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作者：Antoniou, Constantinos; Li, Frank Weikai; Liu, Xuewen; Subrahmanyam, Avanidhar; Sun, Chengzhu
作者单位：University of Warwick; Singapore Management University; University of Hong Kong; University of California System; University of California Los Angeles; Hong Kong Polytechnic University
摘要：We investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance...
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作者：Ulrich, Maxim; Florig, Stephan; Seehuber, Ralph
作者单位：Helmholtz Association; Karlsruhe Institute of Technology
摘要：We estimate a model-free term structure of the ex ante dividend risk premium by combining two data sets with different information about future dividends. We aggregate survey forecasts about future dividends for single companies over multiple horizons to construct a term structure of expected S&P 500 dividend growth rates. We use European call and put option prices on the S&P 500 to estimate the term structures of options-implied dividend growth rates and risk-free rates. Applying the method t...
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作者：Bhamra, Harjoat S.; Dorion, Christian; Jeanneret, Alexandre; Weber, Michael
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Universite de Montreal; HEC Montreal; Center for Economic & Policy Research (CEPR); University of Chicago; National Bureau of Economic Research
摘要：We develop an asset pricing model with endogenous corporate policies that explains how inflation jointly affects real asset prices and corporate default risk. Our model includes two empirically founded nominal rigidities: fixed nominal debt coupons (sticky leverage) and sticky cash flows. These two frictions result in lower real equity prices and credit spreads when expected inflation rises. A decrease in expected inflation has opposite effects, with even larger magnitudes. In the cross-sectio...
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作者：Pavlova, Anna; Sikorskaya, Taisiya
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK
摘要：Benchmarking incentivizes fund managers to invest a fraction of their funds' assets in their benchmark indexes, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its cumulative weight in all benchmarks, weighted by assets following each benchmark. Exploiting the Russell 1000/2000 cutoff, we show that changes in stocks' BMIs instrument for changes in ownership of benchmarked investors. The resultant demand elasti...
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作者：Cassella, Stefano; Golez, Benjamin; Gulen, Huseyin; Kelly, Peter
作者单位：Tilburg University; University of Notre Dame; Purdue University System; Purdue University
摘要：We label the degree to which individuals are more optimistic at long horizons relative to short horizons as the horizon bias. We examine whether time-series variation in the horizon bias can explain the time-series variation in the equity term structure. We use analyst earnings forecasts to measure the degree of the horizon bias in the stock market. Consistent with the intuition from a stylized present value model, we find that periods of above-average horizon bias are associated with negative...
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作者：Brown, Gregory W.; Ghysels, Eric; Gredil, Oleg R.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Centre for Economic Policy Research - UK; Tulane University
摘要：We estimate unsmoothed private equity net asset values (NAVs) at weekly frequency for individual funds. Using simulations and large samples of buyout and venture funds, we show that our method yields superior estimates of NAVs relative to simple approaches based on extrapolation of reported NAVs. The market beta of an average buyout (venture) fund is around 1.0 (1.4), and the total risk is 33% (4%) per year. The risk-return profile of the funds varies significantly over time and across funds. ...
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作者：Amihud, Yakov; Levi, Shai
作者单位：New York University; Tel Aviv University
摘要：We propose that stock market liquidity affects corporate investment and production. Illiquidity, which raises firms' cost of capital, lowers investment in capital assets, R&D, and inventory. This effect holds after we control for endogeneity using exogenous liquidity events, the 2001 decimalization, and the 1997 Nasdaq reform and after employing instrumental variable estimation. Illiquidity affects investment regardless of firms' financial constraints. Consequently, illiquidity induces firms t...
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作者：Yin, Chengdong; Zhang, Xiaoyan
作者单位：Renmin University of China; Tsinghua University
摘要：Hedge fund managers' risk-taking choices are influenced by their compensation structure. We differ from most studies that focus on incentive fees and the high-water mark by examining how management fees affect managers' risk-taking. Our simple model shows that managers' risk-taking is negatively related to their future management fees. Using fund-level data, we find that future management fees are the dominant component of managers' total compensation. When the contribution of future managemen...
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作者：Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; Moussawi, Rabih
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research; Swiss Finance Institute (SFI); Universita della Svizzera Italiana; Villanova University
摘要：The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based indexes and therefore offered diversification at low cost, more recent products track niche portfolios and charge high fees. Strikingly, over their first 5 years, specialized ETFs lose about 30% (risk-adjusted). This underperformance cannot be explained by high fees or hedging demand. Rather, it is driven by the overvaluation of th...
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作者：Terry, Stephen J.; Whited, Toni M.; Zakolyukina, Anastasia A.
作者单位：Boston University; National Bureau of Economic Research; University of Michigan System; University of Michigan; University of Chicago
摘要：We quantify the real implications of trade-offs between firm information disclosure and long-term investment efficiency. We estimate a dynamic equilibrium model in which firm managers confront realistic incentives to misreport earnings and distort their real investment choices. The model implies a socially optimal level of disclosure regulation that exceeds the estimated value. Counterfactual analysis reveals that eliminating earnings misreporting completely through disclosure regulation incen...
