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作者：Chen, Xuanjuan; Higgins, Eric; Xia, Han; Zou, Hong
作者单位：Shanghai University of Finance & Economics; Kansas State University; University of Texas System; University of Texas Dallas; University of Hong Kong
摘要：We show that installing stronger risk management into financial institutions-a proposal widely discussed following the 2008 financial crisis-is insufficient to constrain institutions' exposure to investment with lurking risk, such as asset-backed securities (ABS). Regulations affect the functioning of risk management: risk management constrains institutions' exposure to risky ABS when they face mark-to-market reporting combined with capital requirements; however, this role is considerably weak...
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作者：Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min
作者单位：Tilburg University; Columbia University; National Bureau of Economic Research; Ghent University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight to quality in the U.S. corporate bond market. Emergi...
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作者：Begin, Jean-Francois; Dorion, Christian; Gauthier, Genevieve
作者单位：Simon Fraser University; Universite de Montreal; HEC Montreal
摘要：The recent literature provides conflicting empirical evidence about the pricing of idiosyncratic risk. This paper sheds new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity premium arises exclusively from jump risk. Third, we document that the commonality in idiosyncratic tail risk is much stronger than that...
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作者：Muravyev, Dmitriy; Pearson, Neil D.
作者单位：Michigan State University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter sma...
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作者：Donaldson, Jason Roderick; Malenko, Nadya; Piacentino, Giorgia
作者单位：Washington University (WUSTL); Center for Economic & Policy Research (CEPR); Boston College; European Corporate Governance Institute; Columbia University; National Bureau of Economic Research
摘要：We develop a dynamic model of board decision-making akin to dynamic voting models in the political economy literature. We show a board could retain a policy all directors agree is worse than an available alternative. Thus, directors may retain a CEO they agree is bad-deadlocked boards lead to entrenched CEOs. We explore how to compose boards and appoint directors to mitigate deadlock. We find board diversity and long director tenure can exacerbate deadlock. We rationalize why CEOs and incumben...
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作者：Jayaraman, Sudarshan; Wu, Joanna Shuang
作者单位：University of Rochester
摘要：We explore the use of voluntary disclosure by managers to solicit market feedback. Using managerial capital expenditure forecasts, we find that managers adjust annual capital expenditures upward (downward) in response to positive (negative) stock market reactions to capital expenditure forecasts, but only for those forecast announcements that stimulate rather than discourage informed trading. These capex adjustments motivated by market feedback correlate with higher future performance and are ...
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作者：Mitra, Indrajit; Xu, Yu
作者单位：University of Michigan System; University of Michigan; University of Hong Kong
摘要：We show that time-varying risk premium in financial markets can explain a key, yet puzzling, feature of labor markets: the large differences in unemployment risk across worker age groups over the business cycle. Our search model features a time-varying risk premium and learning about unobserved heterogeneity in worker productivity. Their interaction generates large real effects through firms' labor policies. Our model predicts higher unemployment risk of younger workers relative to prime-age w...
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作者：Decaire, Paul H.; Gilje, Erik P.; Taillard, Jerome P.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Babson College
摘要：We study when and why firms exercise real options. Using detailed project-level investment data, we find that the likelihood that a firm exercises a real option is strongly related to peer exercise behavior. Peer exercise decisions are as important in explaining exercise behavior as variables commonly associated with standard real option theories, such as volatility. We identify peer effects using localized exogenous variation in peer project exercise decisions and find evidence consistent wit...
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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...
