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作者：Barber, Brad M.; Huang, Xing; Odean, Terrance
作者单位：University of California System; University of California Davis; Michigan State University; Michigan State University's Broad College of Business; University of California System; University of California Berkeley
摘要：When assessing a fund manager's skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed into alpha and factor-related returns. Surprisingly, investors attend most to market risk (beta) when evaluating funds and treat returns attributable to size, value, momentum, and industry factors as alph...
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作者：Gopalan, Radhakrishnan; Mukherjee, Abhiroop; Singh, Manpreet
作者单位：Washington University (WUSTL); Hong Kong University of Science & Technology; University System of Georgia; Georgia Institute of Technology
摘要：Using the staggered introduction of fast-track debt recovery courts in India, we estimate the causal effect of a reduction in debt contract enforcement costs on financing and asset maturity. A reduction in enforcement costs is associated with an increase in long-term debt and a decrease in short-term debt and trade credit. The increase in debt maturity is confined to firms that borrow from multiple lenders, have abnormally short debt maturity structures before the reform, and to smaller firms....
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作者：Colacito, Riccardo; Ghysels, Eric; Meng, Jinghan; Siwasarit, Wasin
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of Hong Kong; Thammasat University
摘要：We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding that is robust to controlling for a large set of well-established predictive factors. We show that introducing time-varying skewness in the distribution of expected growth prospects in an otherwise standard endowment economy can substantially increase the model-implied equity Sharpe ratios, and produce a large amount ...
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作者：Becker, Bo; Josephson, Jens
作者单位：Stockholm School of Economics; Stockholm University
摘要：In many countries, poorly functioning bankruptcy procedures force viable but insolvent firms to restructure out of court, where banks may have a bargaining advantage over other creditors. We model the choice of restructuring process and derive implications for the corporate mix of bank and bond financing. Empirical patterns match the model: inefficient bankruptcy in a country is associated with less bond issuance by risky, but not by safe, borrowers. This pattern holds for both levels of and c...
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作者：Ljungqvist, Alexander; Qian, Wenlan
作者单位：New York University; National Bureau of Economic Research; National University of Singapore
摘要：We document the existence of a strategy designed to circumvent limits to arbitrage. Faced with short-sale constraints and noise trader risk, small arbitrageurs publicly reveal their information to induce the target's shareholders ( the longs) to sell, thereby accelerating price discovery. Using data for 124 short-sale campaigns in the United States between 2006 and 2011, we show that investors respond strongly to the information, with spikes in SEC filing views, volatility, order imbalances, r...
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作者：Dittmar, Amy; Duchin, Ran
作者单位：University of Michigan System; University of Michigan; University of Washington; University of Washington Seattle
摘要：We track the employment history of over 9,000 managers to study the effects of professional experiences on corporate policies. Our identification strategy exploits exogenous CEO turnovers and employment in other firms and in non-CEO roles. Firms run by CEOs who experienced distress have less debt, save more cash, and invest less than other firms, with stronger effects in poorly governed firms. Experience has a stronger influence when it is more recent or occurs during salient periods in a mana...
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作者：Agrawal, Ashwini; Tambe, Prasanna
作者单位：University of London; London School Economics & Political Science; New York University
摘要：We analyze a new dataset on workers' career paths to examine whether private equity (PE) investments can have positive spillover effects on workers. We study leveraged buyouts in the context of recent information technology (IT) diffusion, and find evidence supporting the argument that many employees of companies acquired by PE investors gain transferable, IT-complementary human capital. Our estimates indicate that these workers experience increases in both long-run employability and wages rel...
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作者：Manso, Gustavo
作者单位：University of California System; University of California Berkeley
摘要：Previous studies have argued that entrepreneurs earn less and bear more risk than salaried workers with otherwise similar characteristics. In a simple model of entrepreneurship, I show that estimates of mean and variance of returns to entrepreneurship used by these previous studies are biased, as they fail to account for the option value of experimenting with new ideas. Using longitudinal data, I find patterns that are consistent with entrepreneurship as experimentation and returns to entrepre...
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作者：Friewald, Nils; Hennessy, Christopher A.; Jankowitsch, Rainer
作者单位：Norwegian School of Economics (NHH); University of London; London Business School; Centre for Economic Policy Research - UK; Vienna University of Economics & Business
摘要：We develop and empirically test a theory of optimal security design under adverse selection accounting for strategic trading by uninformed investors who will liquidate a security in secondary markets only if their idiosyncratic carrying costs exceed the security's expected trading loss. Such investors demand primary market discounts equaling expected carrying costs borne plus trading losses incurred. Issuers minimize the total illiquidity discount by splitting cash-flow into tranched debt clai...
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作者：Jones, Charles M.; Reed, Adam V.; Waller, William
作者单位：Columbia University; University of North Carolina; University of North Carolina Chapel Hill; Carnegie Mellon University
摘要：Since 2012, all European Union countries have required disclosure of large short positions. This reduces short interest, bid-ask spreads, and the informativeness of prices. After specific disclosures, short-run abnormal returns are insignificantly negative, but 90-day cumulative abnormal returns are a statistically significant -5.23%. We find disclosures are likely to be followed by other disclosures, especially when the initial discloser is large or centrally located. However, there is no sub...
