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作者：Bodnaruk, Andriy; Massa, Massimo; Simonov, Andrei
作者单位：INSEAD Business School; University of Notre Dame; Michigan State University; Michigan State University's Broad College of Business
摘要：We study holdings in merger and acquisition (M&A) targets by financial conglomerates in which affiliated investment banks advise the bidders. We show that advisors take positions in the targets before M&A announcements. These stakes are positively related to the probability of observing the bid and to the target premium. We argue that this can be explained in terms of advisors who are privy to important information about the deal, investing in the target in the expectation of its price increas...
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作者：Li, Haitao; Zhao, Feng
作者单位：University of Michigan System; University of Michigan; University of Texas System; University of Texas Dallas
摘要：Based on a multivariate extension of the constrained locally polynomial estimator of Ait-Sahalia and Duarte (2003), we provide one of the first nonparametric estimates of probability densities of LIBOR rates under forward martingale measures and state-price densities (SPDs) implicit in interest rate cap prices. The forward densities and SPDs depend significantly on the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward densities...
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作者：Rauh, Joshua D.
作者单位：University of Chicago
摘要：The asset allocation of defined benefit pension plans is a setting where both risk-shifting and risk-management incentives are likely be present. Empirically, firms with poorly funded pension plans and weak credit ratings allocate a greater share of pension fund assets to safer securities such as government debt and cash, whereas firms with well-funded pension plans and strong credit ratings invest more heavily in equity. These relations hold both in pooled regressions and within firms and pla...
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作者：Goldman, Eitan; Rocholl, Joerg; So, Jongil
作者单位：Indiana University System; Indiana University Bloomington; European School of Management & Technology; University of North Carolina; University of North Carolina Chapel Hill
摘要：This article explores whether political connections are important in the United States. The article uses an original hand-collected data set on the political connections of board members of S&P 500 companies to sort companies into those connected to the Republican Party and those connected to the Democratic Party. The analysis shows a positive abnormal stock return following the announcement of the nomination of a politically connected individual to the board. This article also analyzes the st...
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作者：Trolle, Anders B.; Schwartz, Eduardo S.
作者单位：Copenhagen Business School; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analytical prices of zero-coupon bond options, and dynamics of the forward rate curve, under both the actual and risk-neutral measures, in terms of a finite-dimensional affine state vector. The model has a very good fit to an extensive panel dataset...
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作者：Peyer, Urs; Vermaelen, Theo
作者单位：INSEAD Business School
摘要：Using recent data, we reject the hypothesis that the buyback anomalies first reported by Lakonishok and Vermaelen (1990, Journal of Finance 45:455-77) and Ikenberry, Lakonishok, and Vermaelen (1995, Journal of Financial Economics 39:181-208) have disappeared over time. We find evidence consistent with the hypothesis that open market repurchases are a response to a market overreaction to bad news: significant analyst downgrades, combined with overly pessimistic forecasts of long-term earnings. ...
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作者：Devos, Erik; Kadapakkam, Palani-Rajan; Krishnamurthy, Srinivasan
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; University of Texas System; University of Texas at San Antonio; University of Texas System; University of Texas El Paso
摘要：There is little evidence in the literature on the relative importance of the underlying sources of merger gains. Prior literature suggests that synergies could arise due to taxes, market power, or efficiency improvements. Based on Value Line forecasts, we estimate the average synergy gains in a broad sample of 264 large mergers to be 10.03% of the combined equity value of the merging firms. The detailed data in Value Line projections allow for the decomposition of these gains into underlying o...
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作者：Khorana, Ajay; Servaes, Henri; Tufano, Peter
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Harvard University; National Bureau of Economic Research
摘要：Using a new database, we study fees charged by 46,580 mutual fund classes offered for sale in 18 countries, which account for about 86% of the world fund industry in 2002. We examine management fees, total expense ratios, and total shareholder costs (including load charges). Fees vary substantially across funds and from country to country. To explain these differences, we consider fund, sponsor, and national characteristics. Fees differ by investment objectives: larger funds and fund complexes...
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作者：Han, Bing; Hirshleifer, David; Persons, John C.
作者单位：University System of Ohio; Ohio State University; University of California System; University of California Irvine; University of Texas System; University of Texas Austin
摘要：We analyze capital allocation in a conglomerate where divisional managers with uncertain abilities compete for promotion to CEO. A manager can sometimes gain by unobservably adding variance to divisional performance. Capital rationing can limit this distortion, increase productive efficiency, and allow the owner to make more accurate promotion decisions. Firms for which CEO talent is more important for firm performance are more likely to ration capital. A rationed manager is more likely to be ...
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作者：Giannetti, Mariassunta; Laeven, Luc
作者单位：Stockholm School of Economics; Tilburg University
摘要：Sweden offers a unique natural experiment to analyze the effects of institutionalized saving on the ownership structure, corporate governance, and firm performance. The Swedish pension reform increased the stock market participation of pension funds, causing a significant reshuffling in the ownership of pension funds. We show that the effects of institutional investment on firm performance depend on the industry structure of pension funds. Firm valuation improves if public pension funds and la...
