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作者：Fresard, Laurent; Hoberg, Gerard; Phillips, Gordon M.
作者单位：Swiss Finance Institute (SFI); Universita della Svizzera Italiana; University of Southern California; Dartmouth College; National Bureau of Economic Research
摘要：We examine the determinants of vertical acquisitions using product text linked to product vocabulary from input-output tables. We find that the innovation stage is important in understanding vertical integration. R&D-intensive firms are less likely to become targets of vertical acquisitions. In contrast, firms with patented innovation are more likely to sell to vertically related buyers. Firms' R&D intensity is a more important deterrent to their vertical acquisitions when the provision of inn...
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作者：Pan, Yihui; Siegel, Stephan; Wang, Tracy Yue
作者单位：Utah System of Higher Education; University of Utah; University of Washington; University of Washington Seattle; University of Minnesota System; University of Minnesota Twin Cities
摘要：We examine the role of cultural heritage in shaping U.S. CEOs' attitudes toward uncertainty, in the context of their corporate acquisition decisions. We find that CEOs with a more uncertainty-avoiding cultural heritage are less likely to engage in acquisitions. Conditional on making an acquisition, uncertainty-averse CEOs prefer targets in familiar industries and targets that can be more easily integrated. The emphasis on cultural identity by CEOs' parents and the ethnic composition of CEOs' e...
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作者：Ellul, Andrew; Goldstein, Itay; Holden, Craig; Masulis, Ron; Pontiff, Jeffrey; Schoar, Antoinette
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作者：Hua, Jian; Peng, Lin; Schwartz, Robert A.; Alan, Nazli Sila
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Fairfield University
摘要：We present resiliency as a measure of liquidity and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency, and use it to find a significant nonresiliency premium that ranges from 33 to 57 basis points per month. The premium persists after accounting for an extensive list of other liquidity-related measures and control variables. The results are significant for both value-weighted and equal-weighted returns, when micro...
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作者：Crouzet, Nicolas; Dew-Becker, Ian; Nathanson, Charles G.
作者单位：Northwestern University; National Bureau of Economic Research
摘要：We study the effects of policies proposed to address short-termism in financial markets. We examine a noisy rational expectations model in which investors' exposures and information about fundamentals endogenously vary across horizons. In this environment, taxing or outlawing short-term investment doesn't negatively affect the information in prices about long-term fundamentals. However, such a policy reduces short- and long-term investors' profits and utility. Changing policies about the relea...
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作者：Lowry, Michelle; Michaely, Roni; Volkova, Ekaterina
作者单位：Drexel University; University of Geneva; University of Melbourne
摘要：We analyze communications between the SEC and firms prior to IPOs using LDA analysis and KL divergence. The SEC's concerns closely map onto the regulator's stated mandate: companies increase prospectus disclosures on precise topics of SEC concern. Revenue recognition is the dominant topic of SEC concern, and it is not independently discovered by investors. Increased SEC concern about it is associated with greater secondary sales, lower post-IPO liquidity, lower post-IPO returns, and a higher p...
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作者：Alok, Shashwat; Kumar, Nitin; Wermers, Russ
作者单位：Indian School of Business (ISB); University System of Maryland; University of Maryland College Park
摘要：We examine whether professional money managers overreact to large climatic disasters. We find that managers within a major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion to disaster zone stocks is related to a salience bias that decreases over time and distance from the disaster, rather than to superior information possessed by close managers. This overreaction can be costly to fund investors for some especially salient di...
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作者：Cunha, Igor; Pollet, Joshua
作者单位：University of Kentucky; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We exploit variation in demand induced by demographics to provide causal evidence of the precautionary motive of cash holdings. We show that firms significantly increase their cash levels in response to exogenous increases in investment opportunities. We also provide novel evidence of the dynamics of accumulation and use of cash. Financially constrained firms build their cash reserves using internal sources. Consequently, they start saving earlier and keep high cash levels longer. Unconstraine...
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作者：Lettau, Martin; Pelger, Markus
作者单位：National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); Stanford University
摘要：We propose a new method for estimating latent asset pricing factors that fit the time series and cross-section of expected returns. Our estimator generalizes principal component analysis (PCA) by including a penalty on the pricing error in expected returns. Our approach finds weak factors with high Sharpe ratios that PCA cannot detect. We discover five factors with economic meaning that explain well the cross-section and time series of characteristic-sorted portfolio returns. The out-of-sample...
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作者：Engle, Robert F.; Giglio, Stefano; Kelly, Bryan; Lee, Heebum; Stroebel, Johannes
作者单位：National Bureau of Economic Research; Yale University; Center for Economic & Policy Research (CEPR)
摘要：We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations ...
