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作者：Kaltenbrunner, Georg; Lochstoer, Lars A.
作者单位：McKinsey & Company
摘要：We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences. We show that even when technology growth is i.i.d., optimal consumption smoothing induces long-run risk-highly persistent variation in expected consumption growth. As a consequence, the model can account for a high price of risk, although both consumption growth volatility and the coefficient of relative risk aversion are low. The asset...
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作者：Bebchuk, Lucian A.; Neeman, Zvika
作者单位：Harvard University; National Bureau of Economic Research; Boston University; Tel Aviv University
摘要：We model how three groups-insiders in existing public companies, institutional investors, and entrepreneurs planning to take firms public-compete for influence over politicians setting the level of investor protection. We identify factors that push toward suboptimal investor protection, including corporate insiders' ability to use public firms' assets to influence politicians, and institutional investors' inability to capture fully the value of investor protection for outside investors. Entrep...
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作者：Ferreira, Miguel A.; Massa, Massimo; Matos, Pedro
作者单位：University of Southern California; Universidade Nova de Lisboa
摘要：We study the role of institutional investors in cross-border mergers and acquisitions (M&As). We find that foreign institutional ownership is positively associated with the intensity of cross-border M&A activity worldwide. Foreign institutional ownership increases the probability that a merger deal is cross-border, successful, and the bidder takes full control of the target firm. This relation is stronger in countries with weaker legal institutions and in less developed markets, suggesting som...
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作者：Inderst, Roman; Mueller, Holger M.
作者单位：New York University; Goethe University Frankfurt; National Bureau of Economic Research
摘要：This article examines the optimal CEO compensation and replacement policy when the CEO is privately informed about the firm's continuation value under his leadership. Ex ante moral hazard implies that the CEO must receive ex post quasi rents, which endogenously biases him toward continuation. Our model shows that to induce bad CEOs to quit, it may be best to make continuation costly (through steep incentive pay) rather than simply rewarding quitting (through severance pay). Incentive pay makes...
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作者：Brealey, Richard A.; Cooper, Ian A.; Kaplanis, Evi
作者单位：University of London; London Business School
摘要：Using a large sample of cross-border mergers, we measure the effect of a change in location on systematic risk. When a target firm's location moves, a large part of its systematic risk switches from being related to its home equity market to that of the acquirer. On average, the change in betas is equivalent to an excess shift of about 0.5 in the target's beta from its home market to that of the acquirer. We test whether the change in systematic risk can be explained by fundamental factors rel...
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作者：Xiong, Wei; Yan, Hongjun
作者单位：Yale University; Princeton University; National Bureau of Economic Research
摘要：This paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous expectations about future economic conditions. The heterogeneous expectations cause agents to take on speculative positions against each other and therefore generate endogenous relative wealth fluctuation. The relative wealth fluctuation amplifies asset price volatility and contributes to the time variation in bond premia. Our model shows that a modest amount of heterogeneous expect...
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作者：Mehran, Hamid; Peristiani, Stavros
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：A large fraction of the companies that went private between 1990 and 2007 were fairly young public firms, often with the same management team making the crucial restructuring decisions at both the time of the initial public offering (IPO) and the buyout. This article investigates the determinants of the decision to go private over a firm's entire public life cycle. Our evidence reveals that firms with declining growth in analyst coverage, falling institutional ownership, and low stock turnover...
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作者：Han, Lu
作者单位：University of Toronto
摘要：This article examines how price risk affects housing demand. It identifies two relevant channels: a financial risk effect that reduces demand, and a hedging effect that increases demand since current homes may hedge future housing costs. The latter dominates when hedging incentives are strong, namely when the likelihood of moving up the housing ladder is high and the tendency to move across markets is low. For households with weak hedging incentives, the article finds negative effects of price...
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作者：Brennan, Michael J.; Wang, Ashley W.
作者单位：Federal Reserve System - USA; University of Manchester; University of California System; University of California Los Angeles
摘要：We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated wi...
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作者：Hao, Jia; Kalay, Avner; Mayhew, Stewart
作者单位：Wayne State University; Tel Aviv University; Utah System of Higher Education; University of Utah
摘要：We examine the behavior of call options surrounding the underlying stock's ex-dividend date. The evidence is inconsistent with the predictions of a rational exercise policy; a significant fraction of the open interest remains unexercised, resulting in a windfall gain to option writers. This triggers a sophisticated trading scheme that enables short-term traders to receive a significant fraction of the gains. The trading scheme inflates reported volume and distorts its traditional relations to ...
