalgam of agency and Superstars, where optimizing incentives enhances the firm's ability to provide a talented manager with greater resources. The model delivers many testable implications. Preliminary results show that the model is useful for understanding interesting compensatio...
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作者：Maddaloni, Angela; Peydro, Jose-Luis
作者单位：European Central Bank
摘要：Using a unique dataset of the Euro-area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards for household and corporate loans. This softening-especially for mortgages-is amplified by securitization activity, weak supervision for bank capital, and low monetary policy rates for an extended period. Conversely, low long-term interest rates do not soften lending standards. Finally, countries with softer lending standards before the cris...
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作者：Cassar, Gavin; Gerakos, Joseph
作者单位：University of Pennsylvania; University of Chicago
摘要：We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast to prior research on the anomalous properties of hedge fund returns, we observe the mechanisms used to price the fund's investment positions and report the fund's performance to investors, thereby allowing us to differentiate between asset illiquidity and misreporting-based explanations. We find that funds using less verifiable pricing sources and funds that provide managers with greater discretion...
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作者：Bharath, Sreedhar T.; Dahiya, Sandeep; Saunders, Anthony; Srinivasan, Anand
作者单位：University of Michigan System; University of Michigan; Georgetown University; New York University; National University of Singapore; National University of Singapore
摘要：We find that repeated borrowing from the same lender translates into a 10-17 bps lowering of loan spreads and that relationships are especially valuable when borrower transparency is low. These results hold using multiple approaches (propensity score matching, instrumental variables, and treatment effects model) that control for the endogeneity of relationships. We also provide a demarcation line between relationship and transactional lending. Spreads charged for relationship loans and nonrela...
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作者：Loh, Roger K.; Stulz, Rene M.
作者单位：National Bureau of Economic Research; University System of Ohio; Ohio State University; Singapore Management University
摘要：The existing literature measures the contribution of analyst recommendation changes using average stock-price reactions. With such an approach, recommendation changes can have a significant impact even if no recommendation has a visible stock-price impact. Instead, we call a recommendation change influential only if it affects the stock price of the affected firm visibly. We show that only 12% of recommendation changes are influential. Recommendation changes are more likely to be influential i...
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作者：Drechsler, Itamar; Yaron, Amir
作者单位：New York University; University of Pennsylvania; National Bureau of Economic Research
摘要：Uncertainty plays a key role in economics, finance, and decision sciences. Financial markets, in particular derivative markets, provide fertile ground for understanding how perceptions of economic uncertainty and cash-flow risk manifest themselves in asset prices. We demonstrate that the variance premium, defined as the difference between the squared VIX index and expected realized variance, captures attitudes toward uncertainty. We show conditions under which the variance premium displays sig...
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作者：Masulis, Ronald W.; Peter Kien Pham; Zein, Jason
作者单位：University of New South Wales Sydney; University of Sydney
摘要：Using a dataset of 28,635 firms in 45 countries, this study investigates the motivations for family-controlled business groups. We provide new evidence consistent with the argument that particular group structures emerge not only to perpetuate control, but also to alleviate financing constraints at the country and firm levels. At the country level, family groups, especially those structured as pyramids, are more prevalent in markets with limited availability of capital. At the firm level, inve...
