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作者：Chaieb, Ines; Errunza, Vihang; Langlois, Hugues
作者单位：University of Geneva; Swiss Finance Institute (SFI); McGill University; Hautes Etudes Commerciales (HEC) Paris
摘要：We develop a new global asset pricing model to study how illiquidity interacts with market segmentation and investability constraints in 42 markets. Noninvestable stocks that can only be held by foreign investors earn higher expected returns compared to freely investable stocks due to limited risk sharing and higher illiquidity. In addition to the world market premium, on average, developed and emerging market noninvestables earn an annual unspanned local market risk premium of 1.17% and 9.04%...
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作者：Dangl, Thomas; Zechner, Josef
作者单位：Technische Universitat Wien; Vienna University of Economics & Business
摘要：This paper shows that short debt maturities commit equityholders to leverage reductions when refinancing expiring debt in low-profitability states. However, shorter maturities lead to higher transaction costs since larger amounts of expiring debt need to be refinanced. We show that this trade-off between higher expected transaction costs against the commitment to reduce leverage in low-profitability states motivates an optimal maturity structure of corporate debt. Since firms with high costs o...
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作者：Iliev, Peter; Kalodimos, Jonathan; Lowry, Michelle
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Oregon State University; Drexel University
摘要：Using unique data on investor views of EDGAR company filings, we document that many investors engage in governance research. However, investors' monitoring is disproportionately focused on large firms and firms with meetings outside the busy spring proxy season. Using an instrumental variables approach that isolates the drop in governance attention during the busy proxy season, we show that governance research is related to investors' monitoring of firms, through voice and exit. Moreover, gove...
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作者：Patel, Saurin; Sarkissian, Sergei
作者单位：Western University (University of Western Ontario); McGill University; University of Edinburgh
摘要：Using U.S. equity mutual fund data, we show that portfolio pumping-an illegal trading activity that artificially inflates year- and quarter-end portfolio returns-is more pronounced among single-managed funds compared with team-managed ones. The return inflation by team-managed funds is 45% lower than by single-managed funds at year-ends. Also, portfolio pumping decreases as team size increases. These results are driven by peer effects among teams and, sometimes, amplified by less convex flow-p...
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作者：Goldstein, Itay; Koijen, Ralph S. J.; Mueller, Holger M.
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); New York University; Center for Economic & Policy Research (CEPR)
摘要：The COVID-19 pandemic severely disrupted financial markets and the real economy worldwide. These extraordinary events prompted large monetary and fiscal policy interventions. Recognizing the unusual nature of the shock, the academic community has produced an impressive amount of research during the last year. Macro-finance models have been extended to analyze the impact of epidemics. Empirical papers study the origins and consequences of the disruptions and the impact of policy interventions. ...
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作者：Giacoletti, Marco
作者单位：University of Southern California
摘要：This paper studies the idiosyncratic risk component of individual house capital gains using data on resales and intermediate capital investments. The idiosyncratic component is large; its dynamics do not follow a random walk; and its magnitude is associated with proxies of information quality and market liquidity at the level of individual properties. Accounting for idiosyncratic risk substantially changes the assessment of the risk-return trade-off for housing: it reduces Sharpe ratios and ma...
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作者：Albert, Christoph; Caggese, Andrea
作者单位：Pompeu Fabra University; Barcelona School of Economics; Centre de Recerca en Economia Internacional (CREI)
摘要：We analyze a multiyear, multicountry entrepreneurship survey with more than one million observations to identify startups with low and high growth potential. We confirm the validity of these ex ante measures with ex post firm-level information on employment growth. We find that negative aggregate financial shocks reduce all startup types, but their effect is significantly stronger for startups with high growth potential, especially when GDP growth is low. Our results uncover a new composition ...
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作者：Dessaint, Olivier; Olivier, Jacques; Otto, Clemens A.; Thesmar, David
作者单位：University of Toronto; Hautes Etudes Commerciales (HEC) Paris; Singapore Management University; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：There is a discrepancy between CAPM-implied and realized returns. Using the CAPM in capital budgeting-as recommended in textbooks-should thus have real effects. For instance, low beta projects should be valued more by CAPM users than by the market. We test this hypothesis using M&A data and show that bids for low-beta private targets entail lower bidder returns. We provide further support by testing several ancillary predictions. Our analyses suggest that using the CAPM when valuing targets le...
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作者：Kandrac, John; Schlusche, Bernd
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We exploit an exogenous reduction in bank supervision and examination to demonstrate a causal effect of supervisory oversight on financial institutions' risk taking. The additional risk took the form of risky lending, faster asset growth, and a greater reliance on low-quality capital. This response to less oversight boosted banks' odds of failure. Lastly, we show that the reduction in oversight capacity led to more costly failures because there were longer delays in closing insolvent instituti...
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作者：Aragon, George O.; Nanda, Vikram; Zhao, Haibei
作者单位：Arizona State University; Arizona State University-Tempe; University of Texas System; University of Texas Dallas; Lehigh University
摘要：We find that capital flows to hedge funds in different countries are influenced by the strength and the enforcement of investor protection laws. Hedge funds located in weak investor protection countries exhibit greater sensitivity of investor outflow to poor performance, relative to funds in countries with strong protection. Furthermore, weak investor protection is associated with fund managers engaging in greater returns management. Our findings suggest that in countries with weaker investor ...
