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作者：Sotes-Paladino, Juan; Zapatero, Fernando
作者单位：University of Melbourne; University of Southern California
摘要：We show that benchmark-linked convex incentives can lead risk-averse money managers aware of mispricing to overinvest in overpriced securities. In the model, the managers' risk-seeking behavior varies in response to the interaction of mispricing with convexity and benchmarking concerns. Convexity effects can exacerbate the manager's overinvestment in overvalued nonbenchmark securities. In contrast, they potentially offset the benchmarking effects studied in the literature, leading to underinve...
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作者：Albuquerque, Rui; Brandao-Marques, Luis; Ferreira, Miguel A.; Matos, Pedro
作者单位：Boston College; European Corporate Governance Institute; International Monetary Fund; Universidade Nova de Lisboa; University of Virginia
摘要：We test the hypothesis that foreign direct investment promotes corporate governance spillovers in the host country. Using firm-level data from 64 countries during the period 2005-2014, we find that cross-border M&A activity is associated with subsequent improvements in the governance of nontarget firms when the acquirer country has stronger investor protection than the target country. The effect is more pronounced when the target industry is more competitive. Cross-border M&As are also associa...
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作者：Opp, Christian C.
作者单位：University of Pennsylvania
摘要：I develop a model of venture capital (VC) intermediation that quantitatively explains central empirical facts about VC activity and can evaluate its macroeconomic relevance. The impact of VC-backed innovations is significantly larger than suggested by observed aggregate venture exit valuations, even after accounting for large exposures to systematic and uninsurable idiosyncratic risks. The risk properties of venture capital play a quantitatively important role in both explaining empirical regu...
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作者：Belo, Frederico; Lin, Xiaoji; Yang, Fan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Connecticut
摘要：We develop a dynamic model with time variation in external equity financing costs and show that variation in these costs is important for the model to quantitatively capture the joint dynamics of firms' asset prices, real quantities, and financial flows in the U.S. economy. Growth firms and high investment firms are less risky in equilibrium, because they can substitute more easily debt financing for equity financing when it becomes more costly to raise external equity, which are high marginal...
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作者：Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.; Zhang, Hanjiang
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Cornell University; Washington State University
摘要：Using exogenous wealth shocks stemming from the collapse of the housing market, we show that managers who experience substantial losses in their home values subsequently reduce risk in their delegated funds. The decline in fund risk comes through reductions in idiosyncratic risk and tracking error, suggesting that the behavior is likely driven by career concerns. Our paper provides evidence that idiosyncratic personal preferences affect mutual fund managers' professional decisions and offers a...
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作者：Bessembinder, Hendrik; Cooper, Michael J.; Zhang, Feng
作者单位：Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah
摘要：We propose that fitted values from market-wide regressions of firm returns on lagged firm characteristics provide useful benchmarks for assessing whether average returns to certain stocks are abnormal. To illustrate, we study eight documented events with abnormal returns, including credit rating and analyst recommendation downgrades, initial and seasoned public equity offerings, mergers and acquisitions, dividend initiations, share repurchases, and stock splits. We show that the apparently abn...
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作者：Faulkender, Michael W.; Hankins, Kristine W.; Petersen, Mitchell A.
作者单位：University System of Maryland; University of Maryland College Park; University of Kentucky; Northwestern University; National Bureau of Economic Research
摘要：What has driven the dramatic rise in U.S. corporate cash? Using non-public data, we show that the run-up is not uniform across firms but is concentrated in the foreign subsidiaries of multinational firms. Standard precautionary motives explain only domestic cash holdings, not these burgeoning foreign cash balances. Falling foreign tax rates, coupled with relaxed restrictions on income shifting, are the root of the changing foreign cash patterns. Firms with intellectual property have the greate...
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作者：Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; Vuillemey, Guillaume
作者单位：European Central Bank; Hautes Etudes Commerciales (HEC) Paris
摘要：We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks' exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partia...
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作者：Dessaint, Olivier; Foucault, Thierry; Fresard, Laurent; Matray, Adrien
作者单位：University of Toronto; Hautes Etudes Commerciales (HEC) Paris; Swiss Finance Institute (SFI); Universita della Svizzera Italiana; University System of Maryland; University of Maryland College Park; Princeton University
摘要：Firms significantly reduce their investment in response to nonfundamental drops in the stock price of their product-market peers. We argue that this results stems from managers' limited ability to filter out the noise in the stock prices when using them as signals about their investment opportunities. Ensuing losses of capital investment and shareholders' wealth are economically large and even affect firms not facing severe financing constraints or agency problems. Our findings offer a novel p...
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作者：Yang, Ming; Zeng, Yao
作者单位：Duke University; University of Washington; University of Washington Seattle
摘要：We propose a theory of security design in financing entrepreneurial production, positing that the investor can acquire costly information on the entrepreneur's project before making the financing decision. When the entrepreneur has enough bargaining power in security design, the optimal security helps incentivize both efficient information acquisition and efficient financing. Debt is optimal when information is not very valuable for production, whereas the combination of debt and equity is opt...
