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作者：Schwarz, Christopher G.; Potter, Mark E.
作者单位：University of California System; University of California Irvine; Babson College
摘要：We document that CRSP and Thomson contain many voluntarily reported mutual fund portfolios that are not in SEC filings while, additionally, CRSP and Thomson are missing many SEC mandated portfolios available in SEC filings. We document that the voluntary disclosures are likely driven by convenience rather than duplicity. Although mandated portfolios contain securities with more return momentum, we find use of SEC or Thomson data lead to similar empirical findings. CRSP, however, contains inacc...
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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...
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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：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：Addoum, Jawad M.; Kumar, Alok
作者单位：Cornell University; University of Miami
摘要：This study shows that shifts in political climate influence stock prices. As the party in power changes, there are systematic changes in the industry-level composition of investor portfolios, which weaken arbitrage forces and generate predictable patterns in industry returns. A trading strategy that attempts to exploit demand-based return predictability generates an annualized risk-adjusted performance of 6% during the 1939 to 2011 period. This evidence of predictability spans 17%-27% of the m...
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作者：Chen, Huaizhi; Cohen, Lauren; Lou, Dong
作者单位：University of London; London School Economics & Political Science; Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We explore a new mechanism by which investors take correlated shortcuts and present evidence that managers-using sales management-take advantage of these shortcuts. Specifically, we exploit a regulatory provision wherein a firm's primary industry is determined by the highest sales segment. Exploiting this regulation, we provide evidence that investors classify operationally nearly identical firms as starkly different depending on their placement around this sales cutoff. Moreover, managers app...
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作者：Bird, Andrew; Karolyi, Stephen A.
作者单位：Carnegie Mellon University; Carnegie Mellon University
摘要：We examine the effect of institutional ownership on corporate disclosure policy using a regression discontinuity design. Using a novel dataset comprising every 8-K filing between 1996 and 2006, we find that positive shocks to institutional ownership around Russell index reconstitutions increase the quantity, form, and quality of disclosure. Compared with those at the bottom of the Russell 1000 index, firms at the top of the Russell 2000 index increase institutional ownership by 9.8%, and discl...
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作者：Prado, Melissa Porras; Saffi, Pedro A. C.; Sturgess, Jason
作者单位：Universidade Nova de Lisboa; University of Cambridge; DePaul University
摘要：We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short-sale constraints. Stocks with lower, more concentrated, short-term, and less passive ownership exhibit lower lending supply, higher costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions and delay the correction of mispricing. Stocks with more concentrated ownership exhibit smaller announcement day reactions, larger po...
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作者：Wu, Youchang; Wermers, Russ; Zechner, Josef
作者单位：University of Oregon; University System of Maryland; University of Maryland College Park; Vienna University of Economics & Business
摘要：We examine the dynamics of assets under management (AUM) and management fees at the portfolio manager level in the closed-end fund industry. We find that managers capitalize on good past performance and favorable investor perceptions about future performance, as reflected in fund premiums, through AUM expansions and fee increases. However, the penalties for poor performance or unfavorable investor perceptions are either insignificant, or substantially mitigated by manager tenure. Long tenure i...
