-
作者：Novy-Marx, Robert
作者单位：University of Chicago
摘要：We analyze the optimal investment decisions of heterogeneous firms in a competitive, uncertain environment, characterizing firms' investment strategies explicitly and deriving closed-form solutions for firm value. Real option premia remain significant, and are even unmitigated relative to the standard partial-equilibrium model when both are calibrated to observables. Firms consequently delay investment, choosing not to undertake some positive NPV projects. We compare competitive behavior to th...
-
作者：Duarte, Jefferson; Longstaff, Francis A.; Yu, Fan
作者单位：University of California System; University of California Los Angeles; University of California System; University of California Irvine; National Bureau of Economic Research
摘要：We conduct an analysis of the risk and return characteristics of a number of widely used fixed-income arbitrage strategies. We find that the strategies requiring more intellectual capital to implement tend to produce significant alphas after controlling for bond and equity market risk factors. These positive alphas remain significant even after taking into account typical hedge fund fees. In contrast with other hedge fund strategies, many of the fixed-income arbitrage strategies produce positi...
-
作者：Moeller, Sara B.; Schlingemann, Frederik P.; Stulz, Rene M.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：We examine the theoretical predictions that link acquirer returns to diversity of opinion and information asymmetry. Theory suggests that acquirer abnormal returns should be negatively related to information asymmetry and diversity-of-opinion proxies for equity offers but not cash offers. We find that this is the case and that, more strikingly, there is no difference in abnormal returns between cash offers for public firms, equity offers for public firms, and equity offers for private firms af...
-
作者：Povel, Paul; Singh, Rajdeep; Winton, Andrew
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：Firms sometimes commit fraud by altering publicly reported information to be more favorable, and investors can monitor firms to obtain more accurate information. We study equilibrium fraud and monitoring decisions. Fraud is most likely to occur in relatively good times, and the link between fraud and good times becomes stronger as monitoring costs decrease. Nevertheless, improving business conditions may sometimes diminish fraud. We provide an explanation for why fraud peaks towards the end of...
-
作者：Lyandres, Evgeny
作者单位：Rice University
摘要：This article proposes a new explanation for the large cross-sectional variation in the excess values of diversified firms. The model applies the idea of shareholders limited liability affecting firms output market strategies to the analysis of financial and operating choices of conglomerates. The inability of conglomerates to commit to unconstrained optimal operating strategies, following from the lack of flexibility in choosing their divisions capital structures, reduces their value. Thus, th...
-
作者：Ingersoll, Jonathan; Spiegel, Matthew; Goetzmann, William; Welch, Ivo
作者单位：Yale University; Brown University
摘要：Numerous measures have been proposed to gauge the performance of active management. Unfortunately, these measures can be gamed. Our article shows that gaming can have a substantial impact on popular measures even in the presence of high transactions costs. Our article shows there are conditions under which a manipulation-proof measure exists and fully characterizes it. This measure looks like the average of a power utility function, calculated over the return history. The case for using our al...
-
作者：Narayanan, Rajesh P.; Rangan, Kasturi P.; Rangan, Nanda K.
作者单位：University System of Ohio; Ohio University; Booz Allen Hamilton Holding Corporation
摘要：We provide evidence that commercial banks extend their reputation in underwriting syndicated loans and private placements (private debt) to their bond-underwriting activities. In the absence of bond market reputation, private-debt-market reputation enables commercial banks to win underwriting mandates from their loan clients. Furthermore, it allows them to credibly commit to investors against opportunistically using lending information and thereby deliver superior certification benefits in the...
-
作者：Mester, Loretta J.; Nakamura, Leonard I.; Renault, Micheline
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Pennsylvania; University of Quebec; University of Quebec Montreal
摘要：We show that transactions accounts, by providing ongoing data on borrowers' activities, help financial intermediaries monitor borrowers. This information is most readily available to commercial banks, which offer these accounts and lending together. We find that (1) monthly changes in accounts receivable are reflected in transactions accounts; (2) borrowings in excess of collateral predict credit downgrades and loan write-downs; and (3) the lender intensifies monitoring in response. This is ev...
-
作者：Kalcheva, Ivalina; Lins, Karl V.
作者单位：Utah System of Higher Education; University of Utah; University of Arizona
摘要：This article uses managerial control rights data for over 5000 firms from 31 countries to examine the net costs and benefits of cash holdings. We find that when external country-level shareholder protection is weak, firm values are lower when controlling managers hold more cash. Further, when external shareholder protection is weak we find that firm values are higher when controlling managers pay dividends. Only when external shareholder protection is strong do we find that cash held by contro...
-
作者：Medvedev, Alexey; Scaillet, Olivier
作者单位：University of Geneva; University of Geneva
摘要：We derive an asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose a simple calibration procedure of an arbitrary parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different calendar dates to extr...
