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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：Gilje, Erik P.
作者单位：University of Pennsylvania
摘要：I empirically test whether firms engage in risk-shifting. Contrary to what risk-shifting theory predicts, I find that firms reduce investment risk when they approach financial distress. To identify the effect of distress on risk-taking, I use a natural experiment with exogenous changes to leverage. Risk reduction is most prevalent among firms that have shorter maturity debt, bank debt, and tighter bank loan financial covenants. These findings suggest that debt composition and financial covenan...
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作者：Christensen, Hans B.; Hail, Luzi; Leuz, Christian
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
摘要：We examine the capital-market effects of changes in securities regulation in the European Union aimed at reducing market abuse and increasing transparency. To estimate causal effects for the population of E.U. firms, we exploit that for plausibly exogenous reasons, such as national legislative procedures, E.U. countries adopted these directives at different times. We find significant increases in market liquidity, but the effects are stronger in countries with stricter implementation and tradi...
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作者：Bhagwat, Vineet; Dam, Robert; Harford, Jarrad
作者单位：University of Oregon; University of Colorado System; University of Colorado Boulder; University of Washington; University of Washington Seattle
摘要：Firm values can substantially change between the time deal terms are set and the actual deal closing, risking renegotiation, or termination. We find increases in market volatility decrease subsequent deal activity, but only for public targets subject to an interim period. The effect is strongest when volatility is highest, for deals taking longer to close, and for larger targets. Merging parties attempt to shorten the interim window as risk increases. Firm- and industry-level uncertainty measu...
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作者：Becht, Marco; Polo, Andrea; Rossi, Stefano
作者单位：Solvay SA; Universite Libre de Bruxelles; European Corporate Governance Institute; Pompeu Fabra University; Purdue University System; Purdue University
摘要：Shareholder voting on corporate acquisitions is controversial. In most countries, acquisition decisions are delegated to boards, and shareholder approval is discretionary, which makes existing empirical studies inconclusive. We study the U.K. setting in which shareholder approval is imposed exogenously via a threshold test that provides strong identification. U.K. shareholders gain 8 cents per dollar at announcement with mandatory voting, or $ 13.6 billion over 1992-2010 in aggregate; without ...
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作者：Barberis, Nicholas; Mukherjee, Abhiroop; Wang, Baolian
作者单位：Yale University; Hong Kong University of Science & Technology; Fordham University
摘要：We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. In a simple model of asset prices in which some investors think in this way, a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return, on average. We find empirical support for this prediction in the cross-...
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作者：Frydman, Cary; Camerer, Colin
作者单位：California Institute of Technology
摘要：We use neural data collected from an experimental asset market to measure regret preferences while subjects trade stocks. When subjects observe a positive return for a stock they chose not to purchase, a regret signal is observed in an area of the brain that is commonly active during reward processing. Subjects are unwilling to repurchase stocks that have recently increased in price, even though this is suboptimal in our experiment. The strength of stock repurchasing mistakes is correlated wit...
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作者：Pan, Yihui; Wang, Tracy Yue; Weisbach, Michael S.
作者单位：Utah System of Higher Education; University of Utah; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper documents the existence of a CEO investment cycle, in which disinvestment decreases over a CEO's tenure, while investment increases, leading to cyclical firm growth in assets and employment. The estimated variation in investment rate over the CEO investment cycle is of the same order of magnitude as the differences caused by business cycles or financial constraints. Results from a number of tests generally support the view that the investment cycle is caused by agency problems, lead...
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作者：Heimer, Rawley Z.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：Social interaction contributes to some traders' disposition effect. New data from an investment-specific social network linked to individual-level trading records builds evidence of this connection. To credibly estimate causal peer effects, I exploit the staggered entry of retail brokerages into partnerships with the social trading web platform and compare trader activity before and after exposure to these new social conditions. Access to the social network nearly doubles the magnitude of a tr...
