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作者：Gao, George P.; Gao, Pengjie; Song, Zhaogang
作者单位：Cornell University; University of Notre Dame; Johns Hopkins University
摘要：We find hedge funds that have higher return covariation with a disaster concern index, which we develop through out-of-the-money puts on various economic sector indices, earn significantly higher returns in the cross-section. We provide evidence that these funds' managers are more skilled at exploiting the market's ex ante rare disaster concerns (SEDs), which may not be associated with disaster risk. In particular, high-SED funds, on average, outperform low-SED funds by 0.96% per month, but ha...
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作者：Campello, Murillo; Gao, Janet; Qiu, Jiaping; Zhang, Yue
作者单位：Cornell University; National Bureau of Economic Research; Indiana University System; Indiana University Bloomington; McMaster University; Universite Catholique Louvain
摘要：Unionized workers are entitled to special treatment in bankruptcy court that can be detrimental to other corporate stakeholders, with unsecured creditors standing to lose the most. Using data on union elections, we employ a regression discontinuity design to identify the effect of worker unionization on bondholders in bankruptcy states. Closely won union elections lead to significant bond value losses, especially when firms approach bankruptcy, have underfunded pension plans, and operate in no...
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作者：Fahlenbrach, Rudiger; Prilmeier, Robert; Stulz, Rene M.
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Tulane University; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：From 1973 to 2014, the common stock of U.S. banks with loan growth in the top quartile of banks over a three-year period significantly underperformed the common stock of banks with loan growth in the bottom quartile over the next three years. After the period of high growth, these banks have a lower return on assets and increase their loan loss reserves. The poorer performance of fast-growing banks is not explained by merger activity. The evidence is consistent with banks, analysts, and invest...
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作者：Engle, Robert F.; Siriwardane, Emil N.
作者单位：New York University; Harvard University
摘要：In the aftermath of the financial crisis, institutions have been asked to reduce leverage in order to reduce risk. To address the effectiveness of this measure, we build a model of equity volatility that accounts for leverage. Our approach blends Merton's insights on capital structure with traditional time-series models of volatility. We estimate that precautionary capital needs for the entire financial sector reached $2 trillion during the crisis. We also investigate the long-standing observa...
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作者：Gao, Pengjie; Parsons, Christopher A.; Shen, Jianfeng
作者单位：University of Notre Dame; University of Southern California; University of California System; University of California San Diego; University of New South Wales Sydney
摘要：This study explores the distress risk anomaly-the tendency for stocks with high credit risk to perform poorly-among 38 countries over two decades. We find a strongly negative relationship between default probabilities and equity returns concentrated among low-capitalization stocks in developed countries in North America and Europe. Although risk-based explanations provide a poor account of these patterns, several pieces of evidence point to a behavioral interpretation, suggesting that stocks o...
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作者：Pasquariello, Paolo
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作者：Agarwal, Vikas; Vashishtha, Rahul; Venkatachalam, Mohan
作者单位：University System of Georgia; Georgia State University; Duke University
摘要：Pressure from institutional money managers to generate profits in the short run is often blamed for corporate myopia. Theoretical research suggests that money managers' short-term focus stems from their career concerns and greater fund transparency can amplify these concerns. Using a difference-in-differences design around a regulatory shock that increased the transparency of fund managers' portfolio choices, we examine whether increased transparency encourages myopic corporate investment beha...
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作者：Gu, Lifeng; Hackbarth, Dirk; Johnson, Tim
作者单位：University of Hong Kong; Boston University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms' risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk increases with operating leverage for inflexible firms, but decreases for flexible firms. Guided by theory, we construct easily reproduc...
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作者：Graham, John R.; Leary, Mark T.
作者单位：Duke University; National Bureau of Economic Research; Washington University (WUSTL)
摘要：We study time-series and cross-firm variation in corporate cash holdings from 1920 to 2014. The recent increase in cash is not unique in magnitude. However, the recent divergence between average and aggregate cash is new and entirely driven by a shift in cash policies of newly public firms, whereas within-firm changes have been negative or flat since the 1940s. Cross-sectional relations between cash holdings and firm characteristics are stable throughout the century, though characteristics exp...
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作者：Soo, Cindy K.
作者单位：University of Michigan System; University of Michigan
摘要：This paper develops first measures of housing sentiment for 34 cities across the United States by quantifying the qualitative tone of local housing news. Housing media sentiment has significant predictive power for future house prices, leading prices by nearly two years. Consistent with theories of investor sentiment, the media sentiment index has a greater effect in markets in which speculative investors are more prevalent and demand appears less informed. Directly examining the content acros...
