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作者：Anderson, Evan W.; Cheng, Ai-Ru (Meg)
作者单位：Northern Illinois University
摘要：We propose a Bayesian-averaging portfolio choice strategy with excellent out-of-sample performance. Every period a new model is born that assumes means and covariances are constant over time. Each period we estimate model parameters, update model probabilities, and compute robust portfolio choices by taking into account model uncertainty, parameter uncertainty, and non-stationarity. The portfolio choices achieve higher out-of-sample Sharpe ratios and certainty equivalents than rolling window s...
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作者：Borisov, Alexander; Goldman, Eitan; Gupta, Nandini
作者单位：University System of Ohio; University of Cincinnati; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We examine whether the stock market considers corporate lobbying to be value enhancing, using an event that potentially limited the ability of firms to lobby but was exogenous to their characteristics and prior lobbying decisions. The results show that this exogenous shock negatively affects the value of firms that lobby. In particular, we estimate that a firm that spends $100,000 more on lobbying in the 3 years before the shock ( where sample average lobbying expenses are about $4 million), e...
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作者：Chung, Ji-Woong; Kang, Byoung Uk
作者单位：Korea University; Hong Kong Polytechnic University
摘要：We document strong comovement in the returns of hedge funds sharing the same prime broker. This comovement is driven neither by funds in the same family nor in the same style, and it is distinct from market-wide and local comovement. The common information hypothesis attributes this phenomenon to the prime broker providing valuable information to its hedge fund clients. The prime broker-level contagion hypothesis attributes the comovement to the prime broker spreading funding liquidity shocks ...
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作者：Warusawitharana, Missaka; Whited, Toni M.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：We estimate a dynamic investment model in which firms finance with equity, cash, or debt. Misvaluation affects equity values, and firms optimally issue and repurchase overvalued and undervalued shares. The funds flowing to and from these activities come from investment, dividends, or net cash. The model fits a broad set of data moments in large heterogeneous samples and across industries. Our parameter estimates imply that misvaluation induces larger changes in financial policies than investme...
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作者：Pinkowitz, Lee; Stulz, Rene M.; Williamson, Rohan
作者单位：Georgetown University; University System of Ohio; Ohio State University
摘要：From 1998 to 2011, U.S. firms held more cash on average (but not at the median) than similar foreign firms (foreign twins) did. The average difference in cash holdings does not increase after 2008, and it is driven by highly R&D-intensive U.S. firms. Because there are almost no similarly R&D-intensive foreign firms, mean comparisons involving these U.S. firms are not reliable. Without these U.S. firms, neither U.S. multinational firms nor purely domestic U.S. firms hold more cash than their fo...
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作者：Kashyap, Anil K.; Kovrijnykh, Natalia
作者单位：University of Chicago; Arizona State University; Arizona State University-Tempe
摘要：We analyze a model where investors use a credit rating to decide whether to finance a firm. The rating quality depends on unobservable effort exerted by a credit rating agency (CRA). We study optimal compensation schemes for the CRA when a planner, the firm, or investors order the rating. Rating errors are larger when the firm orders it than when investors do (and both produce larger errors than is socially optimal). Investors overuse ratings relative to the firm or planner. Atrade-off in prov...
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作者：Kostovetsky, Leonard
作者单位：Boston College
摘要：I provide a measure for the value that investors place on trust and relationships in asset management by examining mutual fund flows around announced changes in the ownership of fund management companies. I find a decline in flows of around 7% of fund assets in the year following the announcement date, resulting primarily from fund outflows. Retail investors and investors in funds with higher expense ratios are most responsive to ownership changes, providing evidence that such investors appear...
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作者：Malenko, Nadya; Shen, Yao
作者单位：Boston College; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Proxy advisory firms have become important players in corporate governance, but the extent of their influence over shareholder votes is debated. We estimate the effect of Institutional Shareholder Services (ISS) recommendations on voting outcomes by exploiting exogenous variation in ISS recommendations generated by a cutoff rule in ISS voting guidelines. Using a regression discontinuity design, we find that from 2010 to 2011, a negative ISS recommendation on a say-on-pay proposal leads to a 25...
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作者：Bodnaruk, Andriy; Simonov, Andrei
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Michigan State University; Centre for Economic Policy Research - UK
摘要：Using survey-based measures of mutual fund manager loss aversion, we study the effects of institutional investor preferences on their investment decisions, performance, and career outcomes. We find that managers with higher aversion to losses choose portfolios with lower downside risk, increase their risk-taking more in response to poor past performance, and display a stronger disposition effect. Further, we provide evidence that managers who are more loss-averse have lower performance and are...
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作者：Bond, Philip; Zhong, Hongda
作者单位：University of Washington; University of Washington Seattle; University of London; London School Economics & Political Science
摘要：Share prices generally fall when a firm announces a seasoned equity offering (SEO). A standard explanation is that an SEO communicates negative information to investors. We show that if repeated capital market transactions are possible, this same asymmetry of information between firms and investors implies that some firms also repurchase shares in equilibrium. A subset of these firms directly profit from repurchases, while other firms repurchase in order to improve the terms of a subsequent SE...
